Indices

Index Flash Update - 10 September 2019

EQUAL WEIGHTED HEDGE FUND INDICES

ASSET WEIGHTED HEDGE FUND INDICES

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Hedge fund managers up 0.31% amidst intensifying US-China trade tension and slowing growth

The Eurekahedge Hedge Fund Index was up 0.31%1 in August, outperforming the MSCI ACWI (Local) which ended the month down 2.37%. Tariff threats and slowing growth prompted the People’s Bank of China to allow the CNY to weaken past the symbolic 7 per USD level early into the month, which in turn resulted in the US Treasury Department labelling China a currency manipulator. The risk-off sentiment among investors during the month was mostly driven by political concerns encompassing the US-China trade war, the deteriorating bilateral relationship between Japan and South Korea, the ongoing protests in Hong Kong, and the risk of a no-deal Brexit among other things. Returns were negative across geographic mandates in August, with North American fund managers down 0.39% and Asia ex-Japan fund managers losing 1.07%. Fund managers utilising equity long-bias strategies lost 2.03% throughout the month, dragging their year-to-date return to 9.31%.

Roughly 54.3% of the underlying constituents of the Eurekahedge Hedge Fund Index posted positive returns in August, and 30.9% of the hedge fund managers in the database were able to maintain double-digit returns over the first eight months of 2019.

Below are the key highlights for the month of August 2019
  • Hedge fund managers gained 0.31% in August, bringing their year-to-date return to 6.73% despite the risk-off sentiment which sent global equity markets down 2.37% over the month. The MSCI ACWI (Local) is still up 12.60% as of August 2019 year-to-date

  • On an asset-weighted basis, hedge funds were up 0.07% in August, as captured by the Mizuho Eurekahedge Hedge Fund Index (USD).The index was up 4.76% over the first eight months of the year.

  • The Eurekahedge North American Hedge Fund Index slipped 0.39% during the month, as US equities slumped over the month. North American fund managers utilising long/short equities strategy were down 1.49% in August.

  • The Eurekahedge Greater China Hedge Fund Index declined 0.13% in August, outperforming the region’s weak underlying equity markets as investor sentiment was affected by the US-China trade war and the ongoing protests in Hong Kong. The mandate is still up 8.63% year-to-date, owing to the strong Q1 performance of fund managers.

  • The Eurekahedge CTA/Managed Futures Hedge Fund Index gained 2.67% in August, pushing their year-to-date return to 8.18%. The underlying fund managers focusing on commodity and trend-following strategies were up 4.13% and 3.62% respectively over the month.

  • The Eurekahedge Fixed Income Hedge Fund Index was down 0.06% in August, despite the strong government and high-yield bond markets throughout the month. Bond yields dropped over the month as investors anticipated further rate cuts from the Fed.

  • Fund managers utilising AI/machine learning strategies ended the month of August up 1.46%. The Eurekahedge AI Hedge Fund Index was up 4.37% year-to-date.

  • The Eurekahedge Crypto-Currency Hedge Fund Index was down 3.00% in August, narrowly underperforming Bitcoin which ended the month flat. Fund managers focusing on crypto-currencies are up 57.86% over the first eight months of 2019, which compares to the 148.11% year-to-date gain posted by Bitcoin.
Index of the Month Aug
2019*
2019 Returns 2018 Returns
Eurekahedge Long Short Equities Hedge Fund Index -0.91 6.27 -6.41

Main Indices

Main Eurekahedge Indices Aug
2019*
2019 Returns 2018 Returns
Eurekahedge Hedge Fund Index 0.31 6.73 -4.05
Eurekahedge Fund of Funds Index -0.01 7.02 -4.44
Eurekahedge Long-only Absolute Return Fund Index -1.82 8.49 -10.83
Eurekahedge Islamic Fund Index -1.43 5.21 -4.66

Regional Indices

Eurekahedge Regional Indices Aug
2019*
2019 Returns 2018 Returns
Eurekahedge North American Hedge Fund Index -0.39 6.42 -3.10
Eurekahedge European Hedge Fund Index -0.54 4.02 -4.86
Eurekahedge Eastern Europe & Russia Hedge Fund Index -3.79 9.58 -12.86
Eurekahedge Japan Hedge Fund Index -1.15 1.10 -9.32
Eurekahedge Emerging Markets Hedge Fund Index 1.22 6.47 -5.41
Eurekahedge Asia ex Japan Hedge Fund Index -1.07 6.71 -9.55
Eurekahedge Latin American Hedge Fund Index -0.20 9.54 6.92

