Eurekahedge - Other Products and Services
Fund Of Private Equity Fund Database Free Trial

Hedge Fund News

EH Report

Manager Interviews

‘Mizuho-Eurekahedge Index’ goes live

Asian Hedge Fund Awards

Industry Events Calendar

Fund Launches and Closures


Eurekahedge Hedge Fund Indices

Hedge Fund Monthly
Mizuho Eurekahedge Indices Analysis Report


November 2011


Eurekahedge recently launched a suite of new indices, under the name Mizuho-Eurekahedge Index, which are asset weighted and follow a new and unique methodology. In this report we highlight the key features of this set of indices, analyse the risk-return profile and show how the different statistical properties and analysis can be of use to hedge fund investors.

Key attributes of the methodology

  • Asset weighted to provide a more representative market portfolio
  • All hedge fund’s underlying local currencies converted to USD on a monthly basis along with 3 additional ‘currency hedged’ indices.
  • Minimum AUM levels eliminate smaller funds that will not have a significant impact on the asset flows of the industry
  • The new indices account for backfill bias by only taking into consideration the data of funds after they have listed on the Eurekahedge database – including all historical returns.
  • The new indices account for survivorship bias by including historical performance of all the funds meeting the index criteria at each point in time even if the fund do not exist any more.

Performance Summary

Figure 1 displays the Mizuho-Eurekahedge Index and the Dow Jones World Index and Table 1 shows the corresponding risk return metrics.

Figure 1: Mizuho-Eurekahedge Index vs DJ World Index

When compared to the underlying equity markets1 the Mizuho-Eurekahedge Index has witnessed better performance over the last six and a half years, with less than half the volatility and a low beta (correlation to the markets). Total return for the index stands at …


Please click here to download the analysis (0.3 MB)



1 Represented here by the Dow Jones World Index
If you have any comments about or contributions to make to this newsletter, please email


Industry News
  The Eurekahedge Report - October 2014  
  Asset Flows Update for the Month of September 2014  
  Hedge Fund Performance Commentary for the Month of September 2014  
  2014 Key Trends in North American Hedge Funds  
  2014 Overview: Key Trends in Funds of Hedge Funds  
  The Billion Dollar Interview with Constellation Asset Management  
  CSRC New Regulations on Private Investment Funds  
  It's All There: Post-AIFMD Fundraising Options in Germany  
  Singapore: Opportunities for Islamic Finance  
  The New Deal: Hedge Fund Management Fees Are Subject to Social Security Taxes  
Eurekahedge Hedge Fund Manager Travel Plans

Copyright © 2014 Eurekahedge Pte Ltd.
Use of this site is subject to our terms and conditions of use.