Indices

Index Flash Update - 09 October 2018

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Hedge Funds in the red as Asian managers post 4th consecutive month of losses

The Eurekahedge Hedge Fund Index ended the month down 0.05%1, trailing behind the MSCI AC World Index (Local) which gained 0.07% over the course of the month. North American hedge fund managers broke their winning streak and slumped 0.16%, contrary to the positive performance exhibited by the S&P 500, which ended the third quarter with its best performance since Q4 2013. On a year-to-date basis, North American fund managers maintained their lead over other regional mandates with a 3.16% return. Over in Asia, concerns over the escalation of the tariff spat between China and the US has continuously put pressure on the region’s equity markets throughout the quarter with the PBOC recently reducing the reserve requirements for its banking system for the 4th time this year to cushion the impact of US tariffs on the country’s economy. Asia ex-Japan hedge fund managers lost 1.80% in September, barely ahead of the benchmark MSCI AC Asia Pacific ex-Japan Index (Local) which declined 1.87% over the month. Escalating trade tension, weak currencies, and slowing growth in China might continue to pose as challenges for hedge fund managers focusing in the region for the remaining months of 2018. Across major strategic mandates, distressed debt and fixed income led the pack with their 1.84% and 0.72% returns over September.

Roughly 48.7% of the underlying constituents of the Eurekahedge Hedge Fund Index ended the month on a positive note, with 10.4% of these managers posting double-digit gains year-to-date. The asset-weighted Mizuho-Eurekahedge Index (USD) edged 0.55% higher during the month, supported by the strong performance of fund managers overseeing large assets during the month. The Eurekahedge Billion Dollar Hedge Fund Index is up 0.97% for the month, and 0.50% for the year through to September.

Below are the key highlights for the month of September 2018
  • Hedge funds were down 0.05% in September, bringing their year-to-date returns to 0.27% trailing behind the MSCI AC World Index (Local) which was up 3.75% over the first three quarters of 2018. Roughly 26.6% of the hedge fund managers tracked by Eurekahedge outperformed the market index.

  • On an asset-weighted basis, hedge funds gained 0.55% in September, bringing their year-to-date return to -0.95%, as captured by the Mizuho Eurekahedge Hedge Fund Index (USD).

  • North American fund managers topped the table among geographic mandates, gaining 3.16% as of September 2018 year-to-date, with the underlying long short equities managers up 5.65% for the year.

  • Greater China fund managers posted a 4th consecutive month of losses as they ended September down 3.65%. On a year-to-date basis, the Eurekahedge Greater China Hedge Fund Index was down 9.89%.

  • Distressed debt hedge funds topped the table in September with their 1.84% return over the month, which brought their year-to-date return to 8.58% - the highest among all strategic mandates.

  • Preliminary numbers for India focused hedge fund managers place September losses at 10.26%, in what is turning out to be their worst month on record since October 2008. The Eurekahedge India Hedge Fund Index USD is down 18.38% for the year.

  • AI hedge fund managers spent another month in the red, as represented by the Eurekahedge AI Hedge Fund Index which was down 2.63% in September, and 5.21% year-to-date.

  • The Eurekahedge Crypto-Currency Hedge Fund Index which tracks hedge funds investing in crypto assets was down 4.61% in September, outperforming the Bitcoin Price Index, which declined 5.82% over the month. On a year-to-date basis, the index was down 54.32%.

Index of the Month Sep
2018*
2018 Returns 2017 Returns
Mizuho-Eurekahedge Index - USD 0.55 -0.95 8.69

Main Indices

Main Eurekahedge Indices Sep
2018*
2018 Returns 2017 Returns
Eurekahedge Hedge Fund Index -0.05 0.27 8.26
Eurekahedge Fund of Funds Index -0.37 0.48 7.23
Eurekahedge Long-only Absolute Return Fund Index -0.64 -3.42 20.43
Eurekahedge Islamic Fund Index -0.67 -0.18 6.72

Regional Indices

Eurekahedge Regional Indices Sep
2018*
2018 Returns 2017 Returns
Eurekahedge North American Hedge Fund Index -0.16 3.16 8.03
Eurekahedge European Hedge Fund Index -0.19 0.02 7.04
Eurekahedge Eastern Europe & Russia Hedge Fund Index 1.91 -8.96 10.78
Eurekahedge Japan Hedge Fund Index -0.25 -3.33 12.91
Eurekahedge Emerging Markets Hedge Fund Index 0.00 -3.44 16.98
Eurekahedge Asia ex Japan Hedge Fund Index -1.80 -5.01 20.82
Eurekahedge Latin American Hedge Fund Index 1.19 2.20 13.48

