Sat, Aug 13, 2022
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Despite October bloodbath, 30% of global hedge funds avoid losses during the month with long volatility strategies up 4%

Tuesday, November 13, 2018
Opalesque Industry Update - The Eurekahedge Hedge Fund Index slumped 2.19% in the volatile month of October 2018, bringing year-to-date returns down to -2.08%. The MSCI AC World Index (Local) declined 7.33% in what turned out to be the worst month for both the hedge fund industry and the global equity market since 2011.

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

Article source - Opalesque is not responsible for the content of external internet sites

What do you think?

   Use "anonymous" as my name    |   Alert me via email on new comments   |   
Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing

 



  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. Other Voices: ESG exuberance is at all-time highs. But will investors buy?[more]

    As investors increase their focus on mission-based investing, they continue to grapple with ESG and what it means to them. By David Shalom, Director of Capital Introductions at Pershing Innovation. New investment solutions. That's how managers deliver value and attract new inve

  2. Alts managers sitting on over $2.5tn+ of dry powder[more]

    Laxman Pai, Opalesque Asia: In the current rising interest rate environment, investment activity in the private markets has continued to grow, revealed a study. "With alts managers sitting on over $2.5T+ of dry powder and continuing to enjoy premium valuations and interest rates on a prec

  3. Opalesque Exclusive: Hong Kong manager expects additional tailwind in Asian markets[more]

    B. G., Opalesque Geneva: The Asia equity markets have not been at their best so far this year, with the MSCI Asia index down almost 13% YTD, but many managers remain buoyant about the region, as in

  4. Opalesque Exclusive: Emerging markets persist despite headwinds[more]

    Bailey McCann, Opalesque New York: Emerging markets have been under significant pressure since the start of the year, but there are some nascent trends that suggest that things could be getting better. Emerging markets firm Gramercy Fund Management recently released its third quarter outlook and

  5. Opalesque Exclusive: Castle Hall's DiligenceExchange free Transparency Reports cover 100 managers with $10tn of assets[more]

    Matthias Knab, Opalesque for New Managers: Managers and investors can get free access to DiligenceExchange here: https://bit.ly/DXCInfo Castle Hall, the Du