Indices

Index Flash Update - 11 September 2018

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Hedge funds continue to struggle as asset weighted returns for the year turn negative

The Eurekahedge Hedge Fund Index was flat-to-marginally positive at 0.05%1 during the month of August, trailing behind the MSCI AC World Index (Local) which gained 1.06% over the course of the month. The Eurekahedge North American Hedge Fund Index maintained its lead gaining 0.84% in August, with underlying long/short equities focused managers up 1.57% during the month. European fund managers posted losses in August of 0.28%, bringing their year-to-date gains down to 0.41%. Rising tensions between the US and China over trade continued to weigh on market sentiment, with Asian hedge fund managers posting their third consecutive month of losses down 0.24%. Emerging markets focused mandates as a whole were under pressure during the month as the Turkish lira went into free fall and concerns arose over the health of emerging economies running significant trade and fiscal deficits in an environment of increasing US dollar strength. Emerging managers with a focus on Turkey posted have posted three month losses of 19.75% through to August, and are down 24.72% year-to-date. Across primary investing strategies, distressed debt, CTA/managed futures and relative value strategies had the strongest showing posting gains of 2.22%, 1.00% and 0.70% respectively during the month.

Roughly 47.6% of the underlying constituents of the Eurekahedge Hedge Fund Index were in positive territory by the end of August, with 10.8% of these managers posting double-digit gains year-to-date. On an asset weighted basis as captured by the Mizuho-Eurekahedge Hedge Fund Index (USD), hedge funds have struggled in 2018 with losses of 1.89% as of August 2018 year-to-date. Despite this bleak picture, North American mandates have done relatively better and are up 3.16% for the year, while across strategies distressed debt and relative value top the tables gaining 8.20% and 3.93% respectively for the year.

Below are the key highlights for the month of August 2018
  • Hedge funds were flat-to-marginally positive in August, up 0.05%, bringing their year-to-date returns at 0.40%. On the other hand the MSCI AC World Index (Local) was up 3.67% over the first eight months of 2018 with almost 21% of the hedge fund managers outperforming this market index.

  • On an asset weighted basis, hedge funds were down 0.83% in August and have declined 1.89% for the year as captured by the Mizuho Eurekahedge Hedge Fund Index (USD).

  • North American fund managers topped the table among geographic mandates, gaining 0.84% in August and 3.16% as of 2018 year-to-date. Underlying equity focused strategies have gained 5.59% for the year as US markets push higher on an increasingly tech-sector focused climb.

  • Greater China focused hedge fund managers posted their third consecutive month of losses, down 3.73% in August, 6.03% as of August 2018 year-to-date. Increasing trade tensions have seen the Eurekahedge Greater China Hedge Fund Index post losses of 9.88% in the three months through to August.

  • Distressed debt hedge funds topped the table in August with their 2.22% return over the month, which brought their year-to-date return to 8.20% - the highest among all strategic mandates.

  • CTA/managed futures hedge funds rebounded with 1.00% gain in August, with underlying trend following strategies up 2.70% during the month, offsetting losses for FX and commodity focused managers who declined 0.34% and 1.49% respectively.

  • AI hedge fund managers posted their fifth monthly loss for the year in August and were down 0.43%. The Eurekahedge AI Hedge Fund Index has declined 2.64% for the year following gains of 8.40% in 2017.

  • The Eurekahedge Crypto-Currency Hedge Fund Index which tracks hedge funds investing in crypto assets was down 13.05% as Bitcoin, Ethereum and Ripple declined 9.23%, 37.53% and 23.26% respectively in August. On a year-to-date basis, crypto-currency hedge fund managers are down 52.80%, underperforming the Bitcoin price index which declined 49.39% over the same period.

Index of the Month Aug
2018*
2018 Returns 2017 Returns
CBOE Eurekahedge Short Volatility Hedge Fund Index 0.62 -5.59 9.06

Main Indices

Main Eurekahedge Indices Aug
2018*
2018 Returns 2017 Returns
Eurekahedge Hedge Fund Index 0.05 0.40 8.27
Eurekahedge Fund of Funds Index 0.30 0.96 7.21
Eurekahedge Long-only Absolute Return Fund Index -1.26 -2.90 20.46
Eurekahedge Islamic Fund Index 0.00 0.43 6.73

Regional Indices

Eurekahedge Regional Indices Aug
2018*
2018 Returns 2017 Returns
Eurekahedge North American Hedge Fund Index 0.84 3.16 7.93
Eurekahedge European Hedge Fund Index -0.28 0.41 7.08
Eurekahedge Eastern Europe & Russia Hedge Fund Index -4.42 -7.98 10.78
Eurekahedge Japan Hedge Fund Index 0.08 -2.39 12.91
Eurekahedge Emerging Markets Hedge Fund Index -2.27 -3.13 16.97
Eurekahedge Asia ex Japan Hedge Fund Index -0.16 -1.57 20.79
Eurekahedge Latin American Hedge Fund Index -2.82 0.63 13.51

North American fund managers ended the month up 0.84% boosted by underlying equity markets which continued to rally with the NASDAQ and SP500 up 6.01% and 3.52% respectively in August. European fund managers struggled during the month, down 0.28% as underlying equity markets declined 2.26% as captured by the MSCI AC Europe Index (Local). Japan focused managers were flat to marginally positive at 0.08%, unable to rescue the Eurekahedge Japan Hedge Fund Index which is firmly in the red for the year down 2.39% as of August year-to-date.

