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Index Flash Update - 12 November 2019

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Equity hedge funds up 0.80% on the back of October market rally, CTAs down 0.98%

The Eurekahedge Hedge Fund Index gained 0.26%1 in October, supported by the global equity market rally as represented by the 1.93% gain recorded by the MSCI ACWI (Local). The resumption of the US-China trade talks which culminated in an outline of a potential '“Phase 1” deal pushed US and Asian equities higher. On the other hand, UK equities underperformed their global and EU peers as the British pound strengthened following the receding no-deal Brexit fear. Yields of government bonds climbed over the month, following an uptake in investor risk appetite. The Fed cut its benchmark rate for the third time this year, while indicating that it might be done with rate cuts for the foreseeable future. Returns were mostly positive across geographic mandates in October, with fund managers focusing on Asia ex-Japan up 1.76%, outperforming their European and North American peers who were up 0.84% and 0.53% respectively. Japanese hedge funds returned 1.50% over the month of October, owing to the region’s strong equity market performance. Across strategies, macro and CTA/managed futures fund managers were down 0.32% and 0.98% respectively throughout the month, underperforming long/short equities fund managers who benefited from the equity market rally and returned 0.80%.

Roughly 63.5% of the underlying constituents of the Eurekahedge Hedge Fund Index posted positive returns in October, and 30.3% of the hedge fund managers in the database were able to maintain double-digit returns over the first 10 months of 2019

Below are the key highlights for the month of  October 2019
  • Hedge fund managers were up 0.26% in October, pushing their year-to-date return to 6.21%.The US-China partial trade agreement supported the risk sentiment among investors, which pushed the global equity market up 1.93% over the month. The MSCI ACWI (Local) is up 17.10% as of October 2019 year-to-date.

  • On an asset-weighted basis, hedge funds were up 0.62% in October, as captured by the Mizuho Eurekahedge Hedge Fund Index (USD).The index was up 4.84% over the first 10 months of the year.

  • The Eurekahedge North American Hedge Fund Index edged 0.53% higher during the month, as the optimism towards the resumption on the US-China trade negotiations and robust corporate earnings boosted the US equities. The S&P 500 was up 2.04% throughout the month.

  • The Eurekahedge Greater China Hedge Fund Index was up 3.13% in October. The postponement of the US tariff hike as a result of the US-China trade negotiations provided support to the performance of the Asian equities.

  • Hedge fund managers utilising fixed income strategies were up 0.44% in October. The persistent risk-on sentiment during the month, which pushed the global yields higher was offset by the dovish remark of the outgoing ECB President Mario Draghi and the exhibited quarter-point rate cut by the Fed.

  • Fund managers utilising AI/machine learning strategies registered 0.89% return in October. On a year-to-date basis, the Eurekahedge AI Hedge Fund Index is up 4.16%.

  • The Eurekahedge Crypto-Currency Hedge Fund Index was up 8.53% in October, trailing behind Bitcoin which ended the month up 14.09%. Fund managers focusing on crypto-currencies are up 37.23% over the first 10 months of 2019, which compares to the 138.65% year-to-date gain posted by Bitcoin.
Index of the Month Oct
2019*
2019 Returns 2018 Returns
Eurekahedge Long Short Equities Hedge Fund Index 0.80 7.06 -6.25

Main Indices

Main Eurekahedge Indices Oct
2019*
2019 Returns 2018 Returns
Eurekahedge Hedge Fund Index 0.26 6.21 -3.93
Eurekahedge Fund of Funds Index 0.17 6.08 -4.36
Eurekahedge Long-only Absolute Return Fund Index 1.20 11.05 -10.76
Eurekahedge Islamic Fund Index 1.75 7.69 -4.66

Regional Indices

Eurekahedge Regional Indices Oct
2019*
2019 Returns 2018 Returns
Eurekahedge North American Hedge Fund Index 0.53 6.34 -3.00
Eurekahedge European Hedge Fund Index 0.84 5.32 -4.66
Eurekahedge Eastern Europe & Russia Hedge Fund Index -0.53 12.71 -12.86
Eurekahedge Japan Hedge Fund Index 1.50 3.10 -9.32
Eurekahedge Emerging Markets Hedge Fund Index 1.48 7.91 -5.34
Eurekahedge Asia ex Japan Hedge Fund Index 1.76 9.13 -9.44
Eurekahedge Latin American Hedge Fund Index 1.36 10.01 6.92

North American fund managers were up 0.53% in October, bringing their year-to-date return to 6.34%. The region’s equity market rallied on the back of the progress of the US-China trade talks, as well as the strong corporate earnings which beat market expectations. The S&P 500 was up 2.04%, with a new all-time high during the month. Over in Asia, fund managers with Asia ex-Japan investment mandate ended the month up 1.76%, bringing their year-to-date gain to 9.13%. Japan-focused hedge funds ended the month up 1.50%, as the country’s equity market rallied.

