Index Flash Update (14 August 2019) – Hedge fund managers recorded another positive month following strong 1H performance
Q2 hedge fund letters, conference, scoops etc
The Eurekahedge Hedge Fund Index was up 0.69%1 in July, supported by the gains in developed market equities and bonds over the month. The MSCI ACWI (Local) ended the month up 0.83% with US equities outperforming other markets. On the other hand, the trade dispute between Japan and South Korea, together with lacklustre economic data in India pushed Asian equities lower. Returns were positive across geographic mandates in July, with North American fund managers gaining 0.31% and Asia ex-Japan fund managers up 0.69%. Fund managers utilising equity long-bias strategies gained 0.68% throughout the month, pushing their year-to-date return to 11.72%.
Roughly 67.9% of the underlying constituents of the Eurekahedge Hedge Fund Index posted positive returns in July, and 27.1% of the hedge fund managers in the database were able to maintain double-digit returns over the first seven months of 2019.
Below are the key highlights for the month of July 2019:
- Hedge fund managers gained 0.69% in July, bringing their year-to-date return to 6.56% as global equity markets edged higher following expectations over a Fed rate cut. The MSCI ACWI (Local) was up 0.83% in July and 15.33% as of July 2019 year-to-date.
- On an asset-weighted basis, hedge funds were up 0.84% in July, as captured by the Mizuho Eurekahedge Hedge Fund Index (USD). The index was up 4.94% over the first seven months of the year.
- The Eurekahedge North American Hedge Fund Index gained 0.31% during the month, as US equities reached record highs. North American fund managers utilising long/short equities strategy are up 10.41% July 2019 year-to-date.
- The Eurekahedge Greater China Long Short Equities Hedge Fund Index declined 0.62% in July, weighed by the weak performance of the region’s underlying equity market as investors were unnerved by the internal strife in Hong Kong. The mandate is still up 8.37% year-to-date, owing to the strong Q1 performance of fund managers.
- The Eurekahedge Fixed Income Hedge Fund Index was up 0.48% in July, pushing its year-to-date return to 5.52%. European government bonds were among the major performance contributors for fund managers in July, as they rallied on Lagarde’s nomination as the ECB president. Over in the UK, Johnson’s PM nomination led to weaker pound and lower Gilt yield towards the end of the month.
- Fund managers utilising AI/machine learning strategies ended the month of July flat. The Eurekahedge AI Hedge Fund Index was up 0.01% in July and 2.71% year-to-date.
- The Eurekahedge Crypto-Currency Hedge Fund Index was down 10.79% in July, outperforming Bitcoin which declined 20.39% over the month. Fund managers focusing on crypto-currencies are up 70.82% over the first seven months of 2019, which compares to the 147.64% year-to-date gain posted by Bitcoin.
| Main Indices | Jul 20191 | Last 3 Months | 2019 Returns | 2018 Returns | Annualised Returns | Constituents | Weighting |
| Eurekahedge Hedge Fund Index | 0.69 | 1.37 | 6.56 | -4.01 | 8.31% | 2,515 | Equal |
| Eurekahedge 50 | 1.19 | 1.52 | 6.49 | -1.50 | 5.27% | 50 | Equal |
| Eurekahedge North American Hedge Fund Index | 0.31 | 0.39 | 6.89 | -3.10 | 9.03% | 542 | Equal |
| Eurekahedge Asia ex Japan Hedge Fund Index | 0.49 | -0.19 | 7.43 | -9.35 | 9.66% | 167 | Equal |
| Index of the Month | Jul 20191 | Last 3 Months | 2019 Returns | 2018 Returns | Annualised Returns | Constituents | Weighting |
| Eurekahedge Greater China Hedge Fund Index | 0.33 | -1.77 | 10.18 | -13.17 | 13.56% | 71 | Equal |
Main Indices
| Eurekahedge Main Indices | Jul 20191 | 2019 Returns | 2018 Returns |
| Eurekahedge Hedge Fund Index | 0.69 | 6.56 | -4.01 |
| Eurekahedge Fund of Funds Index | 0.69 | 7.22 | -4.44 |
| Eurekahedge Long-only Absolute Return Fund Index | -0.02 | 10.49 | -10.92 |
| Eurekahedge Islamic Fund Index | -0.13 | 6.47 | -4.70 |
Regional Indices
North American fund managers were up 0.31% in July, bringing their year-to-date return to 6.89%. The region’s equity market rallied on expectations of an impending Fed rate cut. Over in Asia, fund managers with Asia ex-Japan investment mandate ended the month up 0.69%, bringing their year-to-date gain to 7.43% despite the poor performance of the region’s equities over the month. Weak economic data in China and India, together with the trade disputes between the US and China, as well as Japan and South Korea are likely to remain as key concerns for fund managers focusing on the region.
