Hedge Funds See Two Months of Negative Returns, Still Positive YTD

10 Oct

Hedge Funds See Two Months of Negative Returns, Still Positive YTD

Aggregate hedge fund industry performance slipped into the red again in September, with the industry returning -0.11% last month, according to the just-released eVestment September 2019 hedge fund performance figures. This marked the second consecutive month of negative industry returns, although the industry is still positive for the year, with aggregate year-to-date (YTD) industry returns coming in at +6.35%. Across the industry, 82% of products have produced positive results in 2019 with average gains among positive performers of +10.56%.

There’s more green than red in returns across the strategies and fund types eVestment tracks. But Managed Futures funds’ big negative returns of -3.88% in September were a big drag on the overall industry figures. In spite of the sharp drop among those funds in September, Managed Futures funds are still strongly positive for the year, returning +7.70% YTD.

Other highlights from the latest data include:

  • Other primary strategies slipping into the red in September were Macro funds (-0.12%), Relative Value Credit funds (-0.19%) and Market Neutral Equity funds (-0.72%), although all are still positive YTD.
  • Origination & Financing funds and Event Driven – Activist funds were the strongest performers among primary strategies in September, returning +1.24% and +1.13% respectively. With YTD returns at +8.00% Event Driven – Activist funds are among the strongest primary strategies for returns so far this year.
  • Long/Short Equity funds eked out positive average returns of +0.42% in September, but with YTD average returns at +8.72% these funds are putting up the best 2019 performance figures so far among primary strategies eVestment tracks.
  • India-focused funds saw a big turnaround in September, returning +4.80% last month. This dents, but doesn’t eliminate, India-focused funds’ poor returns for the year, which stand at -4.04% YTD.
  • Russia and China-focused funds are still the best performing funds of all types tracked by eVestment YTD, returning +15.86% and +14.79% respectively for the year. Brazil-focused funds aren’t far behind, returning +11.98% so far in 2019.

The full September data is included below. To see more eVestment traditional, hedge fund and private markets research reports, please click here.

Industry Benchmarks Sep Q3 2019 YTD 2019 2018 2017
Hedge Fund Aggregate -0.11% -0.42% 6.35% -5.08% 8.94%
50% MSCI World/50% Citi WGBI 0.41% 0.74% 12.04% -4.60% 14.75%
S&P 500 1.87% 1.70% 20.55% -4.38% 21.83%
Primary Markets Sep Q3 2019 YTD 2019 2018 2017
Fixed Income/Credit 0.95% 0.92% 5.25% 0.00% 6.00%
Equity 0.46% -0.89% 7.85% -7.54% 13.45%
Volatility/Options Strategies 0.44% 0.40% 2.79% -2.40% 4.81%
Broad Capital Structure 0.41% -0.76% 5.67% -3.54% 8.99%
FX/Currency 0.25% 2.31% 3.84% 0.76% -3.46%
Commodities -0.33% -1.10% 2.55% -5.97% 0.49%
Broad Multi-Market -0.87% 0.39% 5.23% -3.71% 4.56%
Broad Financial Derivatives -3.86% 1.06% 6.80% -5.53% 2.31%
Primary Strategy Sep Q3 2019 YTD 2019 2018 2017
Origination & Financing 1.24% 2.20% 5.90% 4.99% 6.69%
Event Driven – Activist 1.13% 0.90% 8.00% -10.35% 11.12%
Directional Credit 0.54% 1.01% 5.27% 0.69% 5.32%
Quantitative Directional Equity 0.45% 0.51% 7.16% -4.75% 10.51%
Long/Short Equity 0.42% -0.88% 8.72% -7.04% 12.15%
Distressed 0.39% -0.31% 4.68% -0.32% 6.63%
Convertible Arbitrage 0.26% 0.63% 6.71% -2.22% 5.49%
Multi-Strategy Credit 0.19% 0.08% 4.09% 0.01% 5.81%
Event Driven 0.17% -0.48% 4.11% -1.99% 7.41%
Multi-Strategy 0.15% 0.18% 4.78% -3.34% 6.72%
Macro -0.12% 1.21% 5.56% -2.91% 4.02%
Relative Value Credit -0.19% -0.29% 3.87% -0.98% 5.48%
Market Neutral Equity -0.72% -0.41% 0.42% -3.26% 3.60%
Managed Futures -3.88% 1.44% 7.70% -5.98% 2.72%
Prominent Universes by Size Sep Q3 2019 YTD 2019 2018 2017
Ten Largest Hedge Funds 1.04% 0.69% 4.93% 2.29% 4.99%
Ten Largest Long/Short Equity 1.13% 2.10% 7.97% -4.69% 8.57%
Ten Largest Macro -0.21% 0.04% 5.06% 2.13% 2.24%
Ten Largest Managed Futures -3.94% 2.70% 10.16% -5.40% 6.35%
Ten Largest Multi-Strategy 0.60% -0.23% 3.93% -2.56% 6.81%
Economic Development Sep Q3 2019 YTD 2019 2018 2017
Emerging Markets 1.24% -1.23% 7.65% -10.78% 19.49%
Country Exposure Sep Q3 2019 YTD 2019 2018 2017
India 4.80% -5.76% -4.04% -16.23% 32.40%
Japan 2.05% 0.66% 3.38% -8.04% 13.76%
Russia 1.40% -0.40% 15.86% -13.20% 13.16%
Brazil 0.62% 2.47% 11.98% -2.29% 15.13%
Asia ex-Japan 0.52% -2.11% 3.83% -11.33% 21.76%
China 0.05% -0.84% 14.79% -16.62% 34.77%