Hedge funds recorded their best five-month performance since July 2009 – ValueWalk Premium
Hedge funds Sep

Hedge funds recorded their best five-month performance since July 2009

The Eurekahedge Hedge Fund Index was up 1.79% in August, bringing its year-to-date return to 3.74% and its five-month trailing return to 12.79% since end-March. The robust performance of the global equity markets on the back of the encouraging development of the COVID-19 vaccine and improving macroeconomic data, supported the performance of hedge fund managers. Returns were positive across geographic mandates in August with fund managers focusing on Asia ex-Japan up 3.03%, outperforming their North American and European peers who were up 2.45% and 1.97% respectively. Across strategies, event driven, long/short equities and relative value fund managers were up 3.00%, 2.85% and 2.32% respectively throughout the month.

Roughly 71.8% of the underlying constituents of the Eurekahedge Hedge Fund Index posted positive returns in August, and 21.8% of the hedge fund managers in the database were able to maintain double-digit returns over the first eight months of 2020.

Below are the key highlights for the month of  August 2020

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  • Hedge fund managers were up 1.79% in August, bringing their trailing five-month returns to 12.79% which marks their best five-month winning streak since July 2009. On a year-to-date basis, global hedge funds were up 3.74% over the first eight months of the year.
  • On an asset-weighted basis, hedge funds were up 1.40% in August, as captured by the  Eurekahedge Asset Weighted Hedge Fund Index (USD).The index is currently down 0.74% year-to-date.
  • Billion dollar hedge funds were up 0.45% in August, recovering from the deep losses they suffered in the first quarter of 2020. The Eurekahedge Billion Dollar Hedge Fund Index was up 0.23% as of August 2020 YTD with almost 20% of the underlying constituents reporting losses in excess of 10%.
  • The Eurekahedge Multi-Strategy Hedge Fund Index  was up 2.06% during the month. In terms of year-to-date returns, fund managers utilising multi-strategies were up 3.20% over the first eight months of 2020.
  • The  Eurekahedge Structured Credit Hedge Fund Index was up 3.01% during the month, extending its five-month trailing return to 24.74% since end-March.
  • Fund managers focusing on cryptocurrencies were up 8.70% in August as tracked by the Eurekahedge Crypto-Currency Hedge Fund Index The mandate is up 65.88% compared to 60.76% return for Bitcoin over the first eight months of 2020.

 

 

Index of the Month Aug
2020*
2020 Returns 2019 Returns
Eurekahedge Macro Hedge Fund Index 1.32 6.14 8.86

Main Indices

Main Eurekahedge Indices Aug
2020*
2020 Returns 2019 Returns
Eurekahedge Hedge Fund Index 1.79 3.74 8.83
Eurekahedge Fund of Funds Index 2.04 3.87 8.67
Eurekahedge Long-only Absolute Return Fund Index 3.41 -0.90 16.35
Eurekahedge Islamic Fund Index 1.55 5.08 10.00

Regional Indices

Eurekahedge Regional Indices Aug
2020*
2020 Returns 2019 Returns
Eurekahedge North American Hedge Fund Index 2.45 4.20 9.28
Eurekahedge European Hedge Fund Index 1.97 -1.43 7.50
Eurekahedge Eastern Europe & Russia Hedge Fund Index 5.47 -10.08 18.47
Eurekahedge Japan Hedge Fund Index 1.44 -5.60 6.57
Eurekahedge Emerging Markets Hedge Fund Index 1.38 6.74 12.78
Eurekahedge Asia ex Japan Hedge Fund Index 3.03 11.56 12.07
Eurekahedge Latin American Hedge Fund Index -0.55 -0.33 15.22

North American fund managers returned 2.45% in the month of August, bringing their year-to-date return to 4.20%. More than two-thirds of the S&P 500 companies reported their earnings beat market estimates, which supported the equity market’s performance in the region with NASDAQ Composite up 9.59% during the month. In the same vein, Asia ex Japan managers gained 3.03%, as the Chinese economy exhibited a strong recovery from the crisis, which supported the risk assets’ performance in the region.

Strategy Indices

Returns were mostly positive across strategic mandates in August with event driven, long/short equities and relative value strategic mandates up 3.00%, 2.85% and 2.32% respectively. The strong performance of the risk assets provided support of these strategies during the month. In the same vein, fund managers utilising AI strategies climbed up the ladder as they recorded a strong performance during the month. The fixed income mandate was also up 1.19% in August, as the exhibited accommodative central bank policies pushed the yield lower.

Table 1: Strategy return map

Eurekahedge Strategy Indices Aug
2020*
2020 Returns 2019 Returns
Eurekahedge Arbitrage Hedge Fund Index 0.74 5.88 5.62
Eurekahedge CTA/Managed Futures Hedge Fund Index 0.29 3.54 5.50
Eurekahedge Distressed Debt Hedge Fund Index 0.38 -1.92 3.87
Eurekahedge Event Driven Hedge Fund Index 3.00 -2.49 7.37
Eurekahedge Fixed Income Hedge Fund Index 1.19 0.62 7.93
Eurekahedge Long Short Equities Hedge Fund Index 2.85 4.95 11.41
Eurekahedge Macro Hedge Fund Index 1.32 6.14 8.86
Eurekahedge Multi-Strategy Hedge Fund Index 2.06 3.20 8.52
Eurekahedge Relative Value Hedge Fund Index 2.32 3.53 5.20
CBOE Eurekahedge Long Volatility Hedge Fund Index -3.01 27.37 -10.87
CBOE Eurekahedge Relative Value Volatility Hedge Fund Index -0.73 2.41 -1.55
CBOE Eurekahedge Short Volatility Hedge Fund Index -0.03 -10.47 8.32
CBOE Eurekahedge Tail Risk Hedge Fund Index -0.29 47.74 -10.40
Eurekahedge Equity Long Bias Hedge Fund Index 4.06 0.83 16.70
Eurekahedge Equity Market Neutral Hedge Fund Index 0.25 1.11 1.91
Eurekahedge Trend Following Index 0.30 4.48 6.05
Eurekahedge FX Hedge Fund Index 0.31 0.09 0.93
Eurekahedge Commodity Hedge Fund Index 1.19 7.93 7.49
Eurekahedge Crypto-Currency Hedge Fund Index 8.70 65.88 15.56
Eurekahedge AI Hedge Fund Index 9.16 11.38 6.29
Eurekahedge ILS Advisers Index 0.63 2.18 0.92
Eurekahedge Global Hedge Fund Indices by Fund Size Aug
2020*
2020 Returns 2019 Returns
Eurekahedge Small Hedge Fund Index (< US$100m) 2.08 4.06 8.74
Eurekahedge Medium Hedge Fund Index (US$100m – US$500m) 1.90 3.65 8.89
Eurekahedge Large Hedge Fund Index (> US$500m) 0.81 0.93 8.92
Eurekahedge Billion Dollar Hedge Fund Index 0.45 0.23 8.60
Eurekahedge Asset Weighted Indices Aug
2020*
2020 Returns 2019 Returns
Eurekahedge Asset Weighted Index – USD 1.40 -0.74 6.97
Eurekahedge TOP100 Asset Weighted Index – USD 1.20 -1.95 6.89
Eurekahedge TOP300 Asset Weighted Index – USD 1.14 -1.37 7.09
Asia-Eurekahedge Indices Aug
2020*
2020 Returns 2019 Returns
Eurekahedge Greater China Hedge Fund Index 1.92 21.20 17.39
Eurekahedge India Hedge Fund Index 6.16 7.54 2.01


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