Hedge funds

Hedge funds recouped some of the losses they suffered

Index Flash Update (12 May 2020) – Hedge funds recouped some of the losses they suffered amidst pandemic-induced market chaos

Q1 2020 hedge fund letters, conferences and more

The Eurekahedge Hedge Fund Index was up 3.73% in April — recording its strongest monthly performance in recent years, supported by the strong performance of the underlying global equity market as represented by the MSCI ACWI IMI (Local), which gained 10.47% over the month. Global equities enjoyed a strong rally throughout the month on the back of market optimism over the development of potential vaccines and reopening of the economy. In the US, the implemented lockdown and social distancing measures to curb the COVID-19 outbreak resulted in the loss of more than 22 million jobs in April, pushing the unemployment rate to 14.7% — a level not seen since the Great Depression. However, US equity benchmarks recorded their strongest performance since 1987, with the S&P 500 and tech-heavy NASDAQ gaining 12.68% and 15.45% during the month respectively. In the same vein, European equities posted strong performance as most countries in the region were on track to ease their lockdown on top of the approved half-trillion economic stimulus by the European Union. The DAX and CAC 40 were up 9.32% and 5.02% respectively. Over in Asia, equity markets in the region also enjoyed a strong rebound driven by the risk-on sentiment in the markets, with the KOSPI and CSI 300 Index ending the month of April up 10.99% and 6.14% respectively. Returns were mostly positive across geographic mandates in April, with fund managers focusing on Asia ex-Japan up 6.49%, outperforming their North American and European peers who were up 5.42% and 3.54%, respectively. Across strategies, long/short equities, event driven and multi-strategy fund managers were up 6.76%, 5.59% and 3.95% respectively throughout the month.

Roughly 78.9% of the underlying constituents of the Eurekahedge Hedge Fund Index posted positive returns in April, and 10.6% of the hedge fund managers in the database were able to maintain double-digit returns over the first four months of 2020.

Below are the key highlights for the month of April 2020:

  • Hedge fund managers were up 3.73% in April, reducing their year-to-date losses to 4.64%. Market optimism over the potential easing of lockdown measures following the slowdown of COVID-19 spread in the US and Europe acted as a tailwind for the performance of risk assets during the month. The MSCI ACWI IMI (Local) rallied 10.47% in April, but still down 13.21% as of April 2020 year-to-date.
  • On an asset-weighted basis, hedge funds were up 2.91% in April, as captured by the Mizuho Eurekahedge Hedge Fund Index (USD). The index is currently down 7.16% year-to-date.
  • The Eurekahedge North America Long Short Equities Hedge Fund Index edged 6.95% higher in April, recording its best monthly performance in recent years. The strong performance of the US equity markets contributed to the robust performance of the fund manages within this mandate during the month.
  • The Eurekahedge Greater China Hedge Fund Index was up 9.74% in April, recovering from the losses suffered by the mandate in Q1 2020. On a year-to-date basis, the US$30.2 billion mandate was up 2.53%.
  • The Eurekahedge Fixed Income Hedge Fund Index was up 3.02% in April, recording its best monthly performance since September 2009. The widespread of monetary stimuli launched by central banks, particularly the Federal Reserve and the ECB resulted in the decline of yields throughout the month
  • The Eurekahedge CTA/Managed Futures Hedge Fund was up 0.57% in April, in contrast to the weak performance of the energy sector which saw the US crude lose more than 50% of its value over the same month and fall to its lowest level in history. Fund managers cited short exposure to oil as one of the major performance drivers during the month.
  • Fund managers utilising AI/machine learning strategies gained 1.01% in April. On a year-to-date basis, the Eurekahedge AI Hedge Fund Index is up 0.66%
  • The Eurekahedge Crypto-Currency Hedge Fund Index was up 28.50% in April, recording its best monthly performance since April 2018, supported by the robust performance of Bitcoin which ended the month up 35.31%. Fund managers focusing on crypto-currencies are up 25.11% over the first four months of 2020.
Main Indices Apr 20201 Last 3 Months 2020 YTD Returns 2019 Returns Annualised Returns Constituents Weighting
Eurekahedge Hedge Fund Index 3.73 -4.71 -4.64 8.69 7.86 2277 Equal
Eurekahedge 50 3.87 -7.55 -7.16 7.14 4.43 50 Equal
Eurekahedge North American Hedge Fund Index 5.42 -4.48 -4.64 9.14 8.55 474 Equal
Eurekahedge Asia ex Japan Hedge Fund Index 6.49 -3.81 -4.07 11.75 9.19 167 Equal
Index of the Month Apr 20201 Last 3 Months 2020 YTD Returns 2019 Returns Annualised Returns Constituents Weighting
Eurekahedge Long Short Equities Hedge Fund Index 5.59 -6.39 -6.74 11.30 7.73 890 Equal

Main Indices

Eurekahedge Main Indices Apr 20201 2020 YTD Returns 2019 Returns
Eurekahedge Hedge Fund Index 3.73 -4.64 8.69
Eurekahedge Fund of Funds Index 3.68 -5.05 8.62
Eurekahedge Long-only Absolute Return Fund Index 8.74 -14.47 15.95
Eurekahedge Islamic Fund Index 7.59 -5.70 10.07

Regional Indices

North American fund managers returned 5.42% in the month of April, reducing their year-to-date losses to 4.65%. The Fed’s economic stimulus combined with market optimism over the reopening of the economy, supported the equity markets in the region. Similarly, European managers gained 3.54%, as most countries in the region were on track to ease their lockdown measures, resulting in positive performance of risk assets in the region.