Meanwhile a rising US dollar, continuing trade tensions and the Turkish Lira took their toll on emerging market sentiment with the Eurekahedge Emerging Markets Hedge Fund Index down 2.27% in August, and 3.13% 2018 YTD. Managers investing in Turkey posted losses of 19.53% in August as per preliminary estimates, while those focused on Greater China declined 3.73% during the month. India focused hedge funds managed to return a positive 1.92% gain despite the Indian rupee coming under pressure during the month, however underlying managers remain in the red for the year down 2.08% YTD.

Strategy Indices

The Eurekahedge Distressed Debt Hedge Fund Index topped the table across strategic mandates in August, gaining 2.22% thanks largely in part to gains accruing from exposure to Puerto Rican debt. CTA/managed futures hedge funds also posted strong gains of 1.00% during the month, with underlying trend-following focused strategies gaining 2.70% during the month as long exposures to energy futures and US equity markets resulted in strong gains for underlying managers. Relative value players were another bright spot, with the Eurekahedge Relative Value Hedge Fund Index gaining 0.70% in August and is up 3.93% year-to-date.

 

Table 1: Index Flash Strategy Return Map

Eurekahedge Strategy Indices Aug
2018*
2018 Returns 2017 Returns
Eurekahedge Arbitrage Hedge Fund Index 0.08 -0.25 5.27
Eurekahedge CTA/Managed Futures Hedge Fund Index 1.00 -1.20 2.32
Eurekahedge Distressed Debt Hedge Fund Index 2.22 8.20 6.50
Eurekahedge Event Driven Hedge Fund Index -0.60 1.63 10.38
Eurekahedge Fixed Income Hedge Fund Index -0.81 0.46 6.55
Eurekahedge Long Short Equities Hedge Fund Index 0.10 1.04 12.90
Eurekahedge Macro Hedge Fund Index -0.86 -1.32 3.98
Eurekahedge Multi-Strategy Hedge Fund Index -0.70 -0.74 8.82
Eurekahedge Relative Value Hedge Fund Index 0.70 3.93 6.83
CBOE Eurekahedge Long Volatility Hedge Fund Index -0.52 -6.69 -10.95
CBOE Eurekahedge Relative Value Volatility Hedge Fund Index 0.81 0.73 3.23
CBOE Eurekahedge Short Volatility Hedge Fund Index 0.62 -5.59 9.06
CBOE Eurekahedge Tail Risk Hedge Fund Index -6.83 -8.57 -14.22
Eurekahedge Equity Long Bias Hedge Fund Index 0.54 2.24 17.03
Eurekahedge Equity Market Neutral Hedge Fund -0.33 0.21 3.85
Eurekahedge Trend Following Index 2.70 -2.19 0.34
Eurekahedge FX Hedge Fund Index -0.34 0.56 -0.19
Eurekahedge Commodity Hedge Fund Index -1.49 -2.68 1.29
Eurekahedge Crypto-Currency Hedge Fund Index -13.05 -52.80 1708.50
Eurekahedge AI Hedge Fund Index -0.43 -2.64 8.40
Eurekahedge Global Hedge Fund Indices by Fund Size Aug
2018*
2018 Returns 2017 Returns
Eurekahedge Small Hedge Fund Index (< US$100m) 0.06 0.14 8.41
Eurekahedge Medium Hedge Fund Index (US$100m - US$500m) 0.22 1.24 8.23
Eurekahedge Large Hedge Fund Index (> US$500m) -0.39 -0.23 6.57
Eurekahedge Billion Dollar Hedge Fund Index -0.59 -0.73 5.94
Mizuho-Eurekahedge Indices Aug
2018*
2018 Returns 2017 Returns
Mizuho-Eurekahedge Index - USD -0.83 -1.89 8.69
Mizuho-Eurekahedge TOP100 Index - USD -0.70 -1.76 6.76
Mizuho-Eurekahedge TOP300 Index - USD -0.91 -2.00 7.75
Asia-Eurekahedge Indices Aug
2018*
2018 Returns 2017 Returns
Eurekahedge Greater China Hedge Fund Index -3.73 -6.03 29.80
Eurekahedge India Hedge Fund Index 1.92 -2.08 27.64


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