Index Flash Update - 08 October 2019







Hedge funds down 0.32% in September as CTAs and Macro Hedge Funds struggle to perform

The Eurekahedge Hedge Fund Index was down 0.32%1 in September, in spite of the recovery exhibited by the global equity market as represented by the MSCI ACWI (Local), which ended the month up 2.04%. The resumption of the US-China trade talks and the withdrawal of the controversial Hong Kong extradition bill provided support for the two regions’ equity markets early into the month. Toward the end of the month, the impeachment inquiry against the US president Donald Trump wiped a portion of the gains posted by US equities, sending the S&P 500 down 1.01% through the week ending 27 September. The global bond markets saw yields decline over the third quarter of the year, as major central banks adopted accommodative stances and reduced rates. The ECB announced new stimulus measures in September, including the resumption of the asset purchases, while the Fed decided to cut their rate for a second time this year in September. Returns were positive across geographic mandates in September, with fund managers focusing on emerging markets up 1.20%, outperforming their North American and European peers who were up 0.19% and 0.10% respectively. Japanese hedge funds gained 1.50% over the month of September, owing to the weakness of the yen, which sent the Nikkei 5.08% higher. Across strategies, macro and CTA/managed futures fund managers were down 0.40% and 1.96% respectively throughout the month, while long/short equities fund managers benefited from the recovering equity markets and returned 0.18%.

Roughly 50.6% of the underlying constituents of the Eurekahedge Hedge Fund Index posted positive returns in September, and 25.9% of the hedge fund managers in the database were able to maintain double-digit returns over the first three quarters of 2019.

Below are the key highlights for the month of September 2019
  • Hedge fund managers were down 0.32% in September, dragging their year-to-date return to 5.67% despite the recovering investor risk sentiment, which pushed the global equity market up 2.04% over the month. The MSCI ACWI (Local) is still up 14.89% as of September 2019 year-to-date

  • On an asset-weighted basis, hedge funds were up 0.28% in September, as captured by the Mizuho Eurekahedge Hedge Fund Index (USD). The index was up 4.34% over the first nine months of the year.

  • The Eurekahedge North American Hedge Fund Index edged 0.19% higher during the month, as the sell-off triggered by the impeachment inquiry against President Trump was outweighed by the gains made by US equities earlier in the month. The S&P 500 was still up 1.72% throughout the month.

  • The Eurekahedge Greater China Hedge Fund Index declined 0.90% in September, in spite of the gains posted by the Hang Seng and the mainland benchmark indices over the month. The withdrawal of the extradition bill in early September provided some support for Hong Kong’s equity market, but proved ineffective in alleviating the tense situation as the protests continued to escalate.

  • The Eurekahedge CTA/Managed Futures Hedge Fund Index was down 1.96% in September, as fund managers suffered from the decline in precious metal prices. The vacillant intra-month movement in the energy sector following the drone attack on Saudi oil facilities produced mixed results, with some managers posting gains from the oil price spike, and others losing from the subsequent decline.

  • Fund managers utilising AI/machine learning strategies posted their third consecutive month of losses, as they slumped 1.24% in September. On a year-to-date basis, the Eurekahedge AI Hedge Fund Index is still up 1.06%.

  • The Eurekahedge Crypto-Currency Hedge Fund Index was down 10.64% in September, outperforming Bitcoin which ended the month down 15.69%. Fund managers focusing on crypto-currencies are up 29.39% over the first three quarters of 2019, which compares to the 109.17% year-to-date gain posted by Bitcoin.
Index of the Month Sep
2019 Returns 2018 Returns
Eurekahedge Greater China Hedge Fund Index -0.90 7.39 -13.17

Main Indices

Main Eurekahedge Indices Sep
2019 Returns 2018 Returns
Eurekahedge Hedge Fund Index -0.32 5.67 -4.02
Eurekahedge Fund of Funds Index -0.30 6.17 -4.41
Eurekahedge Long-only Absolute Return Fund Index 1.27 9.46 -10.81
Eurekahedge Islamic Fund Index 1.06 6.38 -4.66

Regional Indices

Eurekahedge Regional Indices Sep
2019 Returns 2018 Returns
Eurekahedge North American Hedge Fund Index 0.19 5.91 -3.13
Eurekahedge European Hedge Fund Index 0.10 3.96 -4.85
Eurekahedge Eastern Europe & Russia Hedge Fund Index 0.75 10.03 -12.86
Eurekahedge Japan Hedge Fund Index 1.50 2.13 -9.32
Eurekahedge Emerging Markets Hedge Fund Index 1.20 6.59 -5.41
Eurekahedge Asia ex Japan Hedge Fund Index 0.52 7.05 -9.55
Eurekahedge Latin American Hedge Fund Index 2.49 9.56 6.92

