Hedge Funds Outperformed The Global Equity Market Ahead Of The Upcoming Us Presidential ElectionJacob Wolinsky
Index Flash Update (13 October 2020) – Hedge Funds Outperformed The Global Equity Market Ahead Of The Upcoming Us Presidential Election
The Eurekahedge Hedge Fund Index was down 0.57% in September 2020, outperforming the global equity market as represented by the MSCI ACWI (Local), which lost 2.71% over the same period. Global equities ended their five-month rally over mounting concerns around Covid-19 cases globally which threaten to stall economic recovery given how ‘lockdowns’ continue to be the only modus operandi for governments in the absence of a vaccine. Markets are also beginning to worry over the limits of central bank monetary easing which has resulted in stretched valuations and limited real recovery on the main street, all this at a time when the second wave of Covid-19 is making landfall while in the US a consensus around fiscal policy easing is nowhere to be seen until the elections are over. The tech-heavy NASDAQ and S&P 500 were down 5.16% and 4.10% during the month, respectively. In the UK, the passage of the controversial post-Brexit bill in the House of Common, which could breach parts of the terms of the EU withdrawal agreement resulted in the weak performance of the British Pound, which was down 3.37%, while the FTSE 100 retreated 1.63% in September. Returns were mostly negative across geographic mandates in September. Fund managers focusing in Europe were largely flat, outperforming their North American and Asia ex-Japan peers who were down 0.41% and 0.11%, respectively. Across strategies, event driven, distressed debt and arbitrage fund managers were up 0.82%, 0.55% and 0.24% respectively throughout the month
Roughly 42.5% of the underlying constituents of the Eurekahedge Hedge Fund Index posted positive returns in September, and 22.3% of the hedge fund managers in the database were able to maintain double-digit returns over the first three quarters of 2020.
Below are the key highlights for the month of September 2020:
- Hedge fund managers were down 0.57% in September, outperforming the global equity market by 2.14% throughout the month. On a year-to-date basis, global hedge funds were up 3.44%, with around 62.3% of its underlying constituents having outperformed the global equity market over the first three quarter of 2020.
- On an asset-weighted basis, hedge funds were down 1.50% in September, as captured by the Eurekahedge Asset Weighted Index – USD. The index is currently down 2.17% year-to-date highlighting the struggles for some of the larger asset managers this year.
- The Eurekahedge Greater China Hedge Fund Index was down 1.30% in September, outperforming the Hang Seng and Shenzhen Composite by 5.52% and 5.06% respectively. On a year-to-date basis, Greater China focused funds are up 20.83% outperforming their global peers by a substantial margin.
- Hedge fund managers utilising macro strategies were down 1.80%, ending their 5-month winning streak in September. On a year-to-date basis, the Eurekahedge Macro Hedge Fund Index is up 3.68%, with around 46.5% of its underlying constituent having maintained a positive return over the first nine months of 2020.
- The Eurekahedge Structured Credit Hedge Fund Index was up 0.93% during the month, extending its six-month trailing return to 17.15% since end-March, while 66.7% of its underlying constituents have generated a double-digit return over the same period. On a year-to-date basis, the structured credit mandate was down 8.64%.
- Fund managers focusing on cryptocurrencies were down 12.52% in September as tracked by the Eurekahedge Crypto-Currency Hedge Fund Indexunderperforming the performance of Bitcoin which was down 7.66%. Looking at year-to-date returns, cryptocurrency hedge funds are up 63.15% compared to 48.45% return for Bitcoin over the first three quarters of 2020.
|Main Indices||September 20201||Last 3 Months||2020 YTD Returns||2019 Returns||Annualised Returns||Constituents||Weighting|
|Eurekahedge Hedge Fund Index||-0.57||4.05||3.44||8.87||8.14||2,183||Equal|
|Eurekahedge North American Hedge Fund Index||-0.41||5.07||4.20||9.34||8.85||460||Equal|
|Eurekahedge Asia ex Japan Hedge Fund Index||-0.11||8.37||11.59||12.05||9.81||164||Equal|
|Index of the Month||September 20201||Last 3 Months||2020 YTD Returns||2019 Returns||Annualised Returns||Constituents||Weighting|
|Eurekahedge AI Hedge Fund Index||-0.42||2.60||4.56||6.29||12.25||20||Equal|
|Eurekahedge Main Indices||September 20201||2020 YTD Returns||2019 Returns|
|Eurekahedge Hedge Fund Index||-0.57||3.44||8.87|
|Eurekahedge Fund of Funds Index||-0.60||3.43||8.67|
|Eurekahedge Long-only Absolute Return Fund Index||-0.78||-1.05||16.40|
|Eurekahedge Islamic Fund Index||-1.30||3.90||10.03|
North American fund managers recorded 0.41% loss in the month of September, reducing their year-to-date return to 4.20%. The weak performance of the US equities contributed to hedge fund managers’ negative performance throughout the month. The three major stock indices in the US, which are the NASDAQ, S&P500 and DJIA suffered from a market correction after their strong rally, which started since end-March, and were down 5.16%, 4.78%, and 4.10% throughout the month respectively. In the same vein, European managers recorded a flat return, driven by the concern surrounding the increasing COVID-19 cases in the region and Brexit uncertainty.
