Hedge Funds Gain in October; Managed Futures Funds Drag on Returns

13 Nov

Hedge Funds Gain in October; Managed Futures Funds Drag on Returns

The global hedge fund industry saw an average return of +0.55% in October, bringing year to data (YTD) average industry returns to +7.09%, according to the just-released October 2019 eVestment hedge fund performance data. Managed Futures funds, which saw returns at -1.73% in October, were the primary reason aggregate returns were not more positive last month.

YTD 83% of funds tracked by eVestment have produced positive results, with average gains among positive performers of +11.25% for the year.

Other interesting points from the October eVestment hedge fund performance data include:

  • Among primary strategies, Origination & Financing funds were the big performance winners in October, producing returns of +1.75%. With YTD returns at +7.26%, Origination & Financing funds are among the top performing primary strategies for the year as well.
  • Event Driven – Activist and Long/Short Equity funds were also strong performers in October with returns of +1.43% and +1.17% respectively. With YTD performance well north of 9% for both types of funds, Event Driven – Activist and Long/Short Equity funds are the strongest performing funds among the primary fund strategies eVestment tracks.
  • In addition to Managed Futures, Distressed funds (-0.54%), Macro funds (-0.25%) and Multi-Strategy funds (-0.11%) were the other primary strategies that produced negative results in October. However, all primary hedge funds strategies tracked by eVestment are in the green for performance YTD.
  • China-focused hedge funds were the overall hedge fund performance winners in October, returning +3.75% for the month, which brought YTD performance to +18.26%.
  • India-focused funds had a strong October, returning +3.57%, but those returns weren’t enough to erase the red from an overall challenging year for these funds, which stand at -1.30% performance YTD.
  • Russia- and Brazil-focused funds are also seeing strong returns, with October performance at +2.57% for Russia-focused funds and +1.20% for Brazil-focused funds, bringing YTD returns for these funds to +18.80% and 13.04% respectively.

The full October, Q3 and YTD hedge fund performance data is below.

If you’d like to review additional eVestment data, please click here to download and subscribe to our regular research reports.

 

Industry Benchmarks Oct Q3 2019 YTD 2019 2018 2017
Hedge Fund Aggregate 0.55% -0.28% 7.09% -5.08% 8.94%
50% MSCI World/50% Citi WGBI 1.54% 0.74% 13.77% -4.60% 14.75%
S&P 500 2.17% 1.70% 23.16% -4.38% 21.83%
Primary Markets Oct Q3 2019 YTD 2019 2018 2017
Equity 1.24% -0.98% 9.11% -7.54% 13.46%
Commodities 0.56% -1.02% 3.20% -5.97% 0.49%
Volatility/Options Strategies 0.56% 0.56% 3.53% -2.40% 4.81%
Broad Capital Structure 0.45% -0.88% 6.05% -3.54% 8.99%
FX/Currency 0.37% 1.86% 3.78% 0.76% -3.46%
Fixed Income/Credit 0.36% 0.44% 5.13% 0.00% 6.00%
Broad Multi-Market -0.65% 0.81% 4.98% -3.70% 4.58%
Broad Financial Derivatives -1.33% 1.75% 6.15% -5.52% 2.29%
Primary Strategy Oct Q3 2019 YTD 2019 2018 2017
Origination & Financing 1.75% 1.74% 7.26% 4.99% 6.69%
Event Driven – Activist 1.43% 0.48% 9.40% -10.35% 11.12%
Long/Short Equity 1.17% -1.00% 9.87% -7.04% 12.16%
Quantitative Directional Equity 0.98% -0.06% 7.70% -4.75% 10.51%
Relative Value Credit 0.66% 0.35% 5.22% -0.98% 5.48%
Event Driven 0.47% -0.72% 4.38% -1.99% 7.41%
Convertible Arbitrage 0.46% 0.68% 7.26% -2.22% 5.49%
Directional Credit 0.15% 0.74% 5.16% 0.69% 5.32%
Market Neutral Equity 0.14% 0.09% 1.06% -3.26% 3.60%
Multi-Strategy Credit 0.05% 0.31% 4.36% 0.01% 5.81%
Multi-Strategy -0.11% 0.24% 4.74% -3.35% 6.73%
Macro -0.25% 1.14% 5.23% -2.94% 4.06%
Distressed -0.54% -1.16% 3.22% -0.32% 6.63%
Managed Futures -1.73% 1.88% 6.32% -5.97% 2.70%

 

Prominent Universes by Size Oct Q3 2019 YTD 2019 2018 2017
Ten Largest Hedge Funds 0.39% 0.37% 5.01% 2.30% 4.99%
Ten Largest Long/Short Equity 0.59% 2.20% 8.71% -4.69% 8.57%
Ten Largest Macro -0.06% 1.23% 6.24% 2.15% 2.25%
Ten Largest Managed Futures -2.77% 3.52% 7.97% -5.40% 6.35%
Ten Largest Multi-Strategy -0.33% 0.09% 4.58% -2.61% 6.93%

 

Economic Development Oct Q3 2019 YTD 2019 2018 2017
Emerging Markets 1.91% -1.56% 9.37% -10.78% 19.51%
Country Exposure Oct Q3 2019 YTD 2019 2018 2017
China 3.75% -1.53% 18.26% -16.62% 34.77%
India 3.57% -6.41% -1.30% -16.23% 32.40%
Russia 2.57% -0.66% 18.80% -13.22% 13.14%
Japan 1.92% 0.29% 4.98% -8.04% 13.76%
Asia ex-Japan 1.56% -2.48% 5.05% -11.33% 21.76%
Brazil 1.20% 2.21% 13.04% -2.29% 15.13%