North American fund managers were up 0.19% in September, bringing their year-to-date return to 5.91%. The region’s equity market recovered on the back of the US-China trade negotiation progress, with the S&P 500 up 1.72% during the month. Over in Asia, fund managers with Asia ex-Japan investment mandate ended the month up 0.52%, bringing their year-to-date gain to 7.05%. Japan-focused hedge funds ended the month up 1.50%, as the weak yen provided support for the country’s equity market.

Strategy Indices

Returns were mixed across strategic mandates in September with fund managers utilising short volatility outperforming their peers by virtue of the suppressed market volatility level throughout the month. The CBOE Eurekahedge Short Volatility Hedge Fund Index was up 2.68% in September, bringing its year-to-date return to 4.69%. CTA/managed futures hedge fund managers ended the month down 1.96% with precious metals being a major performance detractor. The three sub-strategies of the mandate: trend-following, commodity and FX were down 4.29%, 2.68% and 0.14% in September respectively. On a year-to-date basis, equity long bias fund managers topped the table as seen in the strategy return map below. The mandate has returned 9.80% over the first three quarters of 2019, supported by the recovering equity markets around the globe.


Table 1: Strategy return map

Eurekahedge Strategy Indices Sep
2019 Returns 2018 Returns
Eurekahedge Arbitrage Hedge Fund Index 0.18 4.03 -0.74
Eurekahedge CTA/Managed Futures Hedge Fund Index -1.96 5.47 -3.84
Eurekahedge Distressed Debt Hedge Fund Index 0.16 1.55 3.25
Eurekahedge Event Driven Hedge Fund Index 0.82 5.17 -3.00
Eurekahedge Fixed Income Hedge Fund Index 0.15 5.48 0.05
Eurekahedge Long Short Equities Hedge Fund Index 0.18 6.05 -6.36
Eurekahedge Macro Hedge Fund Index -0.40 7.92 -2.87
Eurekahedge Multi-Strategy Hedge Fund Index 0.28 5.46 -3.63
Eurekahedge Relative Value Hedge Fund Index 0.37 2.84 -0.18
CBOE Eurekahedge Long Volatility Hedge Fund Index -1.62 -6.95 0.83
CBOE Eurekahedge Relative Value Volatility Hedge Fund Index 0.90 0.29 -3.91
CBOE Eurekahedge Short Volatility Hedge Fund Index 2.68 4.69 -13.03
CBOE Eurekahedge Tail Risk Hedge Fund Index n/a -2.93 -5.75
Eurekahedge Equity Long Bias Hedge Fund Index 0.90 9.80 -9.38
Eurekahedge Equity Market Neutral Hedge Fund Index 0.29 1.55 -1.90
Eurekahedge Trend Following Index -4.29 7.87 -7.06
Eurekahedge FX Hedge Fund Index -0.14 3.10 -0.23
Eurekahedge Commodity Hedge Fund Index -2.68 3.47 -5.92
Eurekahedge Crypto-Currency Hedge Fund Index -10.64 29.39 -71.81
Eurekahedge AI Hedge Fund Index -1.24 1.06 -4.31
Eurekahedge ILS Advisers Index 1.16 0.53 -3.92
Eurekahedge Global Hedge Fund Indices by Fund Size Sep
2019 Returns 2018 Returns
Eurekahedge Small Hedge Fund Index (< US$100m) -0.38 5.38 -4.73
Eurekahedge Medium Hedge Fund Index (US$100m - US$500m) -0.12 6.00 -3.15
Eurekahedge Large Hedge Fund Index (> US$500m) -0.47 5.86 -2.40
Eurekahedge Billion Dollar Hedge Fund Index -0.46 5.77 -2.60
Mizuho-Eurekahedge Indices Sep
2019 Returns 2018 Returns
Mizuho-Eurekahedge Index - USD 0.28 4.34 -4.30
Mizuho-Eurekahedge TOP100 Index - USD 0.88 5.10 -2.71
Mizuho-Eurekahedge TOP300 Index - USD 0.46 4.72 -3.56
Asia-Eurekahedge Indices Sep
2019 Returns 2018 Returns
Eurekahedge Greater China Hedge Fund Index -0.90 7.39 -13.17
Eurekahedge India Hedge Fund Index 1.01 -2.95 -8.06

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