Eurekahedge: Hedge Fund Index Gains 0.76% In August On CTA, Macro Strength

Sep 13 2017 | 7:37pm ET

Hedge funds continued their positive momentum through August, according to an update of Eurekahedge’s Hedge Fund Index, as CTAs and macro strategies shined.

Eurekahedge’s index gained +0.76% during August, the company said in a statement, outperforming underlying markets as represented by the +0.15% gain in the MSCI AC World Index (Local) index. Almost all hedge fund strategies ended the month in the green, the company said, with CTA/managed futures up +1.27% and macro hedge funds up +1.17%. 

Across regional mandates, hedge funds focused on emerging markets continue to post strong results relative to their developed market peers, helped by the depreciating U.S. dollar. 

Key highlights from Eurekahedge’s August 2017 report:

  • On a year-to-date basis, hedge funds as measured by Eurekahedge’s  index have gained 5.16%, while underlying markets are up 9.58%. 
  • Managers running a long volatility mandate grew 0.54% following seven consecutive months of losses as the North Korean crisis brought volatility back to life, albeit quite briefly. On a year-to-date basis, long volatility hedge funds are down 7.46% while short volatility hedge funds have gained 6.85% for the year.
  • Among developed market mandates, Japanese hedge funds led on a year-to-date basis, up 6.37%, followed by Europe with growth of 4.85% and North America with 3.35%.
  • On a year-to-date basis, equity long bias hedge funds led with gains of 10.49%, followed by event driven up 7.08% and short volatility hedge funds up 6.85%.
  • Emerging market mandates continued to outshine their developed market peers, with India, Greater China and Asia ex-Japan hedge funds up 22.06%, 19.80% and 14.24% respectively. Latin America and Eastern Europe mandated funds are also up 13.50% and 11.00% for the year.
  • Distressed debt hedge fund managers were barely in the positive in August, up 0.03% and 4.38% year-to-date respectively, with losses coming from their exposure to high yield debt in the energy sector as oil prices declined following the closure of oil refineries in the U.S. on the back of hurricane Harvey.

Eurekahedge’s data was based on 42.03% of funds that have reported August 2017 returns as of 12 September 2017. The company tracks asset flows, hedge fund performance and regional key trends across the hedge fund universe, measuring more than 130 data points on more than 24,000 alternative funds in its database.

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