Hedge funds managers record moderate returns as global equity market rallies – ValueWalk Premium
Strategy return map

Hedge funds managers record moderate returns as global equity market rallies

Hedge fund recorded their strongest return since 2009 as global equity market rallied

Q3 2020 hedge fund letters, conferences and more

The Eurekahedge Hedge Fund Index was up 4.50% in November 2020, supported by the strong performance of the global equity market as represented by the MSCI ACWI (Local) which gained 11.63% over the same period. Global equities ended the month in strong positive territory due to the relatively smooth conclusion of the US presidential election and the announcement of three vaccines that are effective against COVID-19, eclipsing worries about the near-term economic outlook. Despite the reimposition of restrictive lockdown measures across many European countries to curb the increasing number of new COVID-19 infections, European stock indices rallied strongly as news of the better than expected efficacy of several vaccine candidates led to optimism that the worst of the pandemic could soon be over. The FTSE 100 and DAX Index rebounded strongly in November, gaining 12.35% and 15.46% respectively, reversing the steep losses suffered in October when they lost 4.92% and 9.44% respectively. Over in the US, the successful election of Joe Biden as the 46th president of the United States drove a risk-on mood in markets as investors looked forward to greater certainty and a more diplomatic and multilateral approach in foreign policy matters. The better than expected news on COVID vaccine development added fuel to the post-US election rally with the DJIA and S&P500 ending November with a gain of 11.84% and 10.75% respectively. Returns were positive across geographic mandates in November with the Eurekahedge North American Hedge Fund Index outperforming their regional peers with a 5.89% gain. Across strategies, long/short equities, event driven and relative value fund managers were up 6.39%, 5.49% and 5.01% respectively throughout the month.

Roughly 81.15% of the underlying constituents of the Eurekahedge Hedge Fund Index posted positive returns in November, and 16.47% of the hedge fund managers in the database were able to maintain double-digit returns over the first 11 months of 2020.

Below are the key highlights for the month of November 2020

  • Hedge fund managers were up 4.50% in November, underperforming the global equity market as represented by the MSCI ACWI (Local) which generated 11.63% return throughout the month. On a year-to-date basis, global hedge funds were up 8.23%, with around 71.7% of its underlying constituents having underperformed the global equity market over the first 11 months of 2020.
  • Billion-dollar hedge funds were up 1.92% during the month, underperforming their smaller peers with small, medium and large hedge funds gaining 4.68%, 5.53% and 2.28% respectively.
  • On an asset-weighted basis, hedge funds were up 4.23% in November, as captured by the Eurekahedge Asset Weighted Hedge Fund Index (USD). The index is only up 1.63% year-to-date, highlighting the struggles for some of the larger asset managers this year.
  • The Eurekahedge Greater China Hedge Fund Index was up 3.47% in November, outperforming the Shenzhen Composite Index which was up 2.35% in November. On a year-to-date basis, the Greater China mandates are up 25.66% over the first 11 months of the year, outperforming their global peers by a substantial margin.
  • Hedge fund managers utilising long/short equities strategies were up 6.39% in November, outperforming their major strategic peers over the month for the second consecutive month, with arbitrage and relative value hedge funds up 1.96% and 5.01% respectively. On a year-to-date basis, hedge fund managers utilising long/short equities strategies also consistently outperformed their peers as they gained 11.73%, compared to arbitrage and relative value hedge funds which generated a return of 8.43% and 7.78% respectively.
  • The  Eurekahedge Structured Credit Hedge Fund Index was up 0.88% during the month, extending its seven-month trailing return to 18.28% since end-March. In terms of year-to-date return, structured credit hedge funds were down 7.74% as of October 2020, underperforming their fixed income and distressed debt peers who returned 0.78% and -1.01% respectively.
  • Fund managers focusing on cryptocurrencies were up 20.55% in November as tracked by the Eurekahedge Crypto-Currency Hedge Fund Index , underperforming Bitcoin which was up 33.45%. On a year-to-date basis, cryptocurrency hedge funds have also underperformed Bitcoin, gaining 119.35% as compared to Bitcoin which returned 149.81% over the first 11 months of 2020.

 

Index of the Month Nov
2020*
2020 Returns 2019 Returns
Eurekahedge Long-only Absolute Return Fund Index 9.23 7.52 16.49

Main Indices

Main Eurekahedge Indices Nov
2020*
2020 Returns 2019 Returns
Eurekahedge Hedge Fund Index 4.50 8.23 8.87
Eurekahedge Fund of Funds Index 3.50 7.58 8.71
Eurekahedge Long-only Absolute Return Fund Index 9.23 7.52 16.49
Eurekahedge Islamic Fund Index 4.15 8.27 10.08

Regional Indices

Eurekahedge Regional Indices Nov
2020*
2020 Returns 2019 Returns
Eurekahedge North American Hedge Fund Index 5.89 10.56 9.31
Eurekahedge European Hedge Fund Index 4.16 1.75 7.41
Eurekahedge Eastern Europe & Russia Hedge Fund Index 7.15 -14.26 18.47
Eurekahedge Japan Hedge Fund Index 2.82 -1.54 6.89
Eurekahedge Emerging Markets Hedge Fund Index 5.84 13.64 12.71
Eurekahedge Asia ex Japan Hedge Fund Index 4.65 16.95 12.04
Eurekahedge Latin American Hedge Fund Index 7.29 9.16 15.15

