Mixed returns for hedge funds in November as US, Asia recover but European managers sink over Italy and Brexit |
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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 November 2018 |
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Index of the Month | Nov 2018* |
2018 Returns | 2017 Returns |
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Eurekahedge Greater China Hedge Fund Index | 2.67 | -11.61 | 29.97 |
Main Indices
Main Eurekahedge Indices | Nov 2018* |
2018 Returns | 2017 Returns |
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Eurekahedge Hedge Fund Index | -0.17 | -2.40 | 8.51 |
Eurekahedge Fund of Funds Index | -0.64 | -3.03 | 7.22 |
Eurekahedge Long-only Absolute Return Fund Index | 1.37 | -7.42 | 20.41 |
Eurekahedge Islamic Fund Index | -0.17 | -3.13 | 6.76 |
Regional Indices
Eurekahedge Regional Indices | Nov 2018* |
2018 Returns | 2017 Returns |
---|---|---|---|
Eurekahedge North American Hedge Fund Index | 0.89 | 1.24 | 8.27 |
Eurekahedge European Hedge Fund Index | -1.03 | -3.15 | 7.11 |
Eurekahedge Eastern Europe & Russia Hedge Fund Index | 0.62 | -7.35 | 10.78 |
Eurekahedge Japan Hedge Fund Index | -1.46 | -6.34 | 12.91 |
Eurekahedge Emerging Markets Hedge Fund Index | 1.62 | -3.92 | 16.98 |
Eurekahedge Asia ex Japan Hedge Fund Index | 1.77 | -7.80 | 20.78 |
Eurekahedge Latin American Hedge Fund Index | 1.14 | 7.99 | 13.71 |
North American fund managers ended the month up 0.89% supported by the region’s equity market recovery and gains in the US treasuries. The S&P 500 index edged 1.79% higher throughout the month, as the equity markets reacted positively to the Fed chair’s dovish stance. Fund managers focusing on Asia ex-Japan gained 1.77% in November, supported by the positive market sentiment on slower US rate hikes and strengthening emerging Asian currencies against the US dollar. Across the Asia Pacific region, India and Greater China mandates topped the table, with 5.80% and 2.67% gains respectively throughout the month. European fund managers were in the red during the month, with the Eurekahedge European Hedge Fund Index down 1.03%. Major equity indices in the Eurozone slumped throughout the month on the back of political concerns over Italy’s budget dispute and Brexit negotiation uncertainties.
Strategy Indices
Returns were mixed across strategic mandates in November, with arbitrage fund managers leading the pack with their 4.86% gains. CTA/managed futures mandate was down 0.23% as plummeting oil prices and overall weakness in the energy sector incurred losses to fund managers. The underlying commodity and FX sub strategies were down 1.57% and 1.01% respectively. Distressed debt fund managers lost 1.66% in November, owing to the weak performance of the high yield sector. Despite the trend reversal in equity markets which pushed major indices above their end of October levels, the Eurekahedge Long Short Equities Hedge Fund Index was down 0.49% for the month as fund managers weren’t well-positioned to benefit from the equity market movement over the latter half of November.
Table 1: Index Flash Strategy Return Map
Eurekahedge Strategy Indices | Nov 2018* |
2018 Returns | 2017 Returns |
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Eurekahedge Arbitrage Hedge Fund Index | 4.86 | 2.76 | 5.28 |
Eurekahedge CTA/Managed Futures Hedge Fund Index | -0.23 | -4.21 | 2.27 |
Eurekahedge Distressed Debt Hedge Fund Index | -1.66 | 4.91 | 6.68 |
Eurekahedge Event Driven Hedge Fund Index | 1.53 | 1.09 | 10.16 |
Eurekahedge Fixed Income Hedge Fund Index | -0.56 | 0.37 | 6.57 |
Eurekahedge Long Short Equities Hedge Fund Index | -0.49 | -3.82 | 12.91 |
Eurekahedge Macro Hedge Fund Index | -0.82 | -2.55 | 4.20 |
Eurekahedge Multi-Strategy Hedge Fund Index | -0.27 | -2.05 | 9.18 |
Eurekahedge Relative Value Hedge Fund Index | 0.63 | 2.48 | 6.86 |
CBOE Eurekahedge Long Volatility Hedge Fund Index | -0.68 | -4.23 | -10.95 |
CBOE Eurekahedge Relative Value Volatility Hedge Fund Index | -0.16 | -1.72 | 3.23 |
CBOE Eurekahedge Short Volatility Hedge Fund Index | 0.95 | -7.48 | 9.06 |
CBOE Eurekahedge Tail Risk Hedge Fund Index | 0.22 | -5.23 | -14.22 |
Eurekahedge Equity Long Bias Hedge Fund Index | -0.20 | -4.74 | 17.00 |
Eurekahedge Equity Market Neutral Hedge Fund Index | -1.64 | -2.00 | 3.85 |
Eurekahedge Trend Following Index | -0.18 | -8.15 | 0.34 |
Eurekahedge FX Hedge Fund Index | -1.01 | 0.18 | -0.19 |
Eurekahedge Commodity Hedge Fund Index | -1.57 | -5.59 | 1.27 |
Eurekahedge Crypto-Currency Hedge Fund Index | -10.88 | -61.47 | 1708.50 |
Eurekahedge AI Hedge Fund Index | 2.09 | -4.50 | 9.00 |
Eurekahedge Global Hedge Fund Indices by Fund Size | Nov 2018* |
2018 Returns | 2017 Returns |
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Eurekahedge Small Hedge Fund Index (< US$100m) | 0.09 | -2.76 | 8.61 |
Eurekahedge Medium Hedge Fund Index (US$100m - US$500m) | -0.46 | -1.83 | 8.17 |
Eurekahedge Large Hedge Fund Index (> US$500m) | -0.61 | -1.95 | 6.55 |
Eurekahedge Billion Dollar Hedge Fund Index | -0.98 | -2.58 | 5.97 |
Mizuho-Eurekahedge Indices | Nov 2018* |
2018 Returns | 2017 Returns |
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Mizuho-Eurekahedge Index - USD | -0.73 | -3.79 | 8.69 |
Mizuho-Eurekahedge TOP100 Index - USD | -0.78 | -2.75 | 6.76 |
Mizuho-Eurekahedge TOP300 Index - USD | -0.80 | -3.39 | 7.75 |
Asia-Eurekahedge Indices | Nov 2018* |
2018 Returns | 2017 Returns |
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Eurekahedge Greater China Hedge Fund Index | 2.67 | -11.61 | 29.97 |
Eurekahedge India Hedge Fund Index | 5.80 | -7.19 | 27.90 |
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