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Hedge Fund Performance Commentary

The Eurekahedge Hedge Fund Index was up 0.87%1 in May, supported by the robust performance of the global equity market as represented by the MSCI ACWI (Local) which gained 0.83% over the same month. Consumer prices in May rose by 5.0% from a year ago, the highest level since August 2008 and caused concerns among investors that this could compel the Federal Reserve to tighten its easy-money policies earlier than it had planned to achieve its 2% average inflation goal. Despite the higher inflation figure, the Federal Reserve has signalled that interest rates will be increased only after the economy has made rapid progress toward the committee’s goals. The S&P 500 and DJIA recorded new all-time highs in the first week of May and ended the month with gains of 0.55% and 1.93% respectively, supported by the strong economic momentum as reflected in the composite purchasing managers' index (PMI) which rose to a record high of 68.1 in May. Over in Europe, returns were positive among equity benchmarks in the region with the CAC 40 and DAX Index taking the lead with gains of 2.83% and 1.88% respectively. European equities were supported by the rising vaccination rates in Europe, which helped to increase the prospects for a strong economic rebound. Returns were positive across geographic mandates in May with Latin American and Asia ex-Japan hedge funds gaining 2.14% and 1.34% respectively while Japanese hedge funds were up 0.54%. Across strategies, CTA/managed futures and macro outperformed their strategic peers with returns of 1.59% and 1.51% respectively throughout the month.

Roughly 71.4% of the underlying constituents of the Eurekahedge Hedge Fund Index posted positive returns in May, and 29.9% of the hedge fund managers in the database were able to maintain a double digit return in 2021.

Figure 1: May 2021 and April 2021 returns across regions

Figure 2 illustrates the 2021 performance of hedge fund managers across regions. As of May year-to-date, all of the geographic mandates have recorded positive returns. Global hedge funds registered their best May year-to-date return since 2009 as they returned 7.71%, supported by the US$1.9 trillion economic stimulus package rolled out by the Biden administration as well as the continued speedy rollout of COVID-19 vaccinations. North American hedge funds outperformed their regional peers with their 10.16% return, followed by Asia ex-Japan hedge funds which returned 6.49%. At the other end of the spectrum, Latin American hedge funds lagged behind the group with a return of 3.39%.

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1Based on 52.21% of funds which have reported May 2021 returns as at 14 June 2021
2MSCI ACWI (Local)