North American fund managers ended the month down 0.16% despite the robust underlying equity market performance. The S&P 500 index gained 0.43% in September, ending the quarter with its strongest quarterly gain since Q4 2013. European fund managers were down 0.19% during the month, underperforming the MSCI AC Europe Index (Local), which declined 0.01%. Hedge fund managers focusing on Eastern Europe and Latin America ended the month up 1.91% and 1.19%

returns as at 9 October 2018 respectively, supported by the rebound in the regions’ underlying equity markets following the beating they took back in August. Meanwhile, the Eurekahedge India Hedge Fund Index posted a loss of 10.26%, as the region’s equity market struggled under weak currency, rising inflation, and concerns over trade deficit.

Strategy Indices

The Eurekahedge Distressed Debt Hedge Fund Index topped the table with their 1.84% return in September, followed by the Eurekahedge Fixed Income Hedge Fund Index which gained 0.72% over the month. Long short equities fund managers posted losses of 0.25% during the month, trailing behind the MSCI AC World Index (Local) which ended the month marginally positive. CTA/managed futures fund managers languished as profits generated from the energy sector were wiped by losses from agriculture and soft commodities. The Eurekahedge CTA/Managed Futures Hedge Fund Index ended the month down 0.35%, despite the positive returns of the underlying FX and commodity hedge fund managers, which gained 0.22% and 0.19% respectively.

 

Table 1: Index Flash Strategy Return Map

Eurekahedge Strategy Indices Sep
2018*
2018 Returns 2017 Returns
Eurekahedge Arbitrage Hedge Fund Index 0.37 0.24 5.27
Eurekahedge CTA/Managed Futures Hedge Fund Index -0.35 -1.55 2.19
Eurekahedge Distressed Debt Hedge Fund Index 1.84 8.58 6.67
Eurekahedge Event Driven Hedge Fund Index -0.18 1.44 10.42
Eurekahedge Fixed Income Hedge Fund Index 0.72 1.69 6.55
Eurekahedge Long Short Equities Hedge Fund Index -0.25 0.52 12.88
Eurekahedge Macro Hedge Fund Index 0.22 -0.85 4.02
Eurekahedge Multi-Strategy Hedge Fund Index 0.10 -0.06 8.68
Eurekahedge Relative Value Hedge Fund Index 0.04 3.37 6.83
CBOE Eurekahedge Long Volatility Hedge Fund Index -0.05 -6.79 -10.95
CBOE Eurekahedge Relative Value Volatility Hedge Fund Index -0.38 0.02 3.23
CBOE Eurekahedge Short Volatility Hedge Fund Index 0.58 -4.99 9.06
CBOE Eurekahedge Tail Risk Hedge Fund Index 0.10 -4.22 -14.22
Eurekahedge Equity Long Bias Hedge Fund Index -0.69 1.01 17.03
Eurekahedge Equity Market Neutral Hedge Fund Index -0.05 0.34 3.86
Eurekahedge Trend Following Index -1.28 -3.36 0.34
Eurekahedge FX Hedge Fund Index 0.22 -0.24 -0.19
Eurekahedge Commodity Hedge Fund Index 0.19 -2.33 1.29
Eurekahedge Crypto-Currency Hedge Fund Index -4.61 -54.32 1708.50
Eurekahedge AI Hedge Fund Index -2.63 -5.21 9.00
Eurekahedge Global Hedge Fund Indices by Fund Size Sep
2018*
2018 Returns 2017 Returns
Eurekahedge Small Hedge Fund Index (< US$100m) -0.14 -0.10 8.42
Eurekahedge Medium Hedge Fund Index (US$100m - US$500m) -0.20 0.82 8.17
Eurekahedge Large Hedge Fund Index (> US$500m) 0.50 0.57 6.47
Eurekahedge Billion Dollar Hedge Fund Index 0.97 0.50 5.94
Mizuho-Eurekahedge Indices Sep
2018*
2018 Returns 2017 Returns
Mizuho-Eurekahedge Index - USD 0.55 -0.95 8.69
Mizuho-Eurekahedge TOP100 Index - USD 0.77 -0.55 6.76
Mizuho-Eurekahedge TOP300 Index - USD 0.68 -0.83 7.75
Asia-Eurekahedge Indices Sep
2018*
2018 Returns 2017 Returns
Eurekahedge Greater China Hedge Fund Index -3.65 -9.89 29.81
Eurekahedge India Hedge Fund Index -10.26 -13.22 27.90


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