Another Positive Month For Hedge Fund Managers After Robust First QuarterJacob Wolinsky
The Eurekahedge Hedge Fund Index was up 1.13%1in April, supported by the global equities which advanced on encouraging economic data and accommodative central bank policies. Positive earnings surprises helped renew investors’ optimism in the global equity market, which rallied 3.38% during the month as represented by the MSCI ACWI (Local). Returns were positive across geographic mandates, with hedge fund managers focusing on North America leading the pack as they gained 1.37% in April. Asian hedge funds trailed behind their peers focusing on other regions, but still managed to generate positive returns. Looking at strategic mandates, equity long-biased hedge fund managers were best positioned to benefit from the equity market performance during the month, and ended the month up 2.78%.
Roughly 72.4% of the underlying constituents of the Eurekahedge Hedge Fund Index posted positive returns in April. Fund managers utilising equity long-biased strategies maintained their place at the top with 11.72% gain over the first four month of the year, while on the other end of the spectrum long volatility strategic mandate was down 8.27% year-to-date as market volatilities remained suppressed throughout the year.
Below are the key highlights for the month of April 2019:
- Hedge fund managers returned 1.13% in April, bringing their year-to-date gains to 5.22% as global equity markets continued to advance during the month. The MSCI ACWI (Local) gained 3.38% in April and 15.60% year-to-date.
- On an asset-weighted basis, hedge funds were up 1.46% in April, as captured by the Mizuho Eurekahedge Hedge Fund Index (USD). The index was up 3.89% year-to-date after registering a loss of 4.30% throughout 2018.
- The Eurekahedge Greater China Hedge Fund Index slumped 0.67% in April despite robust economic growth over the first quarter, as concerns that authorities may scale back policy support grew over the month. The region’s hedge fund industry saw US$0.9 billion of net investor allocations in 2018, despite the 12.18% losses posted by fund managers during the year. On a year-to-date basis, Greater China fund managers have returned 11.12% in 2019.
- The Eurekahedge CTA/Managed Futures Hedge Fund Index was up 0.93% in April, bringing its year-to-date return to 2.83%. Looking at the hedge fund managers comprising the index, returns were mixed. Some managers generated positive returns on the back of rising oil prices, while others ended the month in the red, dragged down by non-energy commodities.
- Fund managers utilising AI/machine learning strategies ended April up 1.30%, bringing their year-to-date returns to 4.24%. The Eurekahedge AI Hedge Fund Index was down 5.05% last year, underperforming the average hedge fund for the first time since 2012.
- The Eurekahedge ILS Advisers Index slumped 0.50% in April, bringing its 2019 year-to-date return to -0.11% as loss creep from 2018 hurricanes continued to weigh on the performance of ILS hedge funds.
|Main Indices||Apr 20191||Last 3 Months||2019 Returns||2018 Returns||Annualised Returns||Constituents||Weighting|
|Eurekahedge Hedge Fund Index||1.13||2.85||5.22||-4.04||8.34%||2,534||Equal|
|Eurekahedge Long Short Equities Hedge Fund Index||1.24||3.54||7.34||-6.32||8.29%||981||Equal|
|Eurekahedge North American Hedge Fund Index||2.56||3.18||6.73||-3.09||9.15%||550||Equal|
|Eurekahedge Asia ex Japan Hedge Fund Index||0.36||5.41||7.86||-9.08||9.82%||172||Equal|
|Index of the Month||Apr 20191||Last 3 Months||2019 Returns||2018 Returns||Annualised Returns||Constituents||Weighting|
|Eurekahedge AI Hedge Fund Index||1.30||2.75||4.24||-5.05||9.29%||15||Equal|
|Eurekahedge Main Indices||Apr 20191||2019 Returns||2018 Returns|
|Eurekahedge Hedge Fund Index||1.13||5.22||-4.04|
|Eurekahedge Fund of Funds Index||1.24||5.52||-4.46|
|Eurekahedge Long-only Absolute Return Fund Index||2.56||11.43||-10.88|
|Eurekahedge Islamic Fund Index||0.36||5.65||-4.74|
North American fund managers were up 6.73% as of April year-to-date, supported by robust economic growth over the first quarter of the year, as well as accommodative central bank policies. The cautious tone of the Fed and anticipation over the US-China trade talk helped support the region’s equity market since the beginning of the year. Asia ex-Japan mandate continued to rebound in April, with the Eurekahedge Asia ex Japan Hedge Fund Index up 0.55% during the month and 7.86% year-to-date.