|Eurekahedge Regional Indices||September 20201||2020 YTD Returns||2019 Returns|
|Eurekahedge North American Hedge Fund Index||-0.41||4.20||9.34|
|Eurekahedge European Hedge Fund Index||0.01||-1.43||7.50|
|Eurekahedge Eastern Europe & Russia Hedge Fund Index||-2.90||-15.84||18.47|
|Eurekahedge Japan Hedge Fund Index||3.65||-1.18||6.57|
|Eurekahedge Emerging Markets Hedge Fund Index||-1.29||5.75||12.73|
|Eurekahedge Asia ex Japan Hedge Fund Index||-0.11||11.59||12.05|
|Eurekahedge Latin American Hedge Fund Index||-2.89||-3.48||15.15|
Returns were mostly negative across strategic mandates in September with event driven, distressed debt and arbitrage strategic mandates up 0.82%, 0.55% and 0.24% respectively. On the other hand, fund managers utilising commodities strategies claimed the third spot, despite their recorded losses in September, with their 6.51% year-to-date return.
Table 1: Index Flash Strategy Return Map
|Eurekahedge Strategy Indices||September 20201||2020 YTD Returns||2019 Returns|
|Eurekahedge Arbitrage Hedge Fund Index||0.24||6.33||5.33|
|Eurekahedge CTA/Managed Futures Hedge Fund Index||-1.49||2.37||5.44|
|Eurekahedge Distressed Debt Hedge Fund Index||0.55||-0.76||4.33|
|Eurekahedge Event Driven Hedge Fund Index||0.82||-2.62||7.35|
|Eurekahedge Fixed Income Hedge Fund Index||-0.31||0.51||7.94|
|Eurekahedge Long Short Equities Hedge Fund Index||-0.47||4.97||11.56|
|Eurekahedge Macro Hedge Fund Index||-1.80||3.68||8.75|
|Eurekahedge Multi-Strategy Hedge Fund Index||-0.53||1.77||8.52|
|Eurekahedge Relative Value Hedge Fund Index||0.06||2.82||5.25|
|CBOE Eurekahedge Long Volatility Hedge Fund Index||-2.14||28.32||-10.87|
|CBOE Eurekahedge Relative Value Volatility Hedge Fund Index||1.70||4.27||-1.55|
|CBOE Eurekahedge Short Volatility Hedge Fund Index||0.48||-3.87||8.32|
|CBOE Eurekahedge Tail Risk Hedge Fund Index||-3.63||42.15||-10.40|
|Eurekahedge Equity Long Bias Hedge Fund Index||-0.96||-0.73||16.70|
|Eurekahedge Equity Market Neutral Hedge Fund Index||0.31||2.20||1.91|
|Eurekahedge Trend Following Index||-3.11||0.63||6.05|
|Eurekahedge FX Hedge Fund Index||-0.10||-1.25||0.93|
|Eurekahedge Commodity Hedge Fund Index||-1.82||6.51||7.49|
|Eurekahedge Crypto-Currency Hedge Fund Index||-12.52||63.15||15.56|
|Eurekahedge AI Hedge Fund Index||-0.42||4.56||6.29|
|Eurekahedge ILS Hedge Fund Index||1.34||3.62||0.92|
|Eurekahedge Global Hedge Fund Indices by Fund Size||September 20201||2020 YTD Returns||2019 Returns|
|Eurekahedge Small Hedge Fund Index (< US$100m)||-0.76||3.39||8.84|
|Eurekahedge Medium Hedge Fund Index (US$100m – US$500m)||-0.40||3.51||8.88|
|Eurekahedge Large Hedge Fund Index (> US$500m)||-0.29||0.96||8.92|
|Eurekahedge Billion Dollar Hedge Fund Index||-0.19||0.61||8.60|
|Eurekahedge Asset Weighted Indices||September 20201||2020 YTD Returns||2019 Returns|
|Eurekahedge Asset Weighted Index – USD||-1.50||-2.17||6.97|
|Eurekahedge TOP 100 Asset Weighted Index – USD||-1.65||-3.65||6.89|
|Eurekahedge TOP 300 Asset Weighted Index – USD||-1.49||-2.79||7.09|
|Asia-Eurekahedge Indices||September 20201||2020 YTD Returns||2019 Returns|
|Eurekahedge Greater China Hedge Fund Index||-1.30||20.83||17.28|
|Eurekahedge India Hedge Fund Index||2.56||7.67||2.01|
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1Based on 44.53% of funds which have reported September 2020 returns as at 13 October 2020