Eurekahedge Regional Indices Apr 20201 2020 YTD Returns 2019 Returns
Eurekahedge North American Hedge Fund Index 5.42 -4.64 9.14
Eurekahedge European Hedge Fund Index 3.54 -7.30 7.56
Eurekahedge Eastern Europe & Russia Hedge Fund Index 3.48 -19.33 18.47
Eurekahedge Japan Hedge Fund Index 1.62 -8.84 6.53
Eurekahedge Emerging Markets Hedge Fund Index 5.89 -5.72 12.70
Eurekahedge Asia ex Japan Hedge Fund Index 6.49 -4.07 11.75
Eurekahedge Latin American Hedge Fund Index 5.55 -9.76 15.75

Strategy Indices

Returns were mostly positive across strategic mandates in April with equity long-bias, event driven and long/short equities mandates up 8.13%, 6.76% and 5.59% respectively. The strong performance of global equities provided support for these strategies during the month. The multi-strategy mandate was also up 3.95% in April, with managers generating profits from long exposure to equities and government bonds. Looking at year-to-date performance, despite the negative performance of tail risk and long volatility managers in April, they still claimed the top two spots as shown in the strategy return map below.

Table 1: Index Flash Strategy Return Map

Hedge funds

Eurekahedge Strategy Indices Apr 20201 2020 YTD Returns 2019 Returns
Eurekahedge Arbitrage Hedge Fund Index 3.90 0.17 5.78
Eurekahedge CTA/Managed Futures Hedge Fund Index 0.57 1.19 5.46
Eurekahedge Distressed Debt Hedge Fund Index -0.17 -8.79 3.49
Eurekahedge Event Driven Hedge Fund Index 6.76 -9.52 7.24
Eurekahedge Fixed Income Hedge Fund Index 3.02 -5.79 7.97
Eurekahedge Long Short Equities Hedge Fund Index 5.59 -6.74 11.30
Eurekahedge Macro Hedge Fund Index 1.49 -2.66 8.24
Eurekahedge Multi-Strategy Hedge Fund Index 3.95 -4.67 8.54
Eurekahedge Relative Value Hedge Fund Index 3.84 -4.67 5.11
CBOE Eurekahedge Long Volatility Hedge Fund Index -2.01 29.17 -10.87
CBOE Eurekahedge Relative Value Volatility Hedge Fund Index 0.21 3.62 -1.55
CBOE Eurekahedge Short Volatility Hedge Fund Index 0.48 -27.20 8.32
CBOE Eurekahedge Tail Risk Hedge Fund Index -4.24 50.55 -10.40
Eurekahedge Equity Long Bias Hedge Fund Index 8.13 -11.92 16.73
Eurekahedge Equity Market Neutral Hedge Fund Index 2.03 -2.50 1.79
Eurekahedge Trend Following Index 1.17 3.40 6.54
Eurekahedge FX Hedge Fund Index 0.12 1.53 0.71
Eurekahedge Commodity Hedge Fund Index 3.78 -2.19 7.98
Eurekahedge Crypto-Currency Hedge Fund Index 28.50 25.11 15.56
Eurekahedge AI Hedge Fund Index 1.01 0.66 6.29
Eurekahedge ILS Hedge Fund Index -0.04 0.23 0.92

 

Eurekahedge Global Hedge Fund Indices by Fund Size Apr 20201 2020 YTD Returns 2019 Returns
Eurekahedge Small Hedge Fund Index (< US$100m) 3.84 -5.03 8.52
Eurekahedge Medium Hedge Fund Index (US$100m – US$500m) 4.16 -4.01 8.92
Eurekahedge Large Hedge Fund Index (> US$500m) 2.62 -4.76 8.87
Eurekahedge Billion Dollar Hedge Fund Index 2.45 -4.95 8.55

 

Mizuho-Eurekahedge Indices Apr 20201 2020 YTD Returns 2019 Returns
Mizuho-Eurekahedge Index – USD 2.91 -7.16 6.97
Mizuho-Eurekahedge TOP 100 Index – USD 2.44 -7.01 6.89
Mizuho-Eurekahedge TOP 300 Index – USD 2.69 -6.79 7.09

 

Asia-Eurekahedge Indices Apr 20201 2020 YTD Returns 2019 Returns
Eurekahedge Greater China Hedge Fund Index 9.74 2.53 16.66
Eurekahedge India Hedge Fund Index 13.89 3.49 2.01

1Based on 31.53% of funds which have reported April 2020 returns as at 11 May 2020


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