Hedge fund managers posted minor losses amidst re-escalating US-China trade tension |
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The Eurekahedge Hedge Fund Index slumped 0.63% 1 in May as hedge fund managers struggled to generate returns during the risk-off month. The Trump administration’s decision to raise tariffs on US$200 billion of Chinese imports signalled the escalation of the trade conflict between the US and China, leading to retaliatory tariffs from the other side. The worsening global economic outlook pushed global equities into the red for the month, as indicated by the 6.12% decline posted by the MSCI ACWI (Local). On the other hand, the US 10-year treasury yield dipped to its lowest point in almost two years, as investors expect that the Fed will have to cut interest rates in near future. Returns were mostly negative across geographic mandates in May, with Asia ex-Japan fund managers down 1.44%, and North American fund managers down 1.17%. Across strategies, managers utilising equity long-bias and trend following strategies suffered the biggest losses, as the two mandates were down 3.05% and 2.62% respectively. Roughly 42.3% of the underlying constituents of the Eurekahedge Hedge Fund Index posted positive returns in May, and 13.9% of the hedge fund managers in the database managed to maintain double-digit returns over the first five months of 2019. Looking at year-to-date performance, fund managers utilising equity long-bias strategies maintained their place at the top with 7.84% gain, despite the losses they suffered this month. |
Below are the key highlights for the month of May 2019 |
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Index of the Month | May 2019* |
2019 Returns | 2018 Returns |
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CBOE Eurekahedge Relative Value Volatility Hedge Fund Index | 0.75 | 1.74 | -3.91 |
Main Indices
Main Eurekahedge Indices | May 2019* |
2019 Returns | 2018 Returns |
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Eurekahedge Hedge Fund Index | -0.63 | 4.41 | -4.00 |
Eurekahedge Fund of Funds Index | -0.62 | 4.67 | -4.43 |
Eurekahedge Long-only Absolute Return Fund Index | -2.58 | 7.61 | -10.90 |
Eurekahedge Islamic Fund Index | -1.65 | 5.05 | -4.71 |
Regional Indices
Eurekahedge Regional Indices | May 2019* |
2019 Returns | 2018 Returns |
---|---|---|---|
Eurekahedge North American Hedge Fund Index | -1.17 | 5.34 | -3.05 |
Eurekahedge European Hedge Fund Index | -0.13 | 3.75 | -4.87 |
Eurekahedge Eastern Europe & Russia Hedge Fund Index | 1.09 | 9.60 | -12.79 |
Eurekahedge Japan Hedge Fund Index | -1.19 | 1.49 | -9.25 |
Eurekahedge Emerging Markets Hedge Fund Index | -0.90 | 5.54 | -5.22 |
Eurekahedge Asia ex Japan Hedge Fund Index | -1.44 | 6.15 | -9.00 |
Eurekahedge Latin American Hedge Fund Index | 1.05 | 5.39 | 7.04 |
North American fund managers were down 1.17% in May, bringing their year-to-date return to 5.34%. The deteriorating trade relation between the US and China is expected to weigh on the region’s equity market performance, which has enjoyed robust Q1 economic growth and accommodative central bank policies since the beginning of the year. Over in Asia, fund managers with Asia ex-Japan investment mandate ended the month down 1.44%, bringing their year-to-date gain to 6.15%. Latin American fund managers emerged largely unscathed, as they gained 1.05% in May.
Strategy Indices
Returns were mixed across strategic mandates in May. Long-biased equity hedge funds lost 3.05% during the month, but still maintained their top spot in terms of year-to-date performance. On the other end of the spectrum, long volatility fund managers were down 6.35% over the first five months of the year. Among the major strategic mandates, distressed debt and macro fund managers posted the best returns during the month, as they gained 0.52% and 0.33% respectively.
Table 1: Strategy return map
Eurekahedge Strategy Indices | May 2019* |
2019 Returns | 2018 Returns |
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Eurekahedge Arbitrage Hedge Fund Index | -0.51 | 1.93 | -0.85 |
Eurekahedge CTA/Managed Futures Hedge Fund Index | -0.44 | 2.27 | -3.83 |
Eurekahedge Distressed Debt Hedge Fund Index | 0.52 | 3.29 | 2.72 |
Eurekahedge Event Driven Hedge Fund Index | -2.42 | 4.12 | -3.26 |
Eurekahedge Fixed Income Hedge Fund Index | -0.09 | 3.83 | 0.05 |
Eurekahedge Long Short Equities Hedge Fund Index | -1.39 | 5.61 | -6.32 |
Eurekahedge Macro Hedge Fund Index | 0.33 | 3.38 | -2.71 |
Eurekahedge Multi-Strategy Hedge Fund Index | -0.01 | 4.22 | -3.60 |
Eurekahedge Relative Value Hedge Fund Index | -1.08 | 3.52 | -0.65 |
CBOE Eurekahedge Long Volatility Hedge Fund Index | 1.20 | -6.35 | 0.83 |
CBOE Eurekahedge Relative Value Volatility Hedge Fund Index | 0.75 | 1.74 | -3.91 |
CBOE Eurekahedge Short Volatility Hedge Fund Index | 0.63 | 2.34 | -13.03 |
CBOE Eurekahedge Tail Risk Hedge Fund Index | n/a | -0.83 | -5.75 |
Eurekahedge Equity Long Bias Hedge Fund Index | -3.05 | 7.84 | -9.39 |
Eurekahedge Equity Market Neutral Hedge Fund Index | 0.47 | 1.37 | -1.90 |
Eurekahedge Trend Following Index | -2.62 | 2.09 | -7.06 |
Eurekahedge FX Hedge Fund Index | 1.94 | 0.90 | -0.25 |
Eurekahedge Commodity Hedge Fund Index | -0.64 | 1.67 | -5.93 |
Eurekahedge Crypto-Currency Hedge Fund Index | 29.02 | 62.86 | -67.92 |
Eurekahedge AI Hedge Fund Index | -2.21 | 1.35 | -5.05 |
Eurekahedge ILS Advisers Index | -0.84 | -1.10 | -3.92 |
Eurekahedge Global Hedge Fund Indices by Fund Size | May 2019* |
2019 Returns | 2018 Returns |
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Eurekahedge Small Hedge Fund Index (< US$100m) | -0.69 | 4.45 | -4.76 |
Eurekahedge Medium Hedge Fund Index (US$100m - US$500m) | -0.70 | 4.11 | -3.04 |
Eurekahedge Large Hedge Fund Index (> US$500m) | -0.85 | 3.71 | -2.47 |
Eurekahedge Billion Dollar Hedge Fund Index | -0.47 | 3.73 | -2.58 |
Mizuho-Eurekahedge Indices | May 2019* |
2019 Returns | 2018 Returns |
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Mizuho-Eurekahedge Index - USD | -1.14 | 2.24 | -4.30 |
Mizuho-Eurekahedge TOP100 Index - USD | -1.23 | 1.88 | -2.71 |
Mizuho-Eurekahedge TOP300 Index - USD | -1.13 | 2.13 | -3.56 |
Asia-Eurekahedge Indices | May 2019* |
2019 Returns | 2018 Returns |
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Eurekahedge Greater China Hedge Fund Index | -6.25 | 5.43 | -12.73 |
Eurekahedge India Hedge Fund Index | 0.73 | 2.35 | -7.54 |
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