Hedge Funds Continued To Recoup Losses As Economic Activities Restarted – ValueWalk Premium
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Hedge Funds Continued To Recoup Losses As Economic Activities Restarted

Hedge funds continued to recoup losses as economic activities restarted and risk assets outperformed

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The Eurekahedge Hedge Fund Index was up 2.16% in May, supported by the robust performance of the global equity market as represented by the MSCI ACWI (Local), which gained 4.32% over the same month. Global equities continued its rally driven by the reopening of major economies and accommodative central bank policies. For the week ending May 15, the market saw a decline in risk assets owing to concerns regarding the second pandemic wave and fresh tension between the US and China, pushing the S&P 500 down 2.26%. However, market risk sentiment shifted towards the end of the month, supported by investors’ optimism on strong economic recovery as some countries particularly in Europe and the US began to ease their lockdown. The US equity benchmark ended the month with strong returns, with the tech-heavy NASDAQ up 6.75% – recording a new all-time high, while the S&P 500 was up 4.53% over the same period. In the same vein, European equities benefited from the market risk-on sentiment, as France and Germany unveiled a half-trillion fiscal stimulus package to help EU countries which have been worst hit by the crisis. The DAX and CAC 40 gained 6.68% and 2.70% throughout the month of May. Over in Asia, the mounting trade tension between the US and China, on top of the political conflict in Hong Kong weighed on the performance of Chinese equities. The Hang Seng and CSI 300 were down 6.83% and 1.16% over the month. Returns were mostly positive across geographic mandates in May, with fund managers focusing on North America up 3.04%, outperforming their Asia ex-Japan and European peers who were up 1.93% and 1.86%, respectively. Across strategies, long/short equities, event driven, and fixed income fund managers were up 2.94%, 2.79% and 2.34% respectively throughout the month.

Roughly 73.6% of the underlying constituents of the Eurekahedge Hedge Fund Index posted positive returns in May, and 13.5% of the hedge fund managers in the database were able to maintain double-digit returns over the first five months of 2020.

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

  • Hedge fund managers were up 2.16% in May, reducing their year-to-date loss to 2.53%. Market optimism towards the resumption of economic activities and supportive monetary and fiscal policies boosted the performance of risk assets during the month.
  • On an asset-weighted basis, hedge funds were up 1.48% in May, as captured by the Eurekahedge Asset Weighted Hedge Fund Index (USD). The index is currently down 6.28% year-to-date.
  • The Eurekahedge North America Long Short Equities Hedge Fund Index edged 4.09% higher in May, bringing its year-to-date loss to 3.09%. The US administration decided to restart their economy and ease restrictions, as the infection rate in the country decelerated, which supported the performance of US equities.
  • The Eurekahedge Greater China Hedge Fund Index was up 0.36% in May, outperforming the Hang Seng and CSI 300 by 7.19% and 1.52% respectively. On a year-to-date, the US$30.2 billion mandate was down 0.23%.
  • The Eurekahedge Fixed Income Hedge Fund Index was up 2.34% in May, supported by the strong performance of the high yield bond market as seen from the 4.57% return of the US High Yield Master II Index during the same month.
  • The Eurekahedge CTA/Managed Futures Hedge Fund was up 0.70% in May, pushing its year-to-date return to 1.39%. The energy sector rebounded strongly as the global demand of oil increased as economic activities restarted in many countries.
  • Fund managers utilising AI/machine learning strategies gained 1.26% in May. On a year-to-date basis, the Eurekahedge AI Hedge Fund Index is up 1.78%
  • The Eurekahedge Crypto-Currency Hedge Fund Index was up 5.93% in May, supported by the positive performance of Bitcoin which ended the month up 9.61%. Fund managers focusing on cryptocurrencies are up 25.77% over the first five months of 2020.
Main Indices May 20201 Last 3 Months 2020 YTD Returns 2019 Returns Annualised Returns Constituents Weighting
Eurekahedge Hedge Fund Index 2.16 -0.71 -2.53 8.74 7.94 2261 Equal
Eurekahedge 50 1.88 -4.58 -5.73 7.14 4.52 50 Equal
Eurekahedge North American Hedge Fund Index 3.04 1.10 -1.88 9.22 8.67 4746 Equal
Eurekahedge Asia ex Japan Hedge Fund Index 1.93 -1.16 -2.10 11.68 9.26 165 Equal
Index of the Month May 20201 Last 3 Months 2020 YTD Returns 2019 Returns Annualised Returns Constituents Weighting
Eurekahedge Equity Long Bias Hedge Fund Index 4.25 -2.94 -7.98 16.70 8.28 333 Equal

Main Indices

Eurekahedge Main Indices May 20201 2020 YTD Returns 2019 Returns
Eurekahedge Hedge Fund Index 2.16 -2.53 8.74
Eurekahedge Fund of Funds Index 2.21 -2.94 8.59
Eurekahedge Long-only Absolute Return Fund Index 3.89 -11.06 16.22
Eurekahedge Islamic Fund Index 3.55 -3.23 10.09

Regional Indices

North American fund managers returned 3.04% in the month of May, bringing their year-to-date loss to 1.88%. The reopening of the region’s economy combined with accommodative central bank policies boosted the performance of the equity market in the region, with the tech-heavy NASDAQ recording a new all-time high. In the same vein, European managers also gained 1.86%, as the announced economic stimulus and easing of the lockdown measures in the region acted as a tailwind for risk assets in the region.

