Indices

Index Flash Update - 09 April 2019

EQUAL WEIGHTED HEDGE FUND INDICES

ASSET WEIGHTED HEDGE FUND INDICES

SPECIALIST ALTERNATIVE FUND INDICES

INVESTIBLE BENCHMARK INDICES

METHODOLOGIES

INDEX PRESS RELEASES

Hedge fund managers recorded strongest Q1 post-crisis despite growth forecast cuts

The Eurekahedge Hedge Fund Index gained 1.00% 1 in March, supported by strength in global equity and bond markets as central banks shy away from tight monetary policies. Optimism over the progress of the US-China trade talk supported both countries’ equities over the first quarter of the year.The Eurekahedge Greater China Hedge Fund Index was up 11.46% year-to-date as the country’s onshore equity markets recovered from the devastating losses in 2018. China A-shares also benefited from MSCI’s announcement to increase their weight in the emerging market indices this year. Hedge fund managers focusing on Japan and Europe were up 2.56% and 2.35% year-to-date respectively, lagging behind their peers with North America and Asia ex-Japan mandates. On the other hand, global growth slowdown persisted as a headwind for hedge fund managers, with major central banks cutting their growth forecast for 2019. China’s growth is expected to remain under pressure, potentially necessitating further policy support from the PBOC throughout the year.

Roughly 65.5% of the underlying constituents of theEurekahedge Hedge Fund Index posted positive returns in March. Fund managers utilising equity long-biased strategies maintained their place at the top with their 8.81% gain over the first quarter, while on the other end of the spectrum long volatility strategic mandate was down 6.26% year-to-date as market volatilities remained suppressed throughout the year.

Below are the key highlights for the month of March 2019
  • Hedge fund managers returned 1.00% in March, bringing their year-to-date gains to 4.29% as global equity markets continued to advance during the month. The MSCI ACWI (Local) gained 1.09% in March and 11.82% year-to-date.

  • On an asset-weighted basis, hedge funds were up 0.74% in March, as captured by the Mizuho Eurekahedge Hedge Fund Index (USD). The index was up 2.72% year-to-date after registering a loss of 4.30% last year.

  • The Eurekahedge Asia ex Japan Hedge Fund Index gained 1.42% during the month supported by the region’s equity market recovery as central banks move away from tight monetary policies.The index was up 6.5% year-to-date

  • The Eurekahedge Greater China Hedge Fund Index gained 11.46% over the first quarter of 2019, in contrast to how it slumped 14.19% last year. The region’s hedge fund industry saw US$0.9 billion of net investor allocations in 2018, despite the performance-based losses totalling US$2.3 billion over the year.
  • The Eurekahedge CTA/Managed Futures Hedge Fund Index rallied 2.65% in March, bringing its year-to-date return to 2.71%. Fund managers utilising this strategy benefited from the rising oil prices during the month, which resulted from OPEC’s production cut and US sanctions on Venezuela.
  • Fund managers utilising AI/machine learning strategies ended March up 3.46%, recording one of their strongest monthly performance in recent years. The Eurekahedge AI Hedge Fund Index was up 4.99% year-to-date, in contrast to the 5.27% loss the index suffered in 2018.
  • The Eurekahedge Crypto-Currency Hedge Fund Index gained 13.56% in March, recording its best month in nearly a year. Roughly half of the underlying crypto-currency hedge funds managed to outperform Bitcoin which gained 8.17% during the month.
  • The Eurekahedge ILS Advisers Index gained 0.20% in March, bringing its 2019 year-to-date return to 0.67%. ILS fund managers ended 2018 down 3.92% as the catastrophic losses suffered during the year’s Atlantic hurricane season weighed on their returns.
Index of the Month Mar
2019*
2019 Returns 2018 Returns
Eurekahedge AI Hedge Fund Index 3.46 4.99 -5.27

Main Indices

Main Eurekahedge Indices Mar
2019*
2019 Returns 2018 Returns
Eurekahedge Hedge Fund Index 1.00 4.29 -4.15
Eurekahedge Fund of Funds Index 1.39 4.75 -4.45
Eurekahedge Long-only Absolute Return Fund Index 1.01 8.45 -10.91
Eurekahedge Islamic Fund Index 0.65 4.94 -4.75

