Research

Hedge Fund Round-Up 2019

Hedge fund managers have returned 7.27% as of November 2019 year-to-date, supported by the global equity market recovery throughout the year. Optimism over the progress of the US-China trade talks and accommodative central bank policies since the beginning of the year have acted as tailwinds for the hedge fund industry, resulting in positive performance for most geographic and strategic mandates for the year. The global hedge fund industry AUM currently stands at US$2,272.8 billion, down US$19.5 billion year-to-date as investor redemptions persisted in spite of positive performance-driven growth.

The two tables below provide the performance of the Eurekahedge indices broken down across geographic and strategic mandates over the last two years. Annualised returns of the indices are provided to represent the long-term performance of the regions and strategies.

Table 1: Regional indices performance

Index

2019 YTD Return

2018 Return

Annualised Return

Eurekahedge Hedge Fund Index

7.27%

(3.91%)

8.21%

Eurekahedge North American Hedge Fund Index

7.86%

(2.99%)

8.93%

Eurekahedge European Hedge Fund Index

5.97%

(4.66%)

6.60%

Eurekahedge Eastern Europe & Russia Hedge Fund Index

14.56%

(12.86%)

11.88%

Eurekahedge Asia ex Japan Hedge Fund Index

9.42%

(9.33%)

9.66%

Eurekahedge Japan Hedge Fund Index

5.24%

(9.32%)

5.21%

Eurekahedge Greater China Hedge Fund Index

12.15%

(13.03%)

13.42%

Eurekahedge India Hedge Fund Index

0.73%

(8.06%)

6.17%

Eurekahedge Australia/New Zealand Hedge Fund Index

15.83%

(6.95%)

10.89%

Eurekahedge Emerging Markets Hedge Fund Index

8.50%

(5.45%)

10.97%

Eurekahedge Latin American Hedge Fund Index

10.42%

6.68%

12.86%

Source: Eurekahedge

Table 2: Strategy indices performance

Index

2019 YTD Return

2018 Return

Annualised Return

Eurekahedge Arbitrage Hedge Fund Index

5.24%

(0.53%)

6.79%

Eurekahedge CTA/Managed Futures Hedge Fund Index

4.84%

(3.58%)

8.47%

Eurekahedge Distressed Debt Hedge Fund Index

1.30%

3.25%

9.90%

Eurekahedge Event Driven Hedge Fund Index

5.69%

(2.88%)

8.73%

Eurekahedge Fixed Income Hedge Fund Index

6.65%

0.13%

7.54%

Eurekahedge Long Short Equities Hedge Fund Index

9.01%

(6.25%)

8.16%

Eurekahedge Macro Hedge Fund Index

7.02%

(2.83%)

7.61%

Eurekahedge Multi-Strategy Hedge Fund Index

6.58%

(3.78%)

8.69%

Eurekahedge Relative Value Hedge Fund Index

3.35%

(0.12%)

8.48%

CBOE Eurekahedge Long Volatility Hedge Fund Index

(10.10%)

0.83%

3.48%

CBOE Eurekahedge Relative Value Volatility Hedge Fund Index

(1.43%)

(3.91%)

7.54%

CBOE Eurekahedge Short Volatility Hedge Fund Index

6.72%

(13.03%)

7.09%

CBOE Eurekahedge Tail Risk Hedge Fund Index

(5.62%)

(5.75%)

(5.53%)

Eurekahedge Equity Long Bias Hedge Fund Index

14.68%

(9.37%)

8.84%

Eurekahedge Equity Market Neutral Hedge Fund Index

1.15%

(1.90%)

4.81%

Eurekahedge Trend Following Index

5.76%

(7.06%)

9.09%

Eurekahedge FX Hedge Fund Index

1.41%

(0.23%)

7.04%

Eurekahedge Commodity Hedge Fund Index

5.68%

(5.53%)

9.14%

Eurekahedge Crypto-Currency Hedge Fund Index

18.05%

(71.81%)

99.12%

Eurekahedge AI Hedge Fund Index

5.02%

(4.31%)

12.70%

Eurekahedge ILS Advisers Index

1.31%

(3.92%)

4.36%

Source: Eurekahedge

The following three figures provide the performance distribution of the hedge fund managers tracked by Eurekahedge throughout the year 2019.

