CTAs and Macros shone in October as hedge funds continued winning streak

Hedge funds gained 1.32 per cent during the month of October with underlying markets, as represented by the MSCI AC World Index (Local), up 2.56 per cent over the same period, according to EurekaHedge’s latest Index Flash Update.

On a year-to-date basis, managers gained 6.99 per cent while underlying markets were up 14.84 per cent.
 
The EurekaHedge Trend Following Hedge Fund Index, a sub-group of the broad CTA Index, outshone in October, up 4.86 per cent during the month as winning trends in equities, base metals and energy contributed positively to performance.
 
Asia ex-Japan mandates led the gains in 2017 year-to-date, up 18.22 per cent, with Greater China and India mandated hedge funds up 26.34 per cent and 23.80 per cent respectively.
 
Among developed mandates, Japanese hedge funds gained 1.86 per cent, followed by European and North American counterparts which were up 0.55 per cent and 0.22 per cent for the month respectively. On a year-to-date basis, Japanese managers were up 10.87 per cent followed by European and North American managers who posted gains of 6.61 per cent and 4.58 per cent respectively.
 
All strategic mandates were up this month with CTA/managed futures hedge funds posting the best returns of 2.73 per cent, followed by macro and multi-strategy hedge funds gaining 1.94 per cent and 1.46 per cent respectively.
 
Long/short equities hedge funds were up 0.98 per cent in October with equity long bias hedge funds posting an impressive 1.39 per cent gain, boosted by the broad-based rally in the global equity markets during the month.
 
Among volatility-focused hedge funds, short volatility hedge funds topped the table for October, gaining 0.55 per cent, while long-volatility hedge funds posted a declined, down 0.79 per cent. On a year-to-date basis, short volatility hedge funds gained 8.12 per cent while long volatility hedge funds were down 9.65 per cent year-to-date.