Strategy Indices

Returns were mostly positive across strategic mandates in October with fund managers utilising short volatility strategies outperforming their peers by virtue of the suppressed market volatility level throughout the month. The CBOE Eurekahedge Short Volatility Hedge Fund Index was up 3.53% in October, bringing its year-to-date return to 6.42%. Long/short equities hedge fund managers ended the month up0.80%, thanks to the improving risk appetite among investors driven by the development of the geopolitical situation surrounding the US-China trade talks and Brexit. Meanwhile, CTA/managed futures hedge fund managers ended the month down 0.98%, despite the rally of precious metals on the back of the weakening of the US dollar. The three sub-strategies of the mandate generated mixed results: FX funds were up 0.27%, while commodity and trend-following funds were down 0.14% and 3.06% in October respectively. On a year-to-date basis, equity long bias fund managers topped the table as seen in the strategy return map below. The mandate has returned 11.04% over the first ten months of 2019, supported by the equity market rallies around the globe.

 

Table 1: Strategy return map

Eurekahedge Strategy Indices Oct
2019*
2019 Returns 2018 Returns
Eurekahedge Arbitrage Hedge Fund Index 0.89 4.76 -0.50
Eurekahedge CTA/Managed Futures Hedge Fund Index -0.98 4.26 -3.67
Eurekahedge Distressed Debt Hedge Fund Index -0.21 0.74 3.25
Eurekahedge Event Driven Hedge Fund Index 0.83 5.60 -3.06
Eurekahedge Fixed Income Hedge Fund Index 0.44 6.43 0.10
Eurekahedge Long Short Equities Hedge Fund Index 0.80 7.06 -6.25
Eurekahedge Macro Hedge Fund Index -0.32 7.63 -2.87
Eurekahedge Multi-Strategy Hedge Fund Index 0.10 5.63 -3.66
Eurekahedge Relative Value Hedge Fund Index 0.58 3.36 -0.14
CBOE Eurekahedge Long Volatility Hedge Fund Index -2.97 -9.79 0.83
CBOE Eurekahedge Relative Value Volatility Hedge Fund Index 1.03 0.33 -3.91
CBOE Eurekahedge Short Volatility Hedge Fund Index 3.53 6.42 -13.03
CBOE Eurekahedge Tail Risk Hedge Fund Index -0.69 -4.14 -5.75
Eurekahedge Equity Long Bias Hedge Fund Index 1.02 11.04 -9.37
Eurekahedge Equity Market Neutral Hedge Fund Index 0.07 1.12 -1.90
Eurekahedge Trend Following Index -3.06 4.19 -7.06
Eurekahedge FX Hedge Fund Index 0.27 3.15 -0.23
Eurekahedge Commodity Hedge Fund Index -0.14 4.37 -5.56
Eurekahedge Crypto-Currency Hedge Fund Index 8.53 37.23 -71.81
Eurekahedge AI Hedge Fund Index 0.89 4.16 -4.31
Eurekahedge ILS Advisers Index 1.65 2.45 -3.92
Eurekahedge Global Hedge Fund Indices by Fund Size Oct
2019*
2019 Returns 2018 Returns
Eurekahedge Small Hedge Fund Index (< US$100m) 0.29 6.00 -4.63
Eurekahedge Medium Hedge Fund Index (US$100m - US$500m) 0.30 6.34 -3.05
Eurekahedge Large Hedge Fund Index (> US$500m) 0.04 6.52 -2.35
Eurekahedge Billion Dollar Hedge Fund Index -0.18 6.23 -2.58
Mizuho-Eurekahedge Indices Oct
2019*
2019 Returns 2018 Returns
Mizuho-Eurekahedge Index - USD 0.62 4.84 -4.30
Mizuho-Eurekahedge TOP100 Index - USD 0.02 4.71 -2.71
Mizuho-Eurekahedge TOP300 Index - USD 0.42 5.01 -3.56
Asia-Eurekahedge Indices Oct
2019*
2019 Returns 2018 Returns
Eurekahedge Greater China Hedge Fund Index 3.13 11.20 -13.09
Eurekahedge India Hedge Fund Index 2.42 1.35 -8.06


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