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Index Flash Update -09 July 2019

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Hedge fund managers up 1.82% in June on the back of the US-China trade talk optimism

The Eurekahedge Hedge Fund Index rallied 1.82%1 in June, supported by the strong equity market performance on the back of optimism over the progress of US-China trade talk. Despite mixed economic data during the month, trade optimism and dovish central bank posturing saw the MSCI ACWI (Local) post gains of 5.41%. Returns were positive across geographic mandates in June, with North American fund managers gaining 2.11% and Asia ex-Japan fund managers up 2.18%. Fund managers utilising equity long-bias strategies gained 3.06% throughout the month, bringing their year-to-date return to 10.56%.

Roughly 77.7% of the underlying constituents in the Eurekahedge Hedge Fund Index posted positive returns in June, and 24.4% of hedge fund managers in the database managed to maintain double-digit returns over the first half of 2019.

Below are the key highlights for the month of June 2019
  • Hedge fund managers gained 1.82% in June, bringing their year-to-date return to 5.81% as global equity markets edged higher following the improving global trade outlook during the month. The MSCI ACWI (Local) was up 5.41% in June and 14.39% over the first half of the year.

  • On an asset-weighted basis, hedge funds were up 1.94% in June, as captured by the Mizuho Eurekahedge Hedge Fund Index (USD). The index was up 4.08% year-to-date.

  • The Eurekahedge North American Hedge Fund Index gained 2.11% during the month, as optimism over the US-China trade talk continuation and dovish Fed pushed US equities to record highs. North American fund managers utilising long/short equities strategy were up 2.59% in June.

  • The Eurekahedge Greater China Hedge Fund Index gained 4.31% in June, recording its strongest monthly return since January 2018. The index was down 5.95% in May, following the re-escalation of the US-China tariff spat during the month.

  • The Eurekahedge CTA/Managed Futures Hedge Fund Index was up 2.44% in June, pushing its year-to-date return to 4.36%. Long positions in metals and oil were among the major performance contributors during the month.

  • Fund managers utilising AI/machine learning strategies ended June up 5.65%, recovering from the 3.79% loss they suffered in May. On a year-to-date basis theEurekahedge AI Hedge Fund Index was up 5.34%.

  • The Eurekahedge Crypto-Currency Hedge Fund Index rallied 13.85% in June, recording its fifth consecutive positive month of the year. Crypto hedge fund managers benefited from the rally in crypto assets which saw Bitcoin breaching the US$12,000 level for the first time since the Q1 2018 crash. The index is up 100.59% as of June 2019 year-to-date, which compares with a 1H gain of 211.06% for bitcoin.
Index of the Month Jun
2019*
2019 Returns 2018 Returns
Eurekahedge Equity Long Bias Hedge Fund Index 3.06 10.56 -9.39

Main Indices

Main Eurekahedge Indices Jun
2019*
2019 Returns 2018 Returns
Eurekahedge Hedge Fund Index 1.82 5.81 -3.99
Eurekahedge Fund of Funds Index
1.60 6.10 -4.43
Eurekahedge Long-only Absolute Return Fund Index 3.48 10.74 -10.90
Eurekahedge Islamic Fund Index 2.39 6.88 -4.70

Regional Indices

Eurekahedge Regional Indices Jun
2019*
2019 Returns 2018 Returns
Eurekahedge North American Hedge Fund Index 2.11 7.26 -3.06
Eurekahedge European Hedge Fund Index 0.78 3.79 -4.89
Eurekahedge Eastern Europe & Russia Hedge Fund Index 5.73 12.65 -12.86
Eurekahedge Japan Hedge Fund Index 1.41 3.13 -9.32
Eurekahedge Emerging Markets Hedge Fund Index 2.93 7.58 -5.21
Eurekahedge Asia ex Japan Hedge Fund Index 2.18 6.53 -9.08
Eurekahedge Latin American Hedge Fund Index 2.88 8.08 7.15

North American fund managers were up 2.11% in June, bringing their year-to-date return to 7.26%. The region’s equity and bond markets rallied on trade optimism and expectations of an impending Fed rate cut. Over in Asia, fund managers with Asia ex-Japan investment mandate ended the month up 2.18%, bringing their year-to-date gain to 6.53%. The development of the US-China trade conflict and economic growth will remain as key concerns for the region’s equity markets for the rest of the year. Fund managers focusing on Europe were up a modest 0.78% in June, supported by the region’s strong equity market performance following expectations that further monetary policy easing may come from ECB.