Eurekahedge Regional Indices May 20201 2020 YTD Returns 2019 Returns
Eurekahedge North American Hedge Fund Index 3.04 -1.88 9.22
Eurekahedge European Hedge Fund Index 1.86 -5.73 7.46
Eurekahedge Eastern Europe & Russia Hedge Fund Index 4.05 -18.73 18.47
Eurekahedge Japan Hedge Fund Index 4.03 -4.94 6.53
Eurekahedge Emerging Markets Hedge Fund Index 2.22 -4.22 12.63
Eurekahedge Asia ex Japan Hedge Fund Index 1.93 -2.10 11.68
Eurekahedge Latin American Hedge Fund Index 3.87 -7.63 15.52

Strategy Indices

Returns were mostly positive across strategic mandates in May with equity long-bias, event driven and long/short equities up 4.25%, 2.94% and 2.79% respectively. The strong performance of global equities provided support for these strategies during the month. The multi-strategy mandate was also up 2.15% in May, with managers generating profits from long exposure to equities. Despite the meagre performance of tail risk and long volatility managers in May, they still claimed the top two spots on a year-to-date basis; driven by their extraordinary performance in February and March.

Table 1: Index Flash Strategy Return Map

Hedge Funds

Eurekahedge Strategy Indices May 20201 2020 YTD Returns 2019 Returns
Eurekahedge Arbitrage Hedge Fund Index 1.12 -0.26 5.82
Eurekahedge CTA/Managed Futures Hedge Fund Index 0.70 1.39 5.57
Eurekahedge Distressed Debt Hedge Fund Index 0.11 -6.14 3.48
Eurekahedge Event Driven Hedge Fund Index 2.79 -7.52 7.25
Eurekahedge Fixed Income Hedge Fund Index 2.34 -4.37 7.99
Eurekahedge Long Short Equities Hedge Fund Index 2.94 -3.62 11.34
Eurekahedge Macro Hedge Fund Index 2.12 -0.10 8.24
Eurekahedge Multi-Strategy Hedge Fund Index 2.15 -2.80 8.62
Eurekahedge Relative Value Hedge Fund Index 2.26 -2.31 5.11
CBOE Eurekahedge Long Volatility Hedge Fund Index 0.59 30.16 -10.87
CBOE Eurekahedge Relative Value Volatility Hedge Fund Index 0.01 3.83 -1.55
CBOE Eurekahedge Short Volatility Hedge Fund Index 1.97 -19.39 8.32
CBOE Eurekahedge Tail Risk Hedge Fund Index -2.49 47.38 -10.40
Eurekahedge Equity Long Bias Hedge Fund Index 4.25 -7.98 16.70
Eurekahedge Equity Market Neutral Hedge Fund Index 0.64 -1.36 1.79
Eurekahedge Trend Following Index 0.11 1.98 6.54
Eurekahedge FX Hedge Fund Index -1.19 -0.04 0.86
Eurekahedge Commodity Hedge Fund Index 3.56 0.44 7.98
Eurekahedge Crypto-Currency Hedge Fund Index 5.93 27.44 15.56
Eurekahedge AI Hedge Fund Index 1.26 1.78 6.29
Eurekahedge ILS Hedge Fund Index 0.48 0.55 0.92

 

Eurekahedge Global Hedge Fund Indices by Fund Size May 20201 2020 YTD Returns 2019 Returns
Eurekahedge Small Hedge Fund Index (< US$100m) 2.28 -2.68 8.57
Eurekahedge Medium Hedge Fund Index (US$100m – US$500m) 2.42 -2.18 8.92
Eurekahedge Large Hedge Fund Index (> US$500m) 1.37 -3.44 8.86
Eurekahedge Billion Dollar Hedge Fund Index 1.07 -4.05 8.55

 

Eurekahedge Asset Weighted Indices May 20201 2020 YTD Returns 2019 Returns
Eurekahedge Asset Weighted Index – USD 1.48 -6.28 6.97
Eurekahedge TOP 100 Asset Weighted Index – USD 0.91 -6.66 6.89
Eurekahedge TOP 300 Asset Weighted Index – USD 1.18 -6.34 7.09

 

Asia-Eurekahedge Indices May 20201 2020 YTD Returns 2019 Returns
Eurekahedge Greater China Hedge Fund Index 0.36 -0.23 16.65
Eurekahedge India Hedge Fund Index -3.25 -6.88 2.01

1Based on 38.12% of funds which have reported May 2020 returns as at 10 June 2020


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