Regional Indices

Eurekahedge Regional Indices Mar
2019*
2019 Returns 2018 Returns
Eurekahedge North American Hedge Fund Index 0.33 5.15 -3.15
Eurekahedge European Hedge Fund Index -0.30 2.35 -4.95
Eurekahedge Eastern Europe & Russia Hedge Fund Index -5.29 0.03 -12.79
Eurekahedge Japan Hedge Fund Index 0.34 2.56 -9.45
Eurekahedge Emerging Markets Hedge Fund Index 0.56 5.35 -5.35
Eurekahedge Asia ex Japan Hedge Fund Index 1.42 6.56 -9.42
Eurekahedge Latin American Hedge Fund Index -0.36 4.04 7.04

North American fund managers were up 5.15% as of March year-to-date, recovering from the losses they suffered over the last quarter of 2018. The cautious tone of the Fed and anticipation over the US-China trade talk helped equity markets gain during the month. On the other hand, the European Hedge Fund Index declined 0.30% during the month, despite the positive performance of the region’s equity markets. Asia ex-Japan mandate continued to rebound in March, with the Asia ex Japan Hedge Fund Index up 1.42% during the month.

Strategy Indices

Returns were mixed across strategic mandates in March. CTA/managed futures hedge funds outperformed most of their peers by returning 2.65% over the month, owing to the strong energy sector during the month. Multi-strategy fund managers benefited from the upward movement in the equity and bond markets in March, which saw the mandate gaining 1.03%. On a year-to-date basis, equity long-biased strategies continued to outperform, returning 8.81% over the first quarter of 2019.

 

Table 1: Strategy return map

Eurekahedge Strategy Indices Mar
2019*
2019 Returns 2018 Returns
Eurekahedge Arbitrage Hedge Fund Index 0.35 1.85 -0.99
Eurekahedge CTA/Managed Futures Hedge Fund Index 2.65 2.71 -4.09
Eurekahedge Distressed Debt Hedge Fund Index 0.15 2.05 2.57
Eurekahedge Event Driven Hedge Fund Index -0.04 5.04 -3.35
Eurekahedge Fixed Income Hedge Fund Index 0.71 3.12 0.00
Eurekahedge Long Short Equities Hedge Fund Index 0.24 5.43 -6.41
Eurekahedge Macro Hedge Fund Index 1.16 3.08 -2.86
Eurekahedge Multi-Strategy Hedge Fund Index 1.03 4.09 -3.57
Eurekahedge Relative Value Hedge Fund Index -0.13 3.15 -0.50
CBOE Eurekahedge Long Volatility Hedge Fund Index -0.56 -6.26 0.83
CBOE Eurekahedge Relative Value Volatility Hedge Fund Index -0.36 0.50 -3.91
CBOE Eurekahedge Short Volatility Hedge Fund Index -2.08 0.91 -13.03
CBOE Eurekahedge Tail Risk Hedge Fund Index 0.35 -1.15 -5.75
Eurekahedge Equity Long Bias Hedge Fund Index 0.27 8.81 -9.39
Eurekahedge Equity Market Neutral Hedge Fund Index -0.03 1.26 -1.90
Eurekahedge Trend Following Index 5.05 4.23 -7.06
Eurekahedge FX Hedge Fund Index -0.20 -1.18 -0.25
Eurekahedge Commodity Hedge Fund Index 0.40 2.96 -5.92
Eurekahedge Crypto-Currency Hedge Fund Index 13.56 13.78 -71.81
Eurekahedge AI Hedge Fund Index 3.46 4.99 -5.27
Eurekahedge ILS Advisers Index 0.20 0.67 -3.92
Eurekahedge Global Hedge Fund Indices by Fund Size Mar
2019*
2019 Returns 2018 Returns
Eurekahedge Small Hedge Fund Index (< US$100m) 0.88 4.34 -4.97
Eurekahedge Medium Hedge Fund Index (US$100m - US$500m) 0.98 4.12 -3.19
Eurekahedge Large Hedge Fund Index (> US$500m) 1.50 4.13 -2.57
Eurekahedge Billion Dollar Hedge Fund Index 1.56 3.69 -2.80
Mizuho-Eurekahedge Indices Mar
2019*
2019 Returns 2018 Returns
Mizuho-Eurekahedge Index - USD 0.74 2.72 -4.30
Mizuho-Eurekahedge TOP100 Index - USD 0.88 2.04 -2.71
Mizuho-Eurekahedge TOP300 Index - USD 0.78 2.38 -3.56
Asia-Eurekahedge Indices Mar
2019*
2019 Returns 2018 Returns
Eurekahedge Greater China Hedge Fund Index 2.42 11.46 -14.19
Eurekahedge India Hedge Fund Index 9.28 6.20 -7.47


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