Hedge Funds Go Negative YTD with October Performance

13 Nov

Hedge Funds Go Negative YTD with October Performance

Performance challenges in the global hedge fund industry continued in October, according to the latest eVestment hedge fund performance data. The industry’s aggregate performance of -3.10% for the month dragged year-to-date (YTD) performance into the red at -2.55% and October was the second lowest month in performance since September 2011.

The search for bright spots in the industry was difficult in October as almost every hedge fund primary market and primary strategy was in the red for the month, although many are still in positive territory YTD. October’s fund performance and resulting impact on YTD performance are in stark contrast to the largely positive results hedge funds saw in 2017 and 2016.

Looking on the bright side, among primary markets, FX/Currency hedge funds returned +1.04% in October, with YTD performance at +1.83%. Additionally, size seemed to play a role in returns in October, with the 10 largest hedge funds seeing among the least red ink in October and showing +1.24% returns YTD.

Some other key findings from the October data include:

  • Hedge funds focused on Brazil delivered strong performance in October at +12.99%, bringing these funds’ performance into the green for the year at +0.75%. Funds focused on India, China and Russia however continued their negative trajectory in October and YTD.
  • Among primary strategies, Distressed and Multi-Strategy Credit hedge funds are among the strongest performers YTD, at +3.84% and +2.91% respectively for the year, although both saw negative performance in October.
  • Event Driven – Activist funds were the worst-performing primary strategy in October at -5.78% and are the worst-performing primary strategy for the year at -6.86%.

Please see a full round up of eVestment’s October 2018 hedge fund performance data in the charts below. To download additional eVestment research reports, please click here.

Industry BenchmarksOctQ3 2018YTD 201820172016
Hedge Fund Aggregate-3.10%0.37%-2.55%8.96%5.75%
50% MSCI World/50% Citi WGBI-4.22%1.65%-2.83%14.75%4.74%
S&P 500-6.84%7.71%3.01%21.83%11.96%
Primary MarketsOctQ3 2018YTD 201820172016
FX/Currency1.04%-0.42%1.83%-3.46%2.90%
Fixed Income/Credit-0.72%0.92%1.47%6.04%7.61%
Volatility/Options Strategies-1.16%1.66%-0.74%4.86%6.68%
Commodities-1.34%-1.38%-3.32%0.51%5.94%
Broad Capital Structure-2.08%0.75%0.04%9.10%10.29%
Broad Multi-Market-2.46%-0.01%-3.19%4.54%3.31%
Broad Financial Derivatives-3.72%0.59%-5.77%2.31%0.45%
Equity-4.27%0.26%-3.68%13.50%5.80%
Primary StrategyOctQ3 2018YTD 201820172016
Multi-Strategy Credit-0.06%1.12%2.91%5.71%6.60%
Market Neutral Equity-0.61%-0.45%-1.43%3.49%2.43%
Directional Credit-0.65%1.14%2.22%5.30%7.37%
Relative Value Credit-0.90%0.82%0.51%5.66%6.69%
Distressed-1.03%1.80%3.84%6.55%12.78%
Macro-1.31%-0.38%-2.46%3.99%2.98%
Convertible Arbitrage-1.58%0.41%-0.48%5.71%5.73%
Event Driven-1.71%0.82%1.15%7.45%9.55%
Quantitative Directional Equity-2.16%2.13%-1.23%10.58%5.01%
Origination & Financing-2.37%1.15%2.07%6.90%4.30%
Multi-Strategy-3.13%0.90%-2.28%6.81%3.81%
Managed Futures-4.22%0.54%-6.75%2.66%0.15%
Long/Short Equity-4.84%1.51%-1.84%12.18%5.84%
Event Driven – Activist-5.78%-0.70%-6.86%11.36%11.75%
Prominent Universes by SizeOctQ3 2018YTD 201820172016
Ten Largest Hedge Funds-0.31%0.47%1.24%5.26%8.23%
Ten Largest Macro-0.47%-1.27%0.63%1.56%6.68%
Ten Largest Managed Futures-2.56%2.29%-4.91%3.38%-5.32%
Ten Largest Long/Short Equity-2.85%0.32%-3.67%9.09%3.88%
Economic DevelopmentOctQ3 2018YTD 201820172016
Emerging Markets-3.46%-3.86%-10.95%19.56%7.71%
Country ExposureOctQ3 2018YTD 201820172016
Brazil12.99%-0.14%0.75%14.78%34.44%
India-3.36%-8.44%-22.46%32.87%4.53%
Russia-4.30%-2.61%-11.05%12.99%32.82%
China-9.04%-7.89%-17.05%34.74%-5.16%