Despite October bloodbath, 30% of global hedge funds avoid losses during the month with long volatility strategies up 4% |
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The Eurekahedge Hedge Fund Index slumped 2.19%1, in the volatile month of October, bringing year-to-date returns down to -2.08%. The MSCI AC World Index (Local) declined 7.33% in what turned out to be the worst month for both the hedge fund industry and the global equity market since 2011. North American hedge fund managers lost 2.25% over the month as underlying equity markets slumped despite robust economic fundamentals and the strong third quarter corporate earnings season in the US. Over in Asia, concerns over slowing economic growth and the Fed’s tightening exacerbated the equity selloff and weighed on the region’s currencies and equity markets, which have been under pressure of the US-China trade spat for the better part of the year. Asia ex-Japan hedge fund managers lost 4.70% in October, and are currently down 9.35% for the year. Long/short equities hedge fund managers bore the brunt of the equity market movement, which left them down 3.01% over the month. Preliminary numbers show that more than 80% of the fund managers utilising this strategy posted losses in October. Barely a quarter of the underlying constituents of the Eurekahedge Hedge Fund Index avoided ending the month in the negative territory, and only 5.7% of the hedge fund managers were able to maintain double-digit year-to-date performance, the lowest proportion ever recorded by the Eurekahedge database. The asset-weighted Mizuho-Eurekahedge Index (USD) declined 1.75% during the month, narrowly outperforming the equal-weighted Eurekahedge Hedge Fund Index, indicating that the losses were heavier among the small-to-mid sized hedge fund managers. Indeed, the equal-weighted Eurekahedge Small Hedge Fund Index which comprises fund managers overseeing no more than US$100 million in assets was down 2.32%, in contrast to the 2.00% and 1.75% losses posted by medium (US$100 million to US$500 million) and large (above US$500 million) hedge funds. |
Below are the key highlights for the month of October 2018 |
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Index of the Month | Oct 2018* |
2018 Returns | 2017 Returns |
---|---|---|---|
Eurekahedge Greater China Hedge Fund Index | -6.25 | -13.83 | 29.99 |
Main Indices
Main Eurekahedge Indices | Oct 2018* |
2018 Returns | 2017 Returns |
---|---|---|---|
Eurekahedge Hedge Fund Index | -2.19 | -2.08 | 8.43 |
Eurekahedge Fund of Funds Index | -3.14 | -2.64 | 7.22 |
Eurekahedge Long-only Absolute Return Fund Index | -4.94 | -8.55 | 20.39 |
Eurekahedge Islamic Fund Index | -2.92 | -2.97 | 6.71 |
Regional Indices
Eurekahedge Regional Indices | Oct 2018* |
2018 Returns | 2017 Returns |
---|---|---|---|
Eurekahedge North American Hedge Fund Index | -2.25 | 0.91 | 8.03 |
Eurekahedge European Hedge Fund Index | -1.88 | -1.67 | 7.12 |
Eurekahedge Eastern Europe & Russia Hedge Fund Index | -1.96 | -8.39 | 10.78 |
Eurekahedge Japan Hedge Fund Index | -3.04 | -5.44 | 12.91 |
Eurekahedge Emerging Markets Hedge Fund Index | -0.01 | -3.98 | 17.01 |
Eurekahedge Asia ex Japan Hedge Fund Index | -4.70 | -9.35 | 20.78 |
Eurekahedge Latin American Hedge Fund Index | 6.73 | 9.01 | 13.71 |
North American fund managers ended the month down 2.25%, with the underlying long/short equities mandate losing 3.87%, weighed down by the performance of the underlying equity market of the region. The S&P 500 index posted a loss of 6.94%, wiping most of the gains made throughout the year in the worst month for the index since 2011. In the same vein, the NYSE Composite Index was down 6.68%, while the tech-heavy NASDAQ Composite Index lost 9.20% over the month. European fund managers were also in the red during the month, with the Eurekahedge European Hedge Fund Index down 1.88%. Major equity indices in the Eurozone slumped throughout the month on the back of disappointing PMI, as well as political concerns over Italy’s budget dispute and Brexit. Over in Asia, slowing economic growth and weakening currencies continued to be the major themes in October, putting strains on the region’s equity markets. Hedge fund managers focusing on Greater China and India were down 6.25% and 3.73% respectively during the month.
