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Hedge funds: biggest winners and losers in October

Fund managers with long volatility views ended the month on the winning side, as they gained profits from the increase in market volatilities

The Eurekahedge Hedge Fund Index, which tracks 2682 constituent funds globally, was down 2.19% in October.

All of the major strategic mandates were down except the long volatility strategies, which has helped about 30% of global hedge funds avoid losses during the month.  

Long short equities mandates, meanwhile, suffered the worst blow from the equity markets sell-off. Preliminary numbers show that more than 80% of the fund managers using long short equity strategy posted losses in October.

The next few slides set out some of the key highlights in the hedge funds space for October.

 

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The Eurekahedge Hedge Fund Index, which tracks 2682 constituent funds globally, was down 2.19% in October.

All of the major strategic mandates were down except the long volatility strategies, which has helped about 30% of global hedge funds avoid losses during the month.  

Long short equities mandates, meanwhile, suffered the worst blow from the equity markets sell-off. Preliminary numbers show that more than 80% of the fund managers using long short equity strategy posted losses in October.

The next few slides set out some of the key highlights in the hedge funds space for October.

 

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Long volatility

Long volatility focused hedge fund managers ended October on the winning side after 13 consecutive month of losses.

The CBOE Eurekahedge Long Volatility Hedge Fund Index was up 4.02% during the month – the highest returns among all strategic mandates. However, the long volatility mandate was still down 3.30% as of October year-to-date.

 

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Long short equities

Long/short equities, however, suffered the worst blow from the equity market sell-off.

The Eurekahedge Long Short Equities Hedge Fund Index declined 3.01% over the month. Preliminary numbers show that more than 80% of the fund managers utilising this strategy posted losses in October.

Its October year-to-date returns went into the red for the first time this year.

 

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Greater China

Greater China fund managers posted their fifth consecutive month of losses in October, and their worst year through October performance since the 2008 financial crisis.

The Eurekahedge Greater China Hedge Fund Index was down 6.25% that month as US-imposed tariffs continued to weigh on returns. As of October year-to-date, the mandate was down 13.83%.

 

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India

Preliminary numbers showed that Indian hedge fund managers were down 3.73% in October.

Weaknesses in Indian equities and rupee have weighed on fund managers’ performance.

The Eurekahedge India Hedge Fund Index (USD) was down 19.69% as of October year-to-date.

 

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Artificial Intelligence

What’s more, the bloodbath in October has left Artificial Intelligence (AI) hedge funds at a loss.

The Eurekahedge AI Hedge Fund Index slumped 3.00% over the month, posting its worst monthly performance ever recorded since inception.

As of October 2018 year-to-date, AI fund managers lost 6.54%. This compared with its 9.00% gains in 2017.

 

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Commodity trading advisor 

Hedge fund managers utilising commodity trading advisor (CTA)/managed futures posted losses of 2.87% in October, marking it as the second worst month of the year for the strategy.  

As of October year-to-date, the Eurekahedge CTA/Managed Futures Hedge Fund Index was down 4.44%.

Globally, the total assets under management managed by CTA/managed futures hedge funds has decreased by $21.3 billion, the majority of which was contributed by investor redemptions.

 

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Cryptocurrency

The Eurekahedge Crypto-Currency Hedge Fund Index which tracks hedge funds investing in crypto assets was down 4.17% in October. It narrowly outperformed the Bitcoin price, which declined 4.32% over the month.

As of October year-to-date, the index was down 56.90%.

 

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