Indices

Index Flash Update - 12 March 2019

EQUAL WEIGHTED HEDGE FUND INDICES

ASSET WEIGHTED HEDGE FUND INDICES

SPECIALIST ALTERNATIVE FUND INDICES

INVESTIBLE BENCHMARK INDICES

METHODOLOGIES

INDEX PRESS RELEASES

Hedge funds up 0.86% in the calm month ahead of growth forecast cuts

The Eurekahedge Hedge Fund Index gained 0.86%1 in February, supported by the global equity market which continued to rebound over a potential resolution of the US-China trade friction. Hedge fund managers focusing on developed markets and Asia posted gains during the month, while Latin America and Eastern Europe mandates languished into the red. North American fund managers gained 1.46% during the month, while those focusing on Asia ex-Japan generated 2.77% returns. On a year-to-date basis, the two mandates were up 5.01% and 5.32% respectively. The market anticipation over the end of the trade war resulted in a strong boost for the Chinese equity markets, with most of the major Chinese equity indices recording double-digit gains over the month. The Eurekahedge Greater China Hedge Fund Index gained 7.04% in February, bringing its year-to-date return to 11.94% over the first two months of 2019.

Roughly 65.6% of the underlying constituents of the Eurekahedge Hedge Fund Index posted positive returns in February. Fund managers utilising equity long-biased strategies topped the table with their 8.03% gain over the first two months of the year, while on the other end of the spectrum long volatility strategic mandate was down 6.47% year-to-date as market volatilities remained suppressed throughout January and February.

Key takeaways for the month of February 2019
  • Hedge fund managers returned 0.86% in February, bringing their year-to-date gains to 3.22% as global equity markets continued to rebound during the month. The MSCI ACWI (Local) was up 3.03% in February and 10.61% year-to-date.

  • On an asset-weighted basis, hedge funds were up 0.30% in February, as captured by the Mizuho Eurekahedge Hedge Fund Index (USD). The index was up 1.90% year-to-date after registering a loss of 4.30% throughout 2018.

  • North American fund managers gained 1.46% in February, as the region’s equity markets reacted positively to the dovish tone of the Fed and hopes that the US-China trade relations could improve.

  • The Eurekahedge European Hedge Fund Index gained 0.26% in February, as signs of slowing economic growth persisted within the Eurozone.

  • The Eurekahedge Commodity Hedge Fund Index gained 2.06% during the month, with managers citing the strength in energy sector and industrial metals as return drivers.

  • Fund managers utilising AI/machine learning strategies were up 0.60% in February, bringing their year-to-date returns to 2.96%. The Eurekahedge AI Hedge Fund Index was down 5.26% in 2018.

  • The Eurekahedge Crypto-Currency Hedge Fund Index gained 12.74% in February, recording its best month in nearly a year. Roughly half of the underlying crypto-currency hedge funds managed to outperform Bitcoin which gained 9.65% during the month.

  • The Eurekahedge ILS Advisers Index slumped 0.39% in February, bringing its 2019 year-to-date return to 0.11%. 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 Feb
2019*
2019 Returns 2018 Returns
Eurekahedge AI Hedge Fund Index 0.60 2.96 -5.26

Main Indices

Main Eurekahedge Indices Feb
2019*
2019 Returns 2018 Returns
Eurekahedge Hedge Fund Index 0.86 3.22 -4.16
Eurekahedge Fund of Funds Index 1.31 3.58 -4.54
Eurekahedge Long-only Absolute Return Fund Index 2.30 7.48 -10.92
Eurekahedge Islamic Fund Index 1.19 4.29 -4.75

Regional Indices

Eurekahedge Regional Indices Feb
2019*
2019 Returns 2018 Returns
Eurekahedge North American Hedge Fund Index 1.46 5.01 -3.17
Eurekahedge European Hedge Fund Index 0.26 2.39 -5.00
Eurekahedge Eastern Europe & Russia Hedge Fund Index -2.51 3.32 -12.13
Eurekahedge Japan Hedge Fund Index 0.73 2.78 -9.45
Eurekahedge Emerging Markets Hedge Fund Index 0.80 4.56 -5.32
Eurekahedge Asia ex Japan Hedge Fund Index 2.77 5.32 -9.58
Eurekahedge Latin American Hedge Fund Index -1.12 4.15 7.04

North American fund managers gained 5.01% as of February 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 outcome as they entered the final phase of the negotiations helped equity markets gain during the month. The Eurekahedge European Hedge Fund Index gained 0.26% in February, as the risk-on sentiment among investors was dampened by signs of weakening growth. Asia ex-Japan mandate continued to rebound in February, as the US-China trade talk supported a strong rally in the Chinese equity markets. The Eurekahedge Asia ex Japan Hedge Fund Index was up 2.77% during the month.