North American fund managers were down 0.39% in August, bringing their year-to-date return to 6.42%. The region’s equity market slumped over the month, with the S&P 500 down 1.81% and the tech-heavy NASDAQ Composite down 2.60%. Over in Asia, fund managers with Asia ex-Japan investment mandate ended the month down 1.07%, dragging their year-to-date gain to 6.71% as the poor performance of the region’s equities over the month weighed on fund managers’ returns. Japan-focused hedge funds also ended the month in the red, as they lost 1.15% over the month. Deteriorating political situations within the region have continued to plague the region’s equity markets throughout the month.

Strategy Indices

Returns were mixed across strategic mandates in August with long volatility and commodity fund managers leading the group with 5.11% and 4.13% returns respectively. Long-biased equity hedge funds lost 2.03% during the month, yielding their top spot in the strategy return map to trend following hedge funds who returned 3.62% in August. The Eurekahedge ILS Advisers Index slumped 0.43% over the month, as loss creep continues to weigh on the performance of ILS funds.

 

Table 1: Strategy return map

Eurekahedge Strategy Indices Aug
2019*
2019 Returns 2018 Returns
Eurekahedge Arbitrage Hedge Fund Index -0.43 3.37 -0.86
Eurekahedge CTA/Managed Futures Hedge Fund Index 2.67 8.18 -3.89
Eurekahedge Distressed Debt Hedge Fund Index -2.06 -0.13 3.25
Eurekahedge Event Driven Hedge Fund Index -1.41 4.66 -3.00
Eurekahedge Fixed Income Hedge Fund Index -0.06 5.56 0.06
Eurekahedge Long Short Equities Hedge Fund Index -0.91 6.27 -6.41
Eurekahedge Macro Hedge Fund Index 0.93 7.75 -3.00
Eurekahedge Multi-Strategy Hedge Fund Index 0.56 6.36 -3.63
Eurekahedge Relative Value Hedge Fund Index -0.80 3.99 -0.27
CBOE Eurekahedge Long Volatility Hedge Fund Index 5.11 -3.51 0.83
CBOE Eurekahedge Relative Value Volatility Hedge Fund Index -1.48 -0.64 -3.91
CBOE Eurekahedge Short Volatility Hedge Fund Index -1.35 1.32 -13.03
CBOE Eurekahedge Tail Risk Hedge Fund Index 1.97 -1.90 -5.75
Eurekahedge Equity Long Bias Hedge Fund Index -2.03 9.31 -9.37
Eurekahedge Equity Market Neutral Hedge Fund Index 0.12 1.29 -1.90
Eurekahedge Trend Following Index 3.62 11.96 -7.06
Eurekahedge FX Hedge Fund Index 1.59 3.81 -0.25
Eurekahedge Commodity Hedge Fund Index 4.13 8.94 -5.92
Eurekahedge Crypto-Currency Hedge Fund Index -3.00 57.86 -71.81
Eurekahedge AI Hedge Fund Index 1.46 4.37 -4.31
Eurekahedge ILS Advisers Index -0.43 -1.13 -3.92
Eurekahedge Global Hedge Fund Indices by Fund Size Aug
2019*
2019 Returns 2018 Returns
Eurekahedge Small Hedge Fund Index (< US$100m) 0.11 6.52 -4.77
Eurekahedge Medium Hedge Fund Index (US$100m - US$500m) 0.60 6.87 -3.13
Eurekahedge Large Hedge Fund Index (> US$500m) 0.61 6.81 -2.47
Eurekahedge Billion Dollar Hedge Fund Index 0.57 6.45 -2.54
Mizuho-Eurekahedge Indices Aug
2019*
2019 Returns 2018 Returns
Mizuho-Eurekahedge Index - USD 0.07 4.76 -4.30
Mizuho-Eurekahedge TOP100 Index - USD 0.43 5.22 -2.71
Mizuho-Eurekahedge TOP300 Index - USD 0.16 4.99 -3.56
Asia-Eurekahedge Indices Aug
2019*
2019 Returns 2018 Returns
Eurekahedge Greater China Hedge Fund Index -0.13 9.79 -13.17
Eurekahedge India Hedge Fund Index -3.91 -6.47 -8.06


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