eVestment: Hedge Funds Book Eleventh Consecutive Positive Month In September

Oct 13 2017 | 9:12pm ET

Hedge funds booked their eleventh straight month of positive returns in September, according to new data from eVestment, as strong trends in equity markets, rates and currencies maintained their momentum into the fall.

The company’s Hedge Fund Aggregate gained +0.67% during the month and +2.32% for the third quarter, bringing the measure’s YTD return to +5.92%. The aggregate return already surpasses 2016’s full-year tally with three months to go.

More than 75% percent of the industry is in the green for 2017, eVestment said in a research note, with average gains of more than 10%. Activist investors are leading the pack, followed by long/short equity managers and equity-centric quantitative funds, the company added, while CTAs continue to face headwinds. 

In fact, managed futures are the only major strategy down for the year to date, at -1.37%. Less than 20% of the largest managed futures strategies have returned more than 5% so far this year, eVestment added, and nearly two-thirds declined in September.

Key highlights from eVestment’s September report:

The biggest funds (including the top ten) are dragging the rest of the industry down, posting the lowest returns in September and YTD, while the smallest (less than $250 million in AUM performed the best in the quarter (+2.43%) and are up +6.21% YTD.

Activist investors are continuing to gain clout, leading the non EM-focused industry in 2017 and up +9.23%.

The long run of emerging market outperformance stalled in September, as India and Middle East/North Africa dragging down continued performance in Brazil, which continues to be one of the most promising EM performers of 2017 and is closing in on China for YTD performance.

Macro funds slipped slightly in September and are up and underwhelming +0.86% for the year to date. Interestingly, here size is helping – eVestment’s data shows macro funds with AUM over $1 billion are up +4.13%, and nearly half the universe has YTD gains of greater than 5%.

In the research note, eVestment’s Peter Laurelli noted that while gains so far this year among the majority of the hedge fund industry are on par with major benchmark indices, investors who have made new allocations this year may have mixed feelings once fees are taking into account. 

Acquired by NASDAQ in early September, Atlanta-based eVestment was founded in 2000 by Jim Minnick, Matt Crisp and Heath Wilson. The company boasts one of the largest, most comprehensive global databases of traditional and alternative strategies and provides institutional investment data intelligence and analytic solutions to clients worldwide.

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