Strategy Indices
Hedge fund performance across strategic mandates were universally red in October, with all of the major Eurekahedge strategy indices posting losses. Macro hedge fund managers topped the table by losing only 0.52% over the month, while on the other end of the spectrum long/short equities fund managers ended at the bottom of the table with a loss of 3.01%. Hedge fund managers utilising CTA/managed futures posted losses of 2.87% in October, marking it as the second worst month of the year for the strategy, trailing behind February, which saw the mandate down 4.12%. Equities featured prominently as a major performance detractor for fund managers in October, with energy sector following closely behind, as industrial metal and oil prices slid down. On the other hand, rate derivatives and FX positions were cited as performance contributors throughout the volatile month, especially for macro fund managers. Fund managers with long volatility views ended the month on the winning side, as they generated profits from the increase in market volatilities. The CBOE Eurekahedge Long Volatility Hedge Fund Index were up 4.02% during the month.
Table 1: Index Flash Strategy Return Map
Eurekahedge Strategy Indices | Oct 2018* |
2018 Returns | 2017 Returns |
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Eurekahedge Arbitrage Hedge Fund Index | -0.58 | -0.62 | 5.28 |
Eurekahedge CTA/Managed Futures Hedge Fund Index | -2.87 | -4.44 | 2.23 |
Eurekahedge Distressed Debt Hedge Fund Index | -1.62 | 5.71 | 6.67 |
Eurekahedge Event Driven Hedge Fund Index | -2.86 | -0.79 | 10.19 |
Eurekahedge Fixed Income Hedge Fund Index | -0.82 | 0.69 | 6.57 |
Eurekahedge Long Short Equities Hedge Fund Index | -3.01 | -2.76 | 12.90 |
Eurekahedge Macro Hedge Fund Index | -0.52 | -1.37 | 4.02 |
Eurekahedge Multi-Strategy Hedge Fund Index | -1.31 | -1.44 | 8.70 |
Eurekahedge Relative Value Hedge Fund Index | -1.19 | 2.24 | 6.83 |
CBOE Eurekahedge Long Volatility Hedge Fund Index | 4.02 | -3.30 | -10.95 |
CBOE Eurekahedge Relative Value Volatility Hedge Fund Index | -0.78 | -0.11 | 3.23 |
CBOE Eurekahedge Short Volatility Hedge Fund Index | -4.94 | -10.04 | 9.06 |
CBOE Eurekahedge Tail Risk Hedge Fund Index | -2.48 | -7.57 | -14.22 |
Eurekahedge Equity Long Bias Hedge Fund Index | -4.70 | -3.87 | 17.00 |
Eurekahedge Equity Market Neutral Hedge Fund Index | -0.96 | -0.56 | 3.85 |
Eurekahedge Trend Following Index | -5.18 | -8.27 | 0.34 |
Eurekahedge FX Hedge Fund Index | 0.72 | 0.93 | -0.19 |
Eurekahedge Commodity Hedge Fund Index | -1.46 | -4.38 | 1.29 |
Eurekahedge Crypto-Currency Hedge Fund Index | -4.17 | -56.90 | 1708.50 |
Eurekahedge AI Hedge Fund Index | -3.00 | -6.54 | 9.00 |
Eurekahedge Global Hedge Fund Indices by Fund Size | Oct 2018* |
2018 Returns | 2017 Returns |
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Eurekahedge Small Hedge Fund Index (< US$100m) | -2.32 | -2.63 | 8.52 |
Eurekahedge Medium Hedge Fund Index (US$100m - US$500m) | -2.00 | -1.11 | 8.19 |
Eurekahedge Large Hedge Fund Index (> US$500m) | -1.75 | -1.48 | 6.56 |
Eurekahedge Billion Dollar Hedge Fund Index | -1.70 | -1.81 | 6.00 |
Mizuho-Eurekahedge Indices | Oct 2018* |
2018 Returns | 2017 Returns |
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Mizuho-Eurekahedge Index - USD | -1.75 | -2.95 | 8.69 |
Mizuho-Eurekahedge TOP100 Index - USD | -1.04 | -1.71 | 6.76 |
Mizuho-Eurekahedge TOP300 Index - USD | -1.47 | -2.42 | 7.75 |
Asia-Eurekahedge Indices | Oct 2018* |
2018 Returns | 2017 Returns |
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Eurekahedge Greater China Hedge Fund Index | -6.25 | -13.83 | 29.99 |
Eurekahedge India Hedge Fund Index | -3.73 | -13.39 | 27.90 |
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