Hedge Fund Performance and Industry Trends – March 2017

By Colin Lloyd 

March was another positive month for hedge fund performance. Managed futures strategies, by contrast struggled once again.

Hedge Funds

Barclay Hedge Fund Indices March No. of funds YTD
Barclay Hedge Fund Index 0.46% 1857 2.91%
Technology Index 2.47% 27 7.10%
Healthcare & Biotechnology Index 1.97% 33 8.17%
European Equities Index 0.92% 57 2.86%
Emerging Markets Index 0.90% 208 5.55%
Pacific Rim Equities Index 0.72% 23 2.52%
Equity Long Bias Index 0.65% 255 3.39%
Equity Long/Short Index 0.58% 301 1.91%
Multi Strategy Index 0.56% 71 2.25%
Equity Market Neutral Index 0.52% 74 1.04%
Merger Arbitrage Index 0.52% 35 0.77%
Fund of Funds Index 0.49% 282 2.07%
Event Driven Index 0.31% 77 3.34%
Fixed Income Arbitrage Index 0.21% 19 2.49%
Global Macro Index 0.09% 118 1.06%
Convertible Arbitrage Index 0.02% 16 1.31%
Distressed Securities Index -1.34% 24 0.93%

Source: Barclayhedge

The BarclayHedge Hedge Fund Index gained 0.46% in March taking it to +2.91% YTD. The only sector which suffered from negative performance was distressed securities (-1.34%) and even that remains positive YTD (+0.93%). All the remaining sub-sectors delivered positive results with Technology (+2.47%, +7.1% YTD) and Healthcare and Biotech (+1.97%, +8.17% YTD) leading to march higher. Emerging markets also rose (+0.9%, +5.55% YTD) maintaining their third place position for the year.


InvestHedge reports that the AUM of their Billion Dollar Club of Hedge Fund of Funds, those with assets in excess of $1bln, fell 6% in 2016, so it is encouraging that the BarclayHedge, Fund of Funds Index has made some progress in the first quarter (+0.49%, +2.07% YTD) making amends for a negative performance in 2016.


Managed Futures

Barclay CTA Indices March % of funds YTD
Barclay CTA Index -0.40% 82.88% -0.71%
Agricultural Traders Index 0.62% 75.68% 0.79%
Currency Traders Index 0.41% 67.24% 0.40%
Fin./Met. Traders Index 0.37% 81.69% 1.04%
Discretionary Traders Index 0.31% 76.92% -0.13%
Systematic Traders Index -0.66% 82.13% -1.05%
Diversified Traders Index -1.08% 81.68% -2.16%

Source: Barclayhedge


Managed Futures, which, according to EurekaHedge saw inflows of $8.6bln in February, suffered another challenging month. The Barclayhedge CTA Index declined 0.40%, leaving in down 71 basis points for the year. The sectoral decline was led by Diversified Traders (-1.08%, -2.16% YTD) and Systematic Traders (-0.66, -1.05% YTD). The negative performance of US stocks was certainly a factor for the trend following managers as was the reversal in bond markets, which rallied in response to stock market weakness.


Financials and Metals Traders continued to buck the negative performance (+0.31%, +1.04% YTD) which is impressive considering the sideways nature of many of the major markets this year. Copper retreated from its high for the year, seen at the beginning of the month, but this was partially offset by Zinc which rebounded after weakness in February. Gold, meanwhile, staged a strong rebound from recent lows in response to weaker stocks.


Industry Trends

In a recent report, HFR revealed that the concentration of hedge fund assets among the largest firms continues. In 2008 firms with more than $2bln AUM accounted for 86% of assets, by 2016 this had risen to 91%. It is, therefore, encouraging to see AON Hewitt announcing plans to launch a managed account platform of 50 hedge fund managers with assets under $2bln. This product has been designed to give mid-size pension funds and institutional investors exposure to smaller hedge funds.


Credit Suisse have also been looking at investment opportunities within the hedge fund space recently. They launched Anteil Capital Partners to acquire equity stakes in hedge fund management companies. Their first fund has just closed having raised $300mln. It is expected to make its first

investment next month.


Other notable new launches include Leda Braga’s Systematica who have introduced an Alternative Risk Premia Fund and Brevan Howard, which just raised $700mln for a new fund managed exclusively by Alan Howard.


Ray Dalio’s Pure Alpha II bucked the trend of most Macro Funds in Q1, returning 2.3%. Martin Hughes, Tosca Fund also had a stellar rebound during the quarter, rising 7.8%, entirely reversing the 7.5% loss it sustained during 2016.


In other news, the IPM, Systematic Macro UCITs programme, has now reached $1bln AUM – another sign of the increasing demand for UCITs products. One high profile casualty has been Eric Mindich’s, Eton Park which returned money to investors after a difficult period of performance in 2016. Paul Singer’s, Elliott Associates, however, reopened their flagship fund to new investment.


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