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Index Press Release - 10 September 2013

Hedge funds witnessed mixed returns - down 0.32% amid uncertainty in global markets

Hedge funds witnessed slightly negative returns in August amid increased risk aversion in global markets during the month. The Eurekahedge Hedge Fund Index was down 0.32%1 during the month, outperforming global stock indices as the MSCI World Index2 declined by 2.26% in August.

Key takeaways for the month of August 2013:

  • Global hedge fund AUM declined by more than US$6 billion in August1

  • Launch activity picks up pace in 2013 with more than 500 funds launched globally July year-to-date

  • Hedge funds across major regions outperformed underlying markets in August

  • Distressed debt investing remains the best performing strategy in 2013, up 10% as at end-August

  • Japanese hedge funds outperformed the Nikkei 225 for the fourth consecutive month, up 18.82% year-to-date

  • At 2013 year-to-date, Eurekahedge is tracking more than 600 funds that have delivered over 15% and 200 funds that are up more than 30%

Main Indices

Main Eurekahedge Indices August
2013 Returns 2012 Returns
Hedge Fund Index -0.32 3.18 6.54
Fund of Funds Index -0.96 2.73 4.13
Long-Only Absolute Return Fund Index -1.38 2.99 15.99
Islamic Fund Index -1.47 4.46 7.32


Regional Indices

Eurekahedge Regional Indices August
2013 Returns 2012 Returns
North American 0.35 5.46 7.93
European -0.57 3.11 6.94
Eastern Europe & Russia -2.30 -6.96 6.31
Japan 0.11 18.82 5.97
Emerging Markets 0.01 0.82 11.28
Asia ex-Japan 0.13 3.73 12.32
Latin American 0.48 -0.67 11.23

Risk aversion returned to global markets in August driven by a host of factors. The increased likelihood of the United States waging another war in the Middle East, weakening economic situation in emerging markets and continued concerns of QE tapering by the US Federal Reserve (Fed) were the main drivers of the negative market sentiment during the month. Some of the negativity was offset by improving global economic data as the Eurozone emerged from recession and China PMI numbers also displaying positive trends.

Returns were mixed among the various regional mandates with Latin American and North America hedge funds delivering the strongest returns. The Eurekahedge Latin American Hedge Fund Index gained 0.48% in August mostly due to strong returns posted by Brazil-focused funds, which were up on the back of a strong rebound in the Bovespa (up 3.68%). Managers' holdings were buoyed by surprisingly strong GDP numbers for 2Q 2013 and currency intervention program announced by the Central Bank of Brazil. North American managers outperformed the S&P 500, which declined 3.13% in August. A number of managers had indicated net short positions for August, amid expectations of an announcement of QE-tapering by the Fed, which helped them to post positive returns during the month.

Asian hedge funds outperformed the underlying markets once again, delivering healthy returns amid broadly negative trends in underlying market indices. Managers investing in Asia ex-Japan were up 0.13% while the MSCI Asia ex-Japan index declined 1.22% in August. Japan-focused hedge funds outperformed the underlying markets for the fourth consecutive month, gaining 0.11% while the Nikkei 225 was down 2.04% and the Tokyo Topix declined by 2.27% during the month.


Strategy Indices

The various strategic indices saw mixed returns with event driven hedge funds posting the strongest gains of 0.95% as managers found various opportunities in a month where markets were driven by news flow. The Eurekahedge Event Driven Hedge Fund Index is up 5.70% August 2013 year-to-date. Distressed debt hedge funds were up 0.35% in the month, outperforming the high-yield sector in August. The BofA Merrill Lynch High Yield Index lost 0.62% in August. Macro investing funds and CTA/managed futures funds delivered the largest losses during the month of 0.85% and 0.79% respectively. Most of these funds invest with a global mandate and the negative returns posted by them dragged the main Eurekahedge index into negative territory for the month. A number of managers reported losses from emerging markets and the fx sector. Trend following strategies were negative during the month amid reversals in equities and some commodities while funds employing short-term systematic strategies delivered some gains.


Eurekahedge Strategy Indices August
2013 Returns 2012 Returns
Arbitrage 0.20 4.22 6.66
CTA/Managed Futures -0.79 -3.03 1.37
Distressed Debt 0.35 10.002 14.02
Event Driven 0.92 5.70 8.93
Fixed Income -0.25 3.22 11.21
Long/Short Equities -0.21 7.02 8.09
Macro -0.85 0.09 2.98
Multi-Strategy 0.04 2.55 7.81
Relative Value -1.18 2.28 10.89


Eurekahedge Global Hedge Fund Indices by Fund Size August
2013 Returns 2012 Returns
Small (< US$100m) -0.22 2.95 5.91
Medium (US$100m - US$500m) -0.30 4.03 7.13
Large (> US$500m) -1.19 2.02 7.30
Billion Dollar -1.05 2.57 8.61


Mizuho-Eurekahedge Indices August
2013 Returns 2012 Returns
Mizuho-Eurekahedge Index - USD -1.41 0.67 5.93
TOP 100 Index - USD -1.59 0.36 6.46
TOP 300 Index - USD -1.62 0.42 5.99


Asia-Eurekahedge Indices August
2013 Returns 2012 Returns
Greater China 1.38 8.90 13.19
India -8.73 -16.53 12.62


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1Based on 29.32% of funds which have reported August 2013 returns as at 10 September 2013
2MSCI AC World Index All Core (USD)



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