Strategy Indices

Returns were mostly positive across strategic mandates in February. The commodity hedge fund mandate outperformed most of its peers with a 2.06% return over the month, owing to the strong recovery of oil prices, which resulted from OPEC’s production cut decision. Event driven and long/short equities strategies benefited from the upward movement in the equity markets around the globe and ended the month up 1.33% and 1.28% respectively. Fixed income fund managers gained 0.69% in February, as the dovish stance of most central banks from developed economies led to lower bond yield during the month.

 

Table 1: Index Flash Strategy Return Map

Eurekahedge Strategy Indices Feb
2019*
2019 Returns 2018 Returns
Eurekahedge Arbitrage Hedge Fund Index 0.88 1.52 -1.07
Eurekahedge CTA/Managed Futures Hedge Fund Index 0.45 0.25 -4.01
Eurekahedge Distressed Debt Hedge Fund Index 0.92 3.44 2.46
Eurekahedge Event Driven Hedge Fund Index 1.33 5.29 -3.30
Eurekahedge Fixed Income Hedge Fund Index 0.69 2.37 -0.03
Eurekahedge Long Short Equities Hedge Fund Index 1.28 5.03 -6.41
Eurekahedge Macro Hedge Fund Index 0.21 1.99 -3.01
Eurekahedge Multi-Strategy Hedge Fund Index 0.71 3.11 -3.43
Eurekahedge Relative Value Hedge Fund Index 0.58 3.13 -0.59
CBOE Eurekahedge Long Volatility Hedge Fund Index -1.70 -6.47 0.83
CBOE Eurekahedge Relative Value Volatility Hedge Fund Index 0.46 1.11 -3.91
CBOE Eurekahedge Short Volatility Hedge Fund Index -0.45 2.83 -13.03
CBOE Eurekahedge Tail Risk Hedge Fund Index 4.43 1.96 -5.75
Eurekahedge Equity Long Bias Hedge Fund Index 1.89 8.03 -9.35
Eurekahedge Equity Market Neutral Hedge Fund Index 0.38 1.21 -1.69
Eurekahedge Trend Following Index 0.54 -0.99 -7.06
Eurekahedge FX Hedge Fund Index -1.45 -1.00 0.57
Eurekahedge Commodity Hedge Fund Index 2.06 3.59 -5.85
Eurekahedge Crypto-Currency Hedge Fund Index 12.74 2.76 -71.86
Eurekahedge AI Hedge Fund Index 0.60 2.96 -5.26
Eurekahedge ILS Advisers Index -0.39 0.11 -3.92
Eurekahedge Global Hedge Fund Indices by Fund Size Feb
2019*
2019 Returns 2018 Returns
Eurekahedge Small Hedge Fund Index (< US$100m) 0.87 3.42 -4.96
Eurekahedge Medium Hedge Fund Index (US$100m - US$500m) 0.81 3.11 -3.23
Eurekahedge Large Hedge Fund Index (> US$500m) 0.92 2.65 -2.64
Eurekahedge Billion Dollar Hedge Fund Index 0.56 1.94 -2.82
Mizuho-Eurekahedge Indices Feb
2019*
2019 Returns 2018 Returns
Mizuho-Eurekahedge Index - USD 0.30 1.90 -4.30
Mizuho-Eurekahedge TOP100 Index - USD 0.26 1.16 -2.71
Mizuho-Eurekahedge TOP300 Index - USD 0.18 1.48 -3.57
Asia-Eurekahedge Indices Feb
2019*
2019 Returns 2018 Returns
Eurekahedge Greater China Hedge Fund Index 7.04 11.94 -14.56
Eurekahedge India Hedge Fund Index 0.82 -2.31 -7.47


Click here to download our daily indices for free. Our indices are updated with the latest fund returns at 23:30 GMT every day and we encourage you to use them to benchmark your portfolio or fund performance. If you would like us to create a bespoke index for you, please let us know.

 

Chat