The June 2020 Eurekahedge Report has been released
Q1 2020 hedge fund letters, conferences and more
Key highlights for April:
- The Eurekahedge Hedge Fund Index gained 2.03% in May, recouping some of the losses it suffered in the first quarter, supported by the robust performance of the underlying global equity market as seen by the 4.32% return of the MSCI AC World Index over the same month.
- The global hedge fund industry AUM has declined by US$204.7 billion as of May 2020 year-to-date. Net outflows for Q1 stood at US$85.9 billion, which compares to the US$94.7 billion of net outflows in Q4 2018.
- The Eurekahedge North American Long Short Equities Hedge Fund Index gained 3.88% in May, driven by the strong performance of US equities. The tech-heavy NASDAQ gained 6.75% – recording its new all-time high in May, while the S&P 500 ended the month up 4.53%.
- The Eurekahedge Greater China Long Short Equities Hedge Fund Index was up 0.82% in May, outperforming the Hang Seng and CSI 300 by 7.65% and 1.98% respectively, as the region’s equity markets were adversely affected by the ongoing political unrest in Hong Kong.
- The Eurekahedge CTA/Managed Futures Hedge Fund Index was up 0.46% in May, bringing its year-to-date return to 1.18%. The reopening of several major economies increased the global demand for oil during the month, providing support for oil prices. The market prices of US and Brent crudes increases by around 50% throughout the month.
- The Eurekahedge Fixed Income Hedge Fund Index was up 2.22% in May, supported by lower government bond yields and the recovery of the high yield bond market as seen by the 4.57% return of the US High Yield Master Index II over the month.
- Hedge funds utilising AI strategies were up 1.37% in May – recording its third consecutive month of positive performance. On a year-to-date basis, the Eurekahedge AI Hedge Fund Index was up 1.89% as of May 2020.
- The Eurekahedge Crypto-Currency Hedge Fund Index was up 5.70% in May, supported by the positive performance of Bitcoin which ended the month up 9.61%. Fund managers focusing on crypto-currencies gained 27.65% as of May 2020
Key Trends in Funds of Hedge Funds
The Eurekahedge Hedge Fund Index was up 2.03% 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 2.88%, outperforming their European and Asia ex Japan peers who were up 1.76% and 1.72%, respectively. Across strategies, long/short equities, event driven, and fixed income fund managers were up 2.90%, 2.43% and 2.22% respectively throughout the month.
Roughly 72.6% of the underlying constituents of the Eurekahedge Hedge Fund Index posted positive returns in May, and 13.2% of the hedge fund managers in the database were able to maintain double-digit returns over the first five months of 2020.
May 2020 and April 2020 returns across regions
Figure 2 illustrates the 2020 performance of hedge fund managers across regions. All regional mandates were down for the year, driven by the escalation of the COVID-19 outbreak which resulted in massive sell-offs in the global equity market in February and March. North American hedge funds led the pack with 1.97% loss over the first five months of 2020, outperforming their peers focusing on Asia ex-Japan and Europe which slumped 2.28% and 5.82% respectively over the same period.
2020 returns across regions
Eurekahedge Asset Weighted Index
The Eurekahedge Asset Weighted Index – USD was up 1.52% in May, 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 6.25% over the first five months of 2020.
All of the Eurekahedge asset-weighted indices were up in May, with the Eurekahedge Emerging Asset Weighted Index posting the strongest return of 6.03% driven by the market risk-on sentiment. The underlying long/short equities index was also up 2.73% in May.
| Eurekahedge Asset Weighted Indices May 2020 returns
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Eurekahedge Asset Weighted Indices 2020 returns
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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 Indexes ended the month of May with mixed returns, with short volatility hedge funds gaining 1.97% and tail risk hedge funds losing 1.71% throughout the month. The muted market volatility during May supported the performance of short volatility hedge funds which recouped some of their losses from February and March. In terms of year-to-date returns, the CBOE Eurekahedge Tail Risk Volatility Hedge Fund Index topped the chart with its 48.58% return, while the CBOE Eurekahedge Short Volatility Hedge Fund Index was down 19.39%, placing them last among the four volatility strategy categories.
| CBOE Eurekahedge Volatility Indexes May 2020 returns
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CBOE Eurekahedge Volatility Indexes 2020 returns
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Summary monthly asset flow data since January 2013
About Eurekahedge
Launched in 2001, Eurekahedge has a proven track record spanning over 16 years as the world’s largest independent data provider and alternative research firm specialising in global hedge fund databases and research. The global expertise of our research team constantly adapts to industry changes and needs, allowing Eurekahedge to develop and offer a wide array of products and services coveted by institutional investors, family offices, accredited investors, qualified purchasers, financial institutions and media sources. In addition to market-leading hedge fund databases, Eurekahedge’s other business functions include hedge fund research publications, due diligence services, investor services, analytical platforms and risk management tools.