Figure 1a: Last 12 months’ return distribution of the global hedge fund industry

Last 12 month's return distribution of the global hedge fund industry

Figure 1b: 2019 year-to-date return distribution across geographic mandates

2019 year-to-date return distribution across geographic mandates

Figure 1c: 2019 year-to-date return distribution across strategic mandates

2019 year-to-date return distribution across strategic mandates

The following figures provide the breakdown of asset flows within the global hedge fund industry, broken down across geographies, strategies, as well as fund sizes over the last few years. North America was the only region to see net increase in assets under management (AUM) throughout the year, and most of the strategic mandates were also in the red year-to-date.

Figure 2a: Net AUM change by geographic mandate

Net AUM change by geographic mandate

Figure 2b: Net AUM change by strategic mandate

Net AUM change by strategic mandate

Figure 2c: Net AUM change by fund size

Net AUM change by fund size

The figures below illustrate the population changes across the regions and strategies over the last few years. Figure 3a shows that Asia ex-Japan mandated hedge fund population has continued to grow over the recent years, indicating a sustained level of interest in the region among hedge fund allocators. Preliminary figures have also shown that the European hedge fund industry is on track to record its first annual net population growth in recent years.

Figure 3a: Net population change by geographic mandate

Net population change by geographic mandate

Figure 3b provides a similar breakdown across the major strategic mandates in the Eurekahedge database. Long/short equities mandate has seen their population growth slowing down, as interest levels for other less common investing strategies have risen among investors during the past few years.

Figure 3b: Net population change by strategic mandate

Net population change by strategic mandate

The following two tables provide the hedge fund management and performance fee averages based on launch year and geographic mandate. Barring certain outliers, the industry has witnessed a trend of fee decline over the last decade as growing competition from other alternative investment vehicles and consistent single-digit yearly returns post-financial crisis have drawn investors’ scrutiny, raising questions whether average hedge fund managers deserve their fees.

Table 3a: Average hedge fund management fees across geographic mandates

Launch Year

North America

Europe

Asia

Latin America

Global

2006

1.62%

1.55%

1.60%

1.76%

1.59%

2007

1.74%

1.51%

1.63%

2.01%

1.63%

2008

1.56%

1.46%

1.61%

1.77%

1.52%

2009

1.61%

1.46%

1.67%

1.63%

1.54%

2010

1.61%

1.52%

1.60%

1.70%

1.55%

2011

1.63%

1.43%

1.61%

1.59%

1.50%

2012

1.52%

1.37%

1.54%

1.74%

1.46%

2013

1.50%

1.23%

1.38%

1.77%

1.34%

2014

1.47%

1.26%

1.45%

1.59%

1.34%

2015

1.46%

1.16%

1.45%

1.88%

1.29%

2016

1.34%

1.24%

1.39%

1.31%

1.26%

2017

1.37%

1.08%

1.39%

1.58%

1.18%

2018

1.38%

1.19%

1.34%

1.38%

1.24%

2019

1.27%

1.16%

1.42%

1.16%

Source: Eurekahedge

Table 3b: Average hedge fund performance fees across geographic mandates

Launch Year

North America

Europe

Asia

Latin America

Global

2006

18.99%

17.13%

18.24%

19.27%

18.01%

2007

19.68%

16.70%

17.98%

18.51%

18.05%

2008

18.31%

15.83%

17.88%

18.15%

17.09%

2009

18.39%

15.74%

17.29%

17.55%

16.97%

2010

18.05%

16.20%

18.80%

18.00%

16.90%

2011

18.31%

15.83%

17.55%

15.00%

16.74%

2012

17.72%

15.17%

17.59%

16.56%

16.22%

2013

17.04%

13.50%

16.41%

17.83%

14.91%

2014

16.20%

14.46%

16.84%

15.74%

15.21%

2015

15.47%

13.45%

16.78%

18.57%

14.40%

2016

17.06%

13.50%

17.79%

16.75%

14.58%

2017

17.34%

13.32%

16.62%

16.67%

14.53%

2018

16.27%

14.33%

18.05%

18.75%

14.97%

2019

14.81%

12.62%

15.59%

13.37%

Source: Eurekahedge

The full article inclusive of all charts and tables is available in The Eurekahedge Report accessible to paying subscribers only.

Subscribers may continue to login as usual to download the full report and non-subscribers may email database@eurekahedge.com to enquire on how to obtain the full research report.

Chat