|Eurekahedge Regional Indices||Apr 20191||2019 Returns||2018 Returns|
|Eurekahedge North American Hedge Fund Index||1.37||6.73||-3.09|
|Eurekahedge European Hedge Fund Index||1.11||3.84||-4.91|
|Eurekahedge Eastern Europe & Russia Hedge Fund Index||n/a||5.65||-12.79|
|Eurekahedge Japan Hedge Fund Index||0.38||2.58||-9.25|
|Eurekahedge Emerging Markets Hedge Fund Index||0.18||6.21||-5.26|
|Eurekahedge Asia ex Japan Hedge Fund Index||0.55||7.86||-9.08|
|Eurekahedge Latin American Hedge Fund Index||0.77||4.64||7.04|
Returns were mostly positive across strategic mandates in April. Long-biased equity hedge funds returned 2.78% during the month, as they benefited from the strength in equity markets. On the other hand, long volatility fund managers were down 2.32% as market volatilities remained suppressed throughout the month. The CTA/managed futures mandate was up 0.93% in April, in contrast to how the underlying commodity strategy slumped 0.89%, dragged down by the weak non-energy sector performance.
Table 1: Index Flash Strategy Return Map
|Eurekahedge Strategy Indices||Apr 20191||2019 Returns||2018 Returns|
|Eurekahedge Arbitrage Hedge Fund Index||0.74||2.65||-0.99|
|Eurekahedge CTA/Managed Futures Hedge Fund Index||0.93||2.83||-3.97|
|Eurekahedge Distressed Debt Hedge Fund Index||1.03||3.17||2.72|
|Eurekahedge Event Driven Hedge Fund Index||1.89||7.29||-3.35|
|Eurekahedge Fixed Income Hedge Fund Index||0.67||3.74||0.08|
|Eurekahedge Long Short Equities Hedge Fund Index||1.50||7.34||-6.32|
|Eurekahedge Macro Hedge Fund Index||0.77||3.30||-2.77|
|Eurekahedge Multi-Strategy Hedge Fund Index||0.78||4.42||-3.63|
|Eurekahedge Relative Value Hedge Fund Index||0.92||4.28||-0.65|
|CBOE Eurekahedge Long Volatility Hedge Fund Index||-2.32||-8.27||0.83|
|CBOE Eurekahedge Relative Value Volatility Hedge Fund Index||0.93||1.62||-3.91|
|CBOE Eurekahedge Short Volatility Hedge Fund Index||1.29||2.96||-13.03|
|CBOE Eurekahedge Tail Risk Hedge Fund Index||-0.29||-2.01||-5.75|
|Eurekahedge Equity Long Bias Hedge Fund Index||2.78||11.72||-9.39|
|Eurekahedge Equity Market Neutral Hedge Fund Index||-1.17||-0.03||-1.90|
|Eurekahedge Trend Following Index||2.60||5.08||-7.06|
|Eurekahedge FX Hedge Fund Index||0.49||-0.92||-0.25|
|Eurekahedge Commodity Hedge Fund Index||-0.89||1.33||-5.93|
|Eurekahedge Crypto-Currency Hedge Fund Index||3.71||18.10||-71.81|
|Eurekahedge AI Hedge Fund Index||4.26||4.24||-5.05|
|Eurekahedge ILS Hedge Fund Index||-0.50||-0.11||-3.92|
|Eurekahedge Global Hedge Fund Indices by Fund Size||Apr 20191||2019 Returns||2018 Returns|
|Eurekahedge Small Hedge Fund Index (< US$100m)||0.97||5.19||-4.81|
|Eurekahedge Medium Hedge Fund Index (US$100m – US$500m)||1.47||5.33||-3.07|
|Eurekahedge Large Hedge Fund Index (> US$500m)||1.25||4.72||-2.50|
|Eurekahedge Billion Dollar Hedge Fund Index||1.27||4.29||-2.58|
|Mizuho-Eurekahedge Indices||Apr 20191||2019 Returns||2018 Returns|
|Mizuho-Eurekahedge Index – USD||1.46||2.72||-4.30|
|Mizuho-Eurekahedge TOP 100 Index – USD||1.79||2.04||-2.71|
|Mizuho-Eurekahedge TOP 300 Index – USD||1.51||2.38||-3.56|
|Asia-Eurekahedge Indices||Mar 20191||2019 Returns||2018 Returns|
|Eurekahedge Greater China Hedge Fund Index||-0.67||11.12||-12.98|
|Eurekahedge India Hedge Fund Index||-4.79||-1.54||-7.54|
1Based on 25.85% of funds which have reported April 2019 returns as at 8 May 2019