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North American hedge fund managers lost 2.25% over the month as underlying equity markets slumped despite robust economic fundamentals and the strong third quarter corporate earnings season in the US. Over in Asia, concerns over slowing economic growth and the Fed's tightening exacerbated the equity selloff and weighed on the region's currencies and equity markets, which have been under pressure of the US-China trade spat for the better part of the year. Asia ex-Japan hedge fund managers lost 4.70% in October, and are currently down 9.35% for the year. Long/short equities hedge fund managers bore the brunt of the equity market movement, which left them down 3.01% over the month. Preliminary numbers show that more than 80% of the fund managers utilising this strategy posted losses in October.

Barely a quarter of the underlying constituents of the Eurekahedge Hedge Fund Index avoided ending the month in the negative territory, and only 5.7% of the hedge fund managers were able to maintain double-digit year-to-date performance, the lowest proportion ever recorded by the Eurekahedge database.

The asset-weighted Mizuho-Eurekahedge Index (USD) declined 1.75% during the month, narrowly outperforming the equal-weighted Eurekahedge Hedge Fund Index, indicating that the losses were heavier among the small-to-mid sized hedge fund managers. Indeed, the equal-weighted Eurekahedge Small Hedge Fund Index which comprises fund managers overseeing no more than US$100 million in assets was down 2.32%, in contrast to the 2.00% and 1.75% losses posted by medium (US$100 million to US$500 million) and large (above US$500 million) hedge funds.

Below are the key highlights for the month of October 2018:

• Hedge funds were down 2.19% in October, ahead of the MSCI AC World Index (Local) which was down 7.33% over the month. Almost 90% of the hedge fund managers tracked by Eurekahedge outperformed the market index.

• On an asset-weighted basis, hedge funds lost 1.75% in October, bringing their year-to-date losses to 2.95%, as captured by the Mizuho Eurekahedge Hedge Fund Index (USD).

• Following 13 consecutive month of losses, long volatility focused hedge fund managers got it right in October and posted gains of 4.02% - the highest among all strategic mandates. Despite these heroics, the CBOE Eurekahedge Long Volatility Hedge Fund Index was still down 3.30% for the year.

• North American fund managers continued to outperform their peers focusing on Asia or Europe, as they gained 0.91% as of October 2018 year-to-date. The underlying long/short equities managers in the region were still up 1.42% for the year in spite of the 3.87% loss they suffered last month.

• US-imposed tariffs continued to weigh on returns as Greater China fund managers posted their 5th consecutive month of losses, with the mandate down 6.25% in October. On a year-to-date basis, the Eurekahedge Greater China Hedge Fund Index was down 13.83%, marking its worst performance over the first ten months of a year since the 2008 financial crisis.

• All of the major strategic mandates were down in October, with long/short equities suffering the worst blow from the equity market selloff. The Eurekahedge Long Short Equities Hedge Fund Index declined 3.01% over the month and dragged its year-to-date return into the red for the first time this year.

• Preliminary numbers showed that Indian hedge fund managers are down 3.73% throughout the month as the weaknesses in Indian equities and rupee weighed on fund managers' performance. The Eurekahedge India Hedge Fund Index (USD) was down 19.69% for the year.

• The bloodbath in October left AI/machine learning hedge funds at a loss, as the Eurekahedge AI Hedge Fund Index slumped 3.00% over the month - its worst monthly performance ever recorded since inception. In contrast to the 9.00% gains made in 2017, AI fund managers have lost 6.54% as of October 2018 year-to-date as they floundered through the year.

• The Eurekahedge CTA/Managed Futures Hedge Fund Index was down 2.87% during the month as the plummeting oil and industrial metal prices dragged fund managers' returns into the red. On a year-to-date basis, the index was down 4.44%, and the total AUM managed by CTA/managed futures hedge funds globally has decreased by US$21.3 billion, the majority of which was contributed by investor redemptions.

• The Eurekahedge Crypto-Currency Hedge Fund Index which tracks hedge funds investing in crypto assets was down 4.17% in October, narrowly outperforming the Bitcoin price, which declined 4.32% over the month. On a year-to-date basis, the index was down 56.90%.

Press release

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