Eurekahedge Hedge Fund Index Gained 4.03% In AprilJacob Wolinsky
Key highlights for April:
- The Eurekahedge Hedge Fund Index gained 4.03% in April, recording its best monthly performance since May 2009, supported by the robust performance of the underlying global equity market as seen by the 10.47% return of the MSCI AC World Index in April.
- The global hedge fund industry witnessed its sharpest monthly performance-based decline in history as fund managers lost US$139.6 billion in March, on top of the US$81.0 billion redeemed by investors during the month.
- The Eurekahedge North American Long Short Equities Hedge Fund Index gained 8.04% in April, driven by the robust performance of US equities. The S&P 500 and tech-heavy NASDAQ recorded double-digit returns of 12.68% and 15.45% over the same month, respectively.
- The Eurekahedge Greater China Long Short Equities Hedge Fund Index was up 8.01% in April, bringing their year-to-date return back into positive territory. The reopening of the economy of Mainland China, particularly in the Wuhan province provided support to the market risk sentiment in the region.
- The Eurekahedge CTA/Managed Futures Hedge Fund Index was up 0.55% in April, despite the volatile oil market situation which saw the US crude lose more than 50% of its value, bringing its price to its lowest level in the history.
- The Eurekahedge Fixed Income Hedge Fund Index was up 3.12% in April as the monetary stimuli of central banks, particularly the Federal Reserve and the ECB resulted in lower yields in the government bond market.
- Hedge funds utilising AI strategies recovered from the losses they suffered in February as they gained 0.77% in April. On a year-to-date basis, the Eurekahedge AI Hedge Fund Index was flat over the first four months of 2020.
- The Eurekahedge Crypto-Currency Hedge Fund Index was up 26.96% in April – recording its strongest monthly performance since April 2018, supported by the strong performance of Bitcoin which ended the month up 35.31%. Fund managers focusing on crypto-currencies gained 23.61% as of April 2020.
Key Trends in North American Hedge Funds
The Eurekahedge Hedge Fund Index was up 4.03% in April – registering its best month since May 2009, supported by the robust performance of the underlying global equity market as represented by the MSCI ACWI IMI (Local) which gained 10.47% over the month. Global equities recouped some of the losses they suffered in March on the back of market optimism over the development of potential vaccines and the reopening of the economy. In the US, the lockdown implemented to curb COVID-19 spread resulted in an unprecedented increase of jobless claims, pushing the unemployment rate to 14.7% – a level not seen since the Great Depression. Despite the historic developments in the labour force, the US equity benchmarks registered their strongest monthly performance since 1987. The S&P 500 gained 12.68%, while tech-heavy NASDAQ is on track to recover back to end-2019 level with its 15.45% return during the month. In the same vein, European equities ended the month with a strong rebound as most countries in the region began to ease their lockdown measures on top of the approved half-trillion economic stimulus by the European Union. The DAX and the CAC 40 were up 9.32% and 5.02%, respectively in April. Over in Asia, the equity markets in the region enjoyed strong rally driven by the market risk-on sentiment throughout the month, with the KOSPI and Nikkei 225 up 10.99% and 6.75% respectively during the month.
Approximately 79.8% of the underlying constituents of the Eurekahedge Hedge Fund Index posted positive returns in April, and 10.5% of the fund managers in the database were able to generate double-digit returns over the first four months of 2020.
April 2020 and March 2020 returns across regions
Figure 2 illustrates the 2020 performance of hedge fund managers across regions. All regional mandates were down for the year, driven by the escalation of the COVID-19 outbreak which resulted in massive sell-offs in the global equity market in February and March. North American hedge funds led the pack with 3.79% loss over the first four months of 2020, outperforming their peers focusing on Asia ex-Japan and Europe which slumped 4.22% and 6.90% respectively over the same period.
2019 returns across regions
Mizuho-Eurekahedge Asset Weighted Index
The asset-weighted Mizuho-Eurekahedge Index – USD was up 3.29% in April, strong equity market performance and weak US dollar supported the index performance. It should also be noted that the Mizuho-Eurekahedge Index is US dollar denominated, and during months of strong US dollar gains, the index results include the currency conversion loss for funds that are denominated in other currencies. The Mizuho Eurekahedge Index – USD is down 6.81% over the first four month of 2020.
All of the Mizuho-Eurekahedge indices were down in April, with the Mizuho-Eurekahedge Asia Pacific Index posting the strongest return of 6.08% driven by the market risk-on sentiment. The underlying long/short equities and emerging market mandates of the index suite were also up 6.03% and 3.68% respectively in April.
April 2020 returns
CBOE Eurekahedge Volatility Indexes
The CBOE Eurekahedge Volatility Indexes comprise four equally-weighted volatility indices – long volatility, short volatility, relative value and tail risk. The CBOE Eurekahedge Long Volatility Index is designed to track the performance of underlying hedge fund managers who take a net long view on implied volatility with a goal of positive absolute return. In contrast, the CBOE Eurekahedge Short Volatility Index tracks the performance of underlying hedge fund managers who take a net short view on implied volatility with a goal of positive absolute return. This strategy often involves the selling of options to take advantage of the discrepancies in current implied volatility versus expectations of subsequent implied or realised volatility. The CBOE Eurekahedge Relative Value Volatility Index on the other hand measures the performance of underlying hedge fund managers that trade relative value or opportunistic volatility strategies. Managers utilising this strategy can pursue long, short or neutral views on volatility with a goal of positive absolute return. Meanwhile, the CBOE Eurekahedge Tail Risk Index tracks the performance of underlying hedge fund managers that specifically seek to achieve capital appreciation during periods of extreme market stress.
The CBOE Eurekahedge Volatility Indexes ended the month of April with mixed returns, with short volatility hedge funds gaining 9.29% and tail risk hedge funds losing 3.65% throughout the month. The muted market volatility during the month supported the performance of short volatilities hedge funds which recouped some of their losses from February and March. In terms of year-to-date returns, the CBOE Eurekahedge Tail Risk Volatility Hedge Fund Index topped the chart with their 51.47% return, while the CBOE Eurekahedge Short Volatility Hedge Fund Index was down 20.82%, placing them last among the four volatility strategy categories.
|CBOE Eurekahedge Volatility Indexes
April 2020 returns
|CBOE Eurekahedge Volatility Indexes
Summary monthly asset flow data since January 2013
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