Strategy Indices

Returns were mostly positive across strategic mandates in June. Long-biased equity hedge funds gained 3.06% during the month on the back of the global equity market rally. Returns were mixed among the CBOE Eurekahedge Volatility Indexes, with tail risk and short volatility mandates posting gains. Long volatility and relative value volatility mandates were down 0.64% and 0.14% respectively in June. On a year-to-date basis, equity long-bias mandate maintained its place at the top of the strategy return map with 10.56% gain over the first half of the year.

 

Table 1: Strategy return map

Eurekahedge Strategy Indices Jun
2019*
2019 Returns 2018 Returns
Eurekahedge Arbitrage Hedge Fund Index 0.29 2.55 -0.85
Eurekahedge CTA/Managed Futures Hedge Fund Index 2.44 4.36 -3.92
Eurekahedge Distressed Debt Hedge Fund Index 0.20 2.09 2.72
Eurekahedge Event Driven Hedge Fund Index 1.52 6.37 -3.18
Eurekahedge Fixed Income Hedge Fund Index 0.95 4.91 0.06
Eurekahedge Long Short Equities Hedge Fund Index 1.90 6.65 -6.27
Eurekahedge Macro Hedge Fund Index 2.24 5.45 -2.62
Eurekahedge Multi-Strategy Hedge Fund Index 1.49 4.96 -3.66
Eurekahedge Relative Value Hedge Fund Index 1.55 5.06 -0.47
CBOE Eurekahedge Long Volatility Hedge Fund Index -0.64 -6.84 0.83
CBOE Eurekahedge Relative Value Volatility Hedge Fund Index -0.14 0.69 -3.91
CBOE Eurekahedge Short Volatility Hedge Fund Index 0.50 1.91 -13.03
CBOE Eurekahedge Tail Risk Hedge Fund Index 9.37 5.34 -5.75
Eurekahedge Equity Long Bias Hedge Fund Index 3.06 10.56 -9.39
Eurekahedge Equity Market Neutral Hedge Fund Index 0.87 1.37 -1.90
Eurekahedge Trend Following Index 2.99 6.06 -7.06
Eurekahedge FX Hedge Fund Index -0.18 0.85 -0.25
Eurekahedge Commodity Hedge Fund Index 1.51 2.68 -5.93
Eurekahedge Crypto-Currency Hedge Fund Index 13.85 100.59 -68.40
Eurekahedge AI Hedge Fund Index 5.65 5.34 -5.05
Eurekahedge ILS Advisers Index 0.03 -1.41 -3.92
Eurekahedge Global Hedge Fund Indices by Fund Size Jun
2019*
2019 Returns 2018 Returns
Eurekahedge Small Hedge Fund Index (< US$100m) 2.10 6.15 -4.73
Eurekahedge Medium Hedge Fund Index (US$100m - US$500m) 1.48 5.16 -3.04
Eurekahedge Large Hedge Fund Index (> US$500m) 1.37 5.11 -2.49
Eurekahedge Billion Dollar Hedge Fund Index 1.13 4.40 -2.58
Mizuho-Eurekahedge Indices Jun
2019*
2019 Returns 2018 Returns
Mizuho-Eurekahedge Index - USD 1.94 4.08 -4.30
Mizuho-Eurekahedge TOP100 Index - USD 1.56 3.39 -2.71
Mizuho-Eurekahedge TOP300 Index - USD 1.80 3.88 -3.56
Asia-Eurekahedge Indices Jun
2019*
2019 Returns 2018 Returns
Eurekahedge Greater China Hedge Fund Index 4.31 10.22 -12.73
Eurekahedge India Hedge Fund Index 0.18 2.36 -8.06


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