Hedge Fund AUM Down In October As Losses And Flow Take Toll – ValueWalk Premium
Hedge funds

Hedge Fund AUM Down In October As Losses And Flow Take Toll

Key highlights for October 2018:

Q3 hedge fund letters, conference, scoops etc

  • Hedge funds were down 2.15% for the year, their weakest performance on record since 2008 when they declined -9.55% in the 10 months through to October. Almost 47% of the managers are in the green for the year with roughly 8% of the managers posting double digit gains as tracked in the Eurekahedge Global Hedge Funds Database.
  • Total assets under management have decreased by US$32.2 billion as of October 2018 year-to-date, compared with an increase of US$173.2 billion over the same period last year as performance-driven losses and investor redemptions have capped asset growth. Barring January earlier this year, investors have redeemed US$53.5 billion from hedge funds globally through to October. For detailed asset flow breakdown across regions, strategies and fund size mandates click here.
  • Emerging markets focused mandates are in the red for the year down 4.57% year-to-date, with Asian managers down 8.02% for the year with the underlying Eurekahedge Greater China Hedge Fund Index posting losses of 13.94% as of October 2018.
  • Across strategies, distressed debt, relative value and fixed income hedge funds lead for the year up 5.58%, 1.58% and 0.81% respectively.
  • Hedge funds were down 2.15% for the year, their weakest performance on record since 2008 when they declined -9.55% in the 10 months through to October. Almost 47% of the managers are in the green for the year with roughly 8% of the managers posting double digit gains as tracked in the Eurekahedge Global Hedge Funds Database.
  • Total assets under management have decreased by US$32.2 billion as of October 2018 year-to-date, compared with an increase of US$173.2 billion over the same period last year as performance-driven losses and investor redemptions have capped asset growth. Barring January earlier this year, investors have redeemed US$53.5 billion from hedge funds globally through to October. For detailed asset flow breakdown across regions, strategies and fund size mandates click here.
  • Emerging markets focused mandates are in the red for the year down 4.57% year-to-date, with Asian managers down 8.02% for the year with the underlying Eurekahedge Greater China Hedge Fund Index posting losses of 13.94% as of October 2018.
  • Across strategies, distressed debt, relative value and fixed income hedge funds lead for the year up 5.58%, 1.58% and 0.81% respectively.
  • Long/short equities mandate bore the brunt of the equity market selloff in October, with the Eurekahedge Long Short Equities Hedge Fund Index ending the month down 3.32%, dragging its year-to-date return into the red (-3.07%) for the first time in the year. Nearly 80% of funds constituting the mandate posted losses in October, owing to the weak equity market performance over the month which resulted in performance-based losses of US$13.8 billion globally.
  • Assets under management for CTAs/managed futures strategies have shrunk by almost 11% in 2018 – corresponding to a decline in AUM of US$30.7 billion in the first ten months of the year. Meanwhile multi-strategy hedge funds have recorded the steepest redemptions for the year totalling US$23.1 billion.
  • The CBOE Eurekahedge Long Volatility Hedge Fund Index ended the month gaining 3.76% in as the risk-off sentiment returned to the markets. The CBOE VIX index spiked to roughly double of its end September value throughout the month. On the other hand, fund managers utilising short volatility strategies posted the steepest losses of 4.86% in October.
  • The Eurekahedge ILS Advisers Index declined 1.37% throughout the month of October, dragging its year-to-date return to 0.15%. As the catastrophic losses incurred by Hurricane Florence and Hurricane Michael come to light, ILS funds with exposure towards the region were adversely affected.
  • The Eurekahedge Crypto-Currency Hedge Fund Index has declined 56.96% throughout the year, owing to the crypto-currency market selloff which saw Bitcoin price slipping to barely above the US$4,000 mark. The index is on track to post its worst yearly performance on record.

2018 Overview: Key Trends in Latin American Hedge Funds

Hedge Funds

Hedge Funds

Hedge Funds

Hedge Funds

Hedge Funds

The Eurekahedge Hedge Fund Index declined 2.27%, throughout the volatile month of October, dragging its year-to-date decline to 2.15% in what turned out to be the worst month for the global hedge fund industry since 2011. Despite the carnage in the global equity markets, the majority of the hedge fund managers tracked by Eurekahedge outperformed the underlying market as represented by the MSCI ACWI AC (Local), which slumped 7.33% during the month. Approximately 60% of the funds comprising the Eurekahedge Hedge Fund Index were forced to end the month in the red, as volatile markets and difficult trading situations posed headwinds for hedge fund managers. In terms of year-to-date performance, preliminary numbers revealed that just under 6% of the hedge fund managers tracked by Eurekahedge were able to maintain double-digit returns following the October bloodbath – the lowest proportion ever recorded.

