Hedge Funds Up 2.58%, Resume Recovery In Q4 With 0.88% Gains by Eurekahedge
Hedge funds continued their recovery in Q4 with the Eurekahedge Hedge Fund Index up 0.88%1 in November while the MSCI World Index2 grew by 0.38% during the month. On a year-to-date basis, hedge funds are up 2.58% while underlying markets as represented by the MSCI World have gained 1.78%.
November was dominated by the theme of a US rate hike later in the year, along with the ECB’s dovish stance regarding further easing in the Eurozone. The latter has been to some extent realised earlier during this month when the ECB decided to cut deposit rates even further, adding to their menu an ever expansive array of negative yielding bonds on offer from countries otherwise plagued with anaemic growth. It would be interesting to see how this easy credit and the simultaneous calls for reforms aka austerity will lead the Eurozone onto firmer grounds. Meanwhile markets struggled with soft PMI data from China which led commodity markets further into the red. Oil prices remained under pressure during the month despite rising inventories, and it is unlikely that OPEC may be reducing production in the near term – especially with Saudi Arabia and Russia/Iran embroiled in a proxy war in Syria where the latter are likely to gain more from any price increase.
Key takeaways for the month of November 2015:
When Baupost, the $30 billion Boston-based hedge fund now managed by Seth Klarman, was founded in 1982, it was launched with a core set of aims. Q4 2021 hedge fund letters, conferences and more Established by Harvard professor William Poorvu and a group of four other founding families, including Klarman, the group aimed to compound Read More
- On a year-to-date basis, hedge funds are up 2.58%, which compares with a gain of 4.61% seen over the same period last year. Total AUM in hedge funds has grown by US$100 billion in 2015, with three-quarters of this gain coming from investor flows.
- Among developed market mandates, Japanese managers lead with year-to-date gains of 6.36%, followed by European managers up 4.95% while North American managers trail behind with gains of 0.90%. North American managers look on track to post their worst annual return since 2011.
- Greater China investing hedge funds posted their third consecutive month of gains and were up 0.85% in November, outperforming the CSI 300 Index by almost 9% on a year-to-date basis.
- Distressed debt funds have posted the worst return among all hedge fund strategic mandates on a year-to-date basis, down 3.92% and are on track to post their worst performance since 2008. Relative value volatility funds however, have delivered the best gains of 5.58% in 2015.
- Asia ex-Japan mandated hedge funds are up 7.15% at 2015 year-to-date, the biggest gainer among all hedge fund regional investment mandates, outperforming the MSCI AC Asia ex Japan Index by over 14%.
- CTA/managed futures strategies posted the best gains among all strategic mandates in November, up 2.53% – their strongest monthly gain since January 2015. The strategy has attracted almost US$30 billion in investor flows?the second highest following long/short equity strategies.
|Main Indices||Nov 20151||Last 3 Months||2015 Returns||2014 Returns||Annualised Returns||Constituents||Weighting|
|Eurekahedge Hedge Fund Index||0.88||1.35||2.58||4.63||9.21%||2,931||Equal|
|Eurekahedge CTA/Managed Futures Hedge Fund Index||2.53||1.95||1.39||9.27||10.19%||517||Equal|
|Eurekahedge Greater China Hedge Fund Index||0.85||6.80||9.64||7.60||15.87%||78||Equal|
|Index of the Month||Nov 20151||Last 3 Months||2015 Returns||2014 Returns||Annualised Returns||Constituents||Weighting|
|CBOE Eurekahedge Relative Value Volatility Hedge Fund Index||0.56||2.80||5.58||-0.36||10.05%||41||Equal|
|Eurekahedge Main Indices||Nov 20151||2015 Returns||2014 Returns|
|Eurekahedge Hedge Fund Index||0.88||2.58||4.63|
|Eurekahedge Fund of Funds Index||0.75||1.18||3.46|
|Eurekahedge Long-only Absolute Return Fund Index||-0.19||-0.93||3.59|
|Eurekahedge Islamic Fund Index||-1.08||-1.56||2.7|
All regional mandates ended the month of November in positive territory with Japan mandated funds witnessing the largest gains. The Eurekahedge Japan Hedge Fund Index was up 0.92% during the month as underlying markets posted strong gains with the Nikkei 225 Index growing 3.48%. Although the much anticipated increase in the Bank of Japan stimulus did not come about in November, strong corporate earnings and an inflation target which is still out of reach, assured markets that further quantitative easing was still on the table. Asia ex-Japan investing funds were up 0.33%, outperforming underlying markets as the MSCI AC Asia ex Japan Index declined 3.50% during the month following soft PMI numbers from China. On a year-to-date basis, The Eurekahedge Asia ex Japan Hedge Fund Index is up 7.15%, the highest recorded gains among all regional mandates and an outperformance of over 14% relative to the underlying markets as repres ented by the MSCI Asia ex Japan Index. The Eurekahedge Greater China Hedge Fund Index continued its recovery posting its third consecutive month of gains and was up 0.85% in November with underlying markets posting mixed returns as the Hang Seng Index slumped 2.84% during the month while the CSI 300 Index was up 0.91%. On a year-to-date basis, Greater China investing hedge funds have preserved their gains from earlier during the year and are up 9.64%, outperforming the CSI 300 Index by almost 9%. Within the developed market mandates, Japanese hedge funds posted the strongest gains of 0.92% followed by European mandates up 0.81% while North America dedicated funds came in a third close with gains of 0.78%.