| Eurekahedge Regional Indices | Jul 20191 | 2019 Returns | 2018 Returns |
| Eurekahedge North American Hedge Fund Index | 0.31 | 6.89 | -3.10 |
| Eurekahedge European Hedge Fund Index | 0.24 | 4.35 | -4.89 |
| Eurekahedge Eastern Europe & Russia Hedge Fund Index | 2.70 | 15.00 | -12.86 |
| Eurekahedge Japan Hedge Fund Index | 0.06 | 2.38 | -9.32 |
| Eurekahedge Emerging Markets Hedge Fund Index | 0.83 | 8.15 | -5.41 |
| Eurekahedge Asia ex Japan Hedge Fund Index | 0.69 | 7.43 | -9.35 |
| Eurekahedge Latin American Hedge Fund Index | 2.39 | 10.71 | 7.15 |
Strategy Indices
Returns were mostly positive across strategic mandates in July. Long-biased equity hedge funds gained 0.68% during the month, maintaining their top spot in the strategy return map. All of the CBOE Eurekahedge volatility indices ended the month in the red, with tail risk fund managers posting the steepest losses of 4.42%. Multi-strategy hedge funds returned 0.86% in July, owing to the strong performance of developed market equities and corporate bonds.
Table 1: Index Flash Strategy Return Map
| Eurekahedge Strategy Indices | Jul 20191 | 2019 Returns | 2018 Returns |
| Eurekahedge Arbitrage Hedge Fund Index | 0.66 | 3.99 | -0.85 |
| Eurekahedge CTA/Managed Futures Hedge Fund Index | 1.51 | 5.65 | -3.95 |
| Eurekahedge Distressed Debt Hedge Fund Index | -0.70 | 1.76 | 3.25 |
| Eurekahedge Event Driven Hedge Fund Index | 0.50 | 6.67 | -3.15 |
| Eurekahedge Fixed Income Hedge Fund Index | 0.48 | 5.52 | 0.04 |
| Eurekahedge Long Short Equities Hedge Fund Index | 0.51 | 7.23 | -6.36 |
| Eurekahedge Macro Hedge Fund Index | 0.36 | 6.39 | -2.75 |
| Eurekahedge Multi-Strategy Hedge Fund Index | 0.86 | 6.24 | -3.60 |
| Eurekahedge Relative Value Hedge Fund Index | 0.40 | 4.62 | -0.27 |
| CBOE Eurekahedge Long Volatility Hedge Fund Index | -0.38 | -7.86 | 0.83 |
| CBOE Eurekahedge Relative Value Volatility Hedge Fund Index | -0.20 | 0.64 | -3.91 |
| CBOE Eurekahedge Short Volatility Hedge Fund Index | -0.09 | 1.40 | -13.03 |
| CBOE Eurekahedge Tail Risk Hedge Fund Index | -4.42 | -5.59 | -5.75 |
| Eurekahedge Equity Long Bias Hedge Fund Index | 0.68 | 11.72 | -9.37 |
| Eurekahedge Equity Market Neutral Hedge Fund Index | 0.39 | 1.42 | -1.90 |
| Eurekahedge Trend Following Index | 3.46 | 9.76 | -7.06 |
| Eurekahedge FX Hedge Fund Index | 0.87 | 1.32 | -0.25 |
| Eurekahedge Commodity Hedge Fund Index | 1.36 | 5.03 | -5.93 |
| Eurekahedge Crypto-Currency Hedge Fund Index | -10.79 | 70.82 | -71.81 |
| Eurekahedge AI Hedge Fund Index | 0.01 | 2.71 | -4.31 |
| Eurekahedge ILS Hedge Fund Index | 0.66 | -0.47 | -3.92 |
| Eurekahedge Global Hedge Fund Indices by Fund Size | Jul 20191 | 2019 Returns | 2018 Returns |
| Eurekahedge Small Hedge Fund Index (< US$100m) | 0.57 | 6.56 | -4.79 |
| Eurekahedge Medium Hedge Fund Index (US$100m – US$500m) | 0.83 | 6.29 | -3.00 |
| Eurekahedge Large Hedge Fund Index (> US$500m) | 1.05 | 6.28 | -2.51 |
| Eurekahedge Billion Dollar Hedge Fund Index | 1.23 | 6.02 | -2.63 |
| Mizuho-Eurekahedge Indices | Jul 20191 | 2019 Returns | 2018 Returns |
| Mizuho-Eurekahedge Index – USD | 0.84 | 4.94 | -4.30 |
| Mizuho-Eurekahedge TOP 100 Index – USD | 1.60 | 5.21 | -2.71 |
| Mizuho-Eurekahedge TOP 300 Index – USD | 1.09 | 5.08 | -3.56 |
| Asia-Eurekahedge Indices | Jul 20191 | 2019 Returns | 2018 Returns |
| Eurekahedge Greater China Hedge Fund Index | 0.33 | 10.18 | -13.17 |
| Eurekahedge India Hedge Fund Index | -3.30 | -1.97 | -8.06 |
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1Based on 47.95% of funds which have reported July 2019 returns as at 14 August 2019
