Liquidity Factor Investing

Most Hedge Funds Started 2019 On Positive Note With Returns Of 2.22%

The Eurekahedge Hedge Fund Index rallied 2.22%1 in January, supported by the global equity market rally which resulted from the Fed’s dovish stance and optimism over potential progress in the US-China trade talks. The MSCI AC World Index (Local) gained 7.36% over the month, recovering most of the losses it suffered in December last year. Returns were positive across geographic mandates, as most of the fund managers generated gains on the back of the equity market rallies around the globe. North American fund managers gained 3.65% during the month, while their peers focusing on Asia ex-Japan generated 3.11% returns. The weaker US dollar and cautious tone of the Fed created tailwinds for the emerging markets throughout the month, resulting in one of the best monthly showing of the Eurekahedge Emerging Markets Hedge Fund Index in recent years, as it edged 5.46% higher in January.

Q4 hedge fund letters, conference, scoops etc

Liquidity Factor Investing

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Roughly 72.5% of underlying constituents of the Eurekahedge Hedge Fund Index posted positive returns in January, in contrast to how only 35.5% of these fund managers avoided losing money in December last year. Fund managers utilising equity long-biased strategies topped the table with their 5.49% gain in January, while on the other end of the spectrum long volatility strategic mandate ended the month down 5.08% as market volatilities remained suppressed throughout the month.

Below are the key highlights for the month of January 2019:

  • Hedge fund managers returned 2.22% in January, supported by the global equity market rally which saw the MSCI AC World Index (Local) gaining 7.36% over the month. Over the last 12 months hedge funds have outperformed the MSCI AC World Index (Local) by 3.23%
  • On an asset-weighted basis, hedge funds were up 0.70% in January, as captured by the Mizuho Eurekahedge Hedge Fund Index (USD). The index slumped 4.23% throughout 2018.
  • North American long short equity hedge fund managers gained 5.28% in January, kicking off the year with their strongest monthly performance over the past decade, as the region’s equity markets reacted positively to the dovish tone of the Fed and hopes that the US-China trade relations could improve.
  • The Eurekahedge European Hedge Fund Index gained 2.22% in January, supported by improving global trade outlook and expectations that the UK government would avoid a disorderly Brexit.
  • The Eurekahedge CTA/Managed Futures Hedge Fund Index declined 0.37% during the month as fund managers struggled to capture the trend reversal in energy and commodity sectors.
  • Fund managers utilising AI/machine learning strategies returned 2.76% in January, after recording their first year of losses. The Eurekahedge AI Hedge Fund Index was down 5.18% throughout 2018.
  • Returns across the CBOE Eurekahedge Volatility Indexes were mixed in January, with long volatility mandate down 5.08% and short volatility mandate up 4.52% as market volatilities dwindled throughout the month. The CBOE VIX Index plummeted 34.35% in January as the risk-off sentiment among investors eased off.
  • The Eurekahedge ILS Advisers Index was up 0.44% in January, ending its streak of losses through the final quarter of 2018 which resulted from the catastrophic losses incurred by the 2018 Atlantic hurricane season. ILS fund managers posted losses of 5.60% and 3.57% in 2017 and 2018 respectively.
  • The Eurekahedge Crypto-Currency Hedge Fund Index declined 9.08% in January, narrowly outperforming Bitcoin which slumped 10.98% over the month. Crypto-currency hedge fund managers lost 71.63% throughout 2018, posting their worst year on record.
Main Indices Jan 20191 Last 3 Months 2019 Returns 2018 Returns Annualised Returns Constituents Weighting
Eurekahedge Hedge Fund Index 2.22 0.25 2.22 -4.09 8.28% 2,555 Equal
Eurekahedge AI Hedge Fund Index 2.76 4.16 2.76 -5.18 8.81% 14 Equal
Eurekahedge North American Hedge Fund Index 3.65 0.18 3.65 -2.92 9.11% 567 Equal
Eurekahedge Asia ex Japan Hedge Fund Index 3.11 3.00 3.11 -9.57 9.67% 177 Equal
Index of the Month Jan 20191 Last 3 Months 2019 Returns 2018 Returns Annualised Returns Constituents Weighting
Eurekahedge Greater China Hedge Fund Index 6.36 5.88 6.36 -14.28 13.66% 67 Equal

Main Indices

Eurekahedge Main Indices Jan 20191 2019 Returns 2018 Returns
Eurekahedge Hedge Fund Index 2.22 2.22 -4.09
Eurekahedge Fund of Funds Index 2.08 2.08 -4.49
Eurekahedge Long-only Absolute Return Fund Index 5.77 5.77 -10.94
Eurekahedge Islamic Fund Index 2.99 2.99 -4.83

Regional Indices

North American fund managers gained 3.65% throughout the month, recovering from the losses they suffered last year. The dovish tone of the Fed and optimism over the upcoming trade talks between the US and China helped the region’s equity markets recover from the sell-off in December. The Eurekahedge Japan Hedge Fund Index gained 2.23% during the month, supported by the risk-on sentiment among investors. Asia ex-Japan and emerging market equities rebounded in January, as optimism over the US-China trade talk outweighed concerns over China’s slowing growth. The two mandates were up 3.11% and 5.46% respectively during the month.