North American hedge fund managers ended the month down 2.54%, trailing behind the global industry average as the underlying equity market of the region slumped. The S&P 500 index was down 6.94% in October despite healthy economic fundamentals, receding unemployment, and robust corporate earnings season. Over in Asia, concerns over global trade friction, slowing economic growth, as well as the Fed’s tightening continued to be the key themes in October, and exerted pressure on the region’s equities and currencies. The Eurekahedge Asia ex Japan Hedge Fund Index was down 4.90% in October, its eighth month of losses thus far in 2018.

October 2018 and September 2018 returns across regions

Hedge funds

On a year-to-date basis, North American fund managers were up 0.62%, as the losses they posted in October wiped out a significant portion of the gains made in the preceding months. Latin American fund managers were up 8.57% year-to-date, owing to the underlying equity market performance which benefited from improving economic outlook tied to the recent presidential election in Brazil. Meanwhile, Asian fund managers continued to lag behind their peers focusing on other regions, with the Eurekahedge Asia ex Japan Hedge Fund Index and the Eurekahedge Japan Hedge Fund Index down 9.54% and 5.15% year-to-date respectively, following consecutive months of losses.

2018 year-to-date returns across regions

Hedge funds

Mizuho-Eurekahedge Asset Weighted Index

The asset-weighted Mizuho-Eurekahedge Index – USD ended October down 1.87%, bringing their 2018 year-to-date return to -3.07%. It should also be noted that the Mizuho-Eurekahedge Index is US dollar denominated, and during months of strong US dollar gains, the index results include the currency conversion loss for funds that are denominated in other currencies.

Performance distribution among the suite of Mizuho-Eurekahedge indices were a mixed bag during the month, with the Mizuho-Eurekahedge Emerging Markets Index topping the chart as they gained 2.63% over the month, supported by the rebound in Latin America and Eastern Europe equity markets as risk outlook in the regions improved. Over in Asia, the Mizuho-Eurekahedge Asia Pacific Index declined 3.39%, marking its fifth consecutive month of losses since the escalation of the US-China trade friction. On a year-to-date basis, all indices were in the red, with Asia Pacific and long short equities fund managers posting the sharpest declines as they ended the first ten months of 2018 down 7.87% and 4.54% respectively, weighed by the weak underlying equity markets.

Mizuho-Eurekahedge Indices October 2018 returns

Hedge funds

Mizuho-Eurekahedge Indices 2018 year-to-date returns

Hedge funds

CBOE Eurekahedge Volatility Indexes

The CBOE Eurekahedge Volatility Indexes comprise four equally-weighted volatility indices – long volatility, short volatility, relative value and tail risk. The CBOE Eurekahedge Long Volatility Index is designed to track the performance of underlying hedge fund managers who take a net long view on implied volatility with a goal of positive absolute return. In contrast, the CBOE Eurekahedge Short Volatility Index tracks the performance of underlying hedge fund managers who take a net short view on implied volatility with a goal of positive absolute return. This strategy often involves the selling of options to take advantage of the discrepancies in current implied volatility versus expectations of subsequent implied or realised volatility. The CBOE Eurekahedge Relative Value Volatility Index on the other hand measures the performance of underlying hedge fund managers that trade relative value or opportunistic volatility strategies. Managers utilising this strategy can pursue long, short or neutral views on volatility with a goal of positive absolute return. Meanwhile, the CBOE Eurekahedge Tail Risk Index tracks the performance of underlying hedge fund managers that specifically seek to achieve capital appreciation during periods of extreme market stress.

The CBOE Eurekahedge Long Volatility Hedge Fund Index ended the month gaining 3.76% in as the risk-off sentiment returned to the markets. The CBOE VIX index spiked to roughly double of its end September value throughout the month. On the other hand, fund managers utilising short volatility strategies posted the steepest losses of 4.86% in October. On a year-to-date basis, all of the volatility strategies remained in the red, with short volatility fund managers posting the steepest losses of 9.97%. The CBOE Eurekahedge Relative Value Volatility Hedge Fund Index posted the smallest loss of 1.24% over the first 10 months of 2018.

CBOE Eurekahedge Volatility Indexes October 2018 returns

Hedge funds

CBOE Eurekahedge Volatility Indexes 2018 year-to-date returns

Hedge funds

Summary monthly asset flow data since January 2013

Hedge funds

Eurekahedge

Launched in 2001, Eurekahedge has a proven track record spanning over 16 years as the world’s largest independent data provider and alternative research firm specialising in global hedge fund databases and research. Headquartered in Singapore with offices in New York and Philippines, the global expertise of our research team constantly adapts to industry changes and needs, allowing Eurekahedge to develop and offer a wide array of products and services coveted by institutional investors, family offices, accredited investors, qualified purchasers, financial institutions and media sources. In addition to market-leading hedge fund databases, Eurekahedge’s other business functions include hedge fund research publications, due diligence services, investor services, analytical platforms and risk management tools.


X
Saved Articles
X
TextTExtLInkTextTExtLInk

0