|Eurekahedge Regional Indices||Nov 20151||2015 Returns||2014 Returns|
|Eurekahedge North American Hedge Fund Index||0.78||0.90||5.62|
|Eurekahedge European Hedge Fund Index||0.81||4.95||0.64|
|Eurekahedge Eastern Europe & Russia Hedge Fund Index||0.36||4.09||-23.72|
|Eurekahedge Japan Hedge Fund Index||0.92||6.36||5.76|
|Eurekahedge Emerging Markets Hedge Fund Index||0.16||3.30||3.50|
|Eurekahedge Asia ex Japan Hedge Fund Index||0.33||7.15||9.07|
|Eurekahedge Latin American Hedge Fund Index||0.48||0.70||2.16|
Most strategic mandates ended the month of November in positive territory, with CTA/managed futures strategies posting the strongest gains up 2.53% during the month. With the US seeming more confident over its December rate hike, and the ECB easing up for further stimulus, interesting trends developed in the FX space which were fully capitalised by managed futures strategies betting on the relative strengthening of the US dollar against the euro/yen and select emerging market currencies. Commodity futures provided another boost to CTA/managed futures earnings as the downward trends in the commodity space stayed intact over the month. Long/short equity strategies also did well during the month, up 0.59% with both developed and emerging market mandated funds delivering gains. Meanwhile, distressed debt managers posted their sixth month of negative returns during the year, down 0.89% in November – the steepest loss among all strategi c mandates. On a year-to-date basis, distressed debt managers came in last with losses for the year at 3.92%. Given a strengthening US dollar, the lull in commodity prices and a rate hike in December, the outlook for high yield debt could remain worrisome and distressed debt managers with a North American mandate would be operating in a very challenging environment. On a year-to-date basis, relative value volatility, arbitrage and long/short equity strategies lead the returns tables with gains of 5.58%, 4.41% and 3.79%.
|Eurekahedge Strategy Indices||Nov 20151||2015 Returns||2014 Returns|
|Eurekahedge Arbitrage Hedge Fund Index||0.17||4.41||2.65|
|Eurekahedge CTA/Managed Futures Hedge Fund Index||2.53||1.39||9.27|
|Eurekahedge Distressed Debt Hedge Fund Index||-0.89||-3.92||0.79|
|Eurekahedge Event Driven Hedge Fund Index||-0.11||-0.54||2.50|
|Eurekahedge Fixed Income Hedge Fund Index||-0.04||1.31||3.63|
|Eurekahedge Long Short Equities Hedge Fund Index||0.59||3.79||3.50|
|Eurekahedge Macro Hedge Fund Index||0.83||2.54||4.76|
|Eurekahedge Multi-Strategy Hedge Fund Index||0.53||2.68||4.55|
|Eurekahedge Relative Value Hedge Fund Index||-0.14||1.83||3.85|
|CBOE Eurekahedge Long Volatility Hedge Fund Index||0.41||0.69||1.58|
|CBOE Eurekahedge Relative Value Volatility Hedge Fund Index||0.56||5.58||-0.36|
|CBOE Eurekahedge Short Volatility Hedge Fund Index||0.82||2.41||4.47|
|CBOE Eurekahedge Tail Risk Hedge Fund Index||0.02||-3.38||-3.22|
|Eurekahedge Global Hedge Fund Indices by Fund Size||Nov 20151||2015 Returns||2014 Returns|
|Eurekahedge Small Hedge Fund Index (< US$100m)||0.93||2.26||4.42|
|Eurekahedge Medium Hedge Fund Index (US$100m – US$500m)||0.89||3.73||4.65|
|Eurekahedge Large Hedge Fund Index (> US$500m)||1.02||3.18||5.35|
|Eurekahedge Billion Dollar Hedge Fund Index||0.67||2.34||4.80|
|Mizuho-Eurekahedge Indices||Nov 20151||2015 Returns||2014 Returns|
|Mizuho-Eurekahedge Index – USD||-0.03||-0.20||1.18|
|Mizuho-Eurekahedge TOP 100 Index – USD||0.45||1.61||2.32|
|Mizuho-Eurekahedge TOP 300 Index – USD||0.10||0.48||1.77|
|Asia-Eurekahedge Indices||Nov 20151||2015 Returns||2014 Returns|
|Eurekahedge Greater China Hedge Fund Index||0.85||9.64||7.60|
|Eurekahedge India Hedge Fund Index||-0.64||3.86||38.84|
* Based on 29.46% of funds which have reported November 2015 returns as at 8 December 2015
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1 Based on 29.46% of funds which have reported November 2015 returns as at 8 December 2015
2 MSCI AC World Index (Local)