Eurekahedge Regional Indices Jan 20191 2019 Returns 2018 Returns
Eurekahedge North American Hedge Fund Index 3.65 3.65 -2.92
Eurekahedge European Hedge Fund Index 2.22 2.22 -4.96
Eurekahedge Eastern Europe & Russia Hedge Fund Index 8.56 8.56 -12.04
Eurekahedge Japan Hedge Fund Index 2.23 2.23 -9.57
Eurekahedge Emerging Markets Hedge Fund Index 5.46 5.46 -5.43
Eurekahedge Asia ex Japan Hedge Fund Index 3.11 3.11 -9.57
Eurekahedge Latin American Hedge Fund Index 6.77 6.77 6.97

Strategy Indices

Returns were mostly positive across strategic mandates in January. The equity long-biased mandate ended at the top of the table with a 5.49% return over the month as fund managers utilising this strategy reaped the largest benefit from the equity market rallies around the globe. In a similar vein, short volatility and long/short equities strategies also benefited from the upward movement in the equity markets, which kept market volatilities suppressed throughout the month. The two mandates ended the month up 4.52% and 3.59% respectively. CTA/managed futures mandate declined 0.37% in January, despite strong recovery in energy and industrial metal sectors throughout the month.

Table 1: Index Flash Strategy Return Map

Hedge Funds


Eurekahedge Strategy Indices Jan 20191 2019 Returns 2018 Returns
Eurekahedge Arbitrage Hedge Fund Index 1.89 0.37 -0.03
Eurekahedge CTA/Managed Futures Hedge Fund Index -0.37 -3.17 -3.89
Eurekahedge Distressed Debt Hedge Fund Index 2.72 3.65 2.28
Eurekahedge Event Driven Hedge Fund Index 4.66 -2.95 -2.92
Eurekahedge Fixed Income Hedge Fund Index 1.56 0.22 0.02
Eurekahedge Long Short Equities Hedge Fund Index 3.59 -6.25 -6.42
Eurekahedge Macro Hedge Fund Index 1.46 -0.97 -2.92
Eurekahedge Multi-Strategy Hedge Fund Index 2.79 -3.42 -3.48
Eurekahedge Relative Value Hedge Fund Index 2.90 -0.33 -0.07
CBOE Eurekahedge Long Volatility Hedge Fund Index -5.08 2.40 0.83
CBOE Eurekahedge Relative Value Volatility Hedge Fund Index -0.27 -5.89 -2.80
CBOE Eurekahedge Short Volatility Hedge Fund Index 4.52 -12.71 -13.01
CBOE Eurekahedge Tail Risk Hedge Fund Index 1.16 -4.15 -6.09
Eurekahedge Equity Long Bias Hedge Fund Index 5.49 -8.74 -9.26
Eurekahedge Equity Market Neutral Hedge Fund Index 1.00 -2.18 -1.78
Eurekahedge Trend Following Index -1.58 -6.50 -7.16
Eurekahedge FX Hedge Fund Index -0.03 1.46 1.40
Eurekahedge Commodity Hedge Fund Index 1.50 -4.28 -5.16
Eurekahedge Crypto-Currency Hedge Fund Index -9.08 -9.08 -71.63
Eurekahedge AI Hedge Fund Index 2.76 -2.97 -5.18
Eurekahedge ILS Hedge Fund Index 0.44 -2.95 -3.57

Eurekahedge Global Hedge Fund Indices by Fund Size Jan 20191 2019 Returns 2018 Returns
Eurekahedge Small Hedge Fund Index (< US$100m) 2.50 2.50 -4.87
Eurekahedge Medium Hedge Fund Index (US$100m – US$500m) 1.86 1.86 -3.20
Eurekahedge Large Hedge Fund Index (> US$500m) 1.65 1.65 -2.62
Eurekahedge Billion Dollar Hedge Fund Index 1.14 1.14 -2.78

Mizuho-Eurekahedge Indices Jan 20191 2019 Returns 2018 Returns
Mizuho-Eurekahedge Index – USD 0.70 0.70 -4.23
Mizuho-Eurekahedge TOP 100 Index – USD -0.33 -0.33 -2.63
Mizuho-Eurekahedge TOP 300 Index – USD 0.33 0.33 -3.49

Asia-Eurekahedge Indices Jan 20191 2019 Returns 2018 Returns
Eurekahedge Greater China Hedge Fund Index 6.36 6.36 -14.28
Eurekahedge India Hedge Fund Index -4.43 -4.43 -7.43

1Based on 38.20% of funds which have reported January 2019 returns as at 12 February 2019


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