The July 2020 Eurekahedge Report has been released
Q2 2020 hedge fund letters, conferences and more
Key highlights for June:
- The Eurekahedge Hedge Fund Index gained 1.38% in June, bringing its year-to-date loss to 1.28%. Global hedge funds continued to recover the losses they suffered in the first quarter, supported by a strong rebound of risk assets. The underlying global equity market, as represented by the MSCI AC World Index was down 7.02% over the first half of 2020
- The global hedge fund industry AUM has declined by US$198.1 billion as of June 2020 year-to-date. Investors have redeemed US$105.5 billion from the hedge fund industry in the first half of the year, while performance driven losses stood at US$92.6 billion.
- The Eurekahedge North American Long Short Equities Hedge Fund Index gained 1.93% in June, supported by the strong performance of US equities. The economic stimulus package approved by the US congress, on top of the Fed’s monetary policy easing to address the coronavirus fallout, boosted the equity market in the region. In terms of year-to-date return, the mandate was down 1.10% as of June 2020.
- The Eurekahedge Greater China Long Short Equities Hedge Fund Index was up 5.94% in June, bringing its year-to-date return to 6.45%. The recorded robust macroeconomic data, particularly the Purchasing Managers Index which went up to an expansion level above 50, boosted the region’s equity market.
- The Eurekahedge CTA/Managed Futures Hedge Fund Index was down 0.45% in June, pushing its year-to-date return to 0.20%. Almost 17% of underlying constituents have delivered double digit returns so far this year.
- The Eurekahedge Fixed Income Hedge Fund Index was up 2.00% in June, bringing its year-to-date loss to 1.95%. The accommodative central bank policies, particularly the Fed and the ECB resulted in lower government bond yield throughout the year.
- The Eurekahedge Structured Credit Hedge Fund Index posted its 3rd consecutive month of gains, with the index up 11.57% in Q2 2020 in comparison to staggering losses of 21.25% seen in Q1 2020 earlier this year.
- Hedge funds utilising AI strategies were up 1.97% in June – recording its fourth consecutive month of positive performance. On a year-to-date basis, the Eurekahedge AI Hedge Fund Index was up 4.18% as of June 2020.
- The Eurekahedge Crypto-Currency Hedge Fund Index was down 2.22% in June, outperforming the performance of Bitcoin which ended the month down 4.40%. Fund managers focusing on crypto-currencies gained 26.79% as of June 2020.
Key Trends in Long Only Absolute Return Funds
The Eurekahedge Hedge Fund Index was up 1.38% in June, driven by the strong performance of the global equity market as represented by the MSCI ACWI IMI (Local), which gained 2.70% over the same month. Global equities benefitted from the resumption of economic activity of most countries combined with an upbeat macroeconomic data boosting investors’ optimism towards a faster-than-expected recovery of the global economy from the crisis. The US equity benchmark registered strong performance, as the labour data, particularly the nonfarm payroll, beat the market consensus by a substantial margin. The tech-heavy NASDAQ was up 4.05% in June, bringing its year-to-date return to 10.05%, while the S&P500 was up 0.87% during the month. In the same vein, European equities rallied, supported by the proposed stimulus package totalling 750 billion euros by the EU leaders to soothe the economic pain brought by the coronavirus. The DAX and CAC 40 were up 6.25% and 5.12% over the month, respectively. Over in Asia, despite the looming trade tension between the US and China, the Chinese equity market recorded a strong performance on the back of strong macroeconomic data, particularly the Purchasing Manager Index, which returned to 50 – an expansion level. The Shenzhen Composite posted a double-digit return of 10.56%, bringing its year-to-date return to 14.66%, while the Hang Seng returned 6.38% throughout the month. Returns were positive across geographic mandates in June, with fund managers focusing on Asia ex Japan up 3.78%, outperforming their North American and European peers who were up 1.76% and 1.72%, respectively. Across strategies, multi-strategy, long/short equities, and fixed income fund managers were up 2.42%, 2.21% and 2.00% respectively throughout the month.
Roughly 69.0% of the underlying constituents of the Eurekahedge Hedge Fund Index posted positive returns in June, and 16.0% of the hedge fund managers in the database were able to maintain double-digit returns over the first half of 2020.
June 2020 and May 2020 returns across regions
Figure 2 illustrates the 2020 performance of hedge fund managers across regions. Most regional mandates were down for the year due to the spread of the COVID-19 outbreak which resulted in massive sell-offs in risk assets in the first quarter of 2020. Asia ex-Japan hedge funds led the pack with 1.22% return over the first half of 2020, outperforming their peers focusing on North America and Europe which slumped 0.52% and 4.14% respectively over the same period.
2020 returns across regions
Eurekahedge Asset Weighted Index
The Eurekahedge Asset Weighted Index – USD was up 1.01% in June – strong equity market performance and weak US dollar supported the index performance. It should also be noted that the Eurekahedge Asset Weighted Index is US dollar denominated, and during months of strong US dollar gains, the index results include the currency conversion loss for funds that are denominated in other currencies. The Eurekahedge Asset Weighted Index – USD is down 5.11% over the first half of 2020.
All of the Eurekahedge asset-weighted indices were up in June, with the Eurekahedge Asia Pacific Asset Weighted Index posting the strongest return of 5.65% driven by the strong performance of the region’s equity market. The underlying emerging market index was also up 4.51% in June. In terms of year-to-date return, Asia Pacific mandate was the only mandate who recorded a positive return of 3.21% over the first half of 2020.
| Eurekahedge Asset Weighted Indices June 2020 returns |
Eurekahedge Asset Weighted Indices 2020 returns |
CBOE Eurekahedge Volatility Indexes
The CBOE Eurekahedge Volatility Indexes comprise four equally-weighted volatility indices – long volatility, short volatility, relative value and tail risk. The CBOE Eurekahedge Long Volatility Index is designed to track the performance of underlying hedge fund managers who take a net long view on implied volatility with a goal of positive absolute return. In contrast, the CBOE Eurekahedge Short Volatility Index tracks the performance of underlying hedge fund managers who take a net short view on implied volatility with a goal of positive absolute return. This strategy often involves the selling of options to take advantage of the discrepancies in current implied volatility versus expectations of subsequent implied or realised volatility. The CBOE Eurekahedge Relative Value Volatility Index on the other hand measures the performance of underlying hedge fund managers that trade relative value or opportunistic volatility strategies. Managers utilising this strategy can pursue long, short or neutral views on volatility with a goal of positive absolute return. Meanwhile, the CBOE Eurekahedge Tail Risk Index tracks the performance of underlying hedge fund managers that specifically seek to achieve capital appreciation during periods of extreme market stress.
The CBOE Eurekahedge Volatility Indices ended the month of June with mixed returns, with tail risk hedge funds gaining 1.01% and short volatility hedge funds losing 0.93% throughout the month. The renewed concern towards the second pandemic wave and looming tension between the US and China pushed the CBOE Volatility Index to 32 levels at the end of the month. In terms of year-to-date returns, the CBOE Eurekahedge Tail Risk Volatility Hedge Fund Index topped the chart with its 49.69% return, while the CBOE Eurekahedge Short Volatility Hedge Fund Index was down 21.35%, placing them last among the four volatility strategy categories.
| CBOE Eurekahedge Volatility Indexes June 2020 returns |
CBOE Eurekahedge Volatility Indexes 2020 returns |
Summary monthly asset flow data since January 2013
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