North American fund managers recorded a 5.89% gain in the month of November, increasing their year-to-date return to 10.56%. The relatively smooth conclusion of the US presidential election and the better-than expected news on COVID vaccine development, propelled a powerful rally in global risk assets with the DJIA and S&P500 gaining 11.84% and 10.75% in November respectively. Over in Europe, despite the implementation of strict lockdown measures to curb the recurrent waves of COVID-19 cases, European hedge fund managers were up 4.16% for the month as European equity indexes rebounded strongly on vaccine optimism, with the FTSE 100 and DAX Index up 12.35% and 15.46% respectively.

Strategy Indices

Returns were mixed across strategic mandates in November with equity long bias and AI mandates up 9.13% and 5.77% respectively, as the former was supported by the strong equity market performance after vaccine manufacturers announced the better than expected efficacy of their COVID-19 vaccines. On the other hand, long volatility and tail risk managers were down 7.83% and 2.03% respectively in November, reducing their year-to-date return to 18.16% and 36.83% respectively.

Table 1: Strategy return map

Strategy return map

Eurekahedge Strategy Indices Nov
2020*
2020 Returns 2019 Returns
Eurekahedge Arbitrage Hedge Fund Index 1.96 8.43 5.37
Eurekahedge CTA/Managed Futures Hedge Fund Index 2.67 4.68 5.51
Eurekahedge Distressed Debt Hedge Fund Index 0.70 -0.66 4.33
Eurekahedge Event Driven Hedge Fund Index 5.49 2.93 7.50
Eurekahedge Fixed Income Hedge Fund Index 2.82 3.71 7.94
Eurekahedge Long Short Equities Hedge Fund Index 6.39 11.73 11.56
Eurekahedge Macro Hedge Fund Index 2.89 6.83 8.62
Eurekahedge Multi-Strategy Hedge Fund Index 3.89 6.71 8.58
Eurekahedge Relative Value Hedge Fund Index 5.01 7.78 4.96
CBOE Eurekahedge Long Volatility Hedge Fund Index -7.83 18.16 -10.87
CBOE Eurekahedge Relative Value Volatility Hedge Fund Index 2.30 5.71 -1.55
CBOE Eurekahedge Short Volatility Hedge Fund Index 1.27 2.74 8.32
CBOE Eurekahedge Tail Risk Hedge Fund Index -2.03 36.83 -10.40
Eurekahedge Equity Long Bias Hedge Fund Index 9.13 7.67 16.70
Eurekahedge Equity Market Neutral Hedge Fund Index -0.21 1.41 1.91
Eurekahedge Trend Following Index 3.62 4.96 6.03
Eurekahedge FX Hedge Fund Index 0.82 -0.50 0.93
Eurekahedge Commodity Hedge Fund Index 3.30 8.09 7.49
Eurekahedge Crypto-Currency Hedge Fund Index 20.55 119.35 15.56
Eurekahedge AI Hedge Fund Index 5.77 10.25 6.29
Eurekahedge ILS Advisers Index -0.17 3.14 0.92

 

Eurekahedge Global Hedge Fund Indices by Fund Size Nov
2020*
2020 Returns 2019 Returns
Eurekahedge Small Hedge Fund Index (< US$100m) 4.68 8.65 8.80
Eurekahedge Medium Hedge Fund Index (US$100m – US$500m) 5.53 8.87 8.89
Eurekahedge Large Hedge Fund Index (> US$500m) 2.28 3.24 8.91
Eurekahedge Billion Dollar Hedge Fund Index 1.92 2.48 8.58

 

Eurekahedge Asset Weighted Indices Nov
2020*
2020 Returns 2019 Returns
Eurekahedge Asset Weighted Index – USD 4.23 1.63 6.97
Eurekahedge TOP100 Asset Weighted Index – USD 3.76 -0.62 6.89
Eurekahedge TOP300 Asset Weighted Index – USD 3.72 0.48 7.09

 

Asia-Eurekahedge Indices Nov
2020*
2020 Returns 2019 Returns
Eurekahedge Greater China Hedge Fund Index 3.47 25.66 17.15
Eurekahedge India Hedge Fund Index 8.35 15.33 2.06

* Based on 28.18% of funds which have reported November 2020 returns as at 8 December 2020

Click here to download our daily indices for free. Our indices are updated with the latest fund returns at 23:30 GMT every day and we encourage you to use them to benchmark your portfolio or fund performance. If you would like us to create a bespoke index for you, please let us know.


Footnotes

1 * Based on 28.18% of funds which have reported November 2020 returns as at 8 December 2020


X
Saved Articles
X
TextTExtLInkTextTExtLInk

The top investors are reading ValuewalkPremium.

Click here to learn why

0