Indices

Index Flash Update - 10 March 2020

EQUAL WEIGHTED HEDGE FUND INDICES

ASSET WEIGHTED HEDGE FUND INDICES

SPECIALIST ALTERNATIVE FUND INDICES

INVESTIBLE BENCHMARK INDICES

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INDEX PRESS RELEASES

Hedge fund managers posted strongest monthly outperformance over global equities since 2009
The Eurekahedge Hedge Fund Index was down 1.63¹ in February, outperforming the underlying equity market as represented by the MSCI ACWI IMI (Local), which lost 7.82% over the same period. Roughly 34.7% of the underlying constituents of the Eurekahedge Hedge Fund Index posted positive returns in February, and 43.2% of the hedge fund managers in the database were up over the first two months of 2020. More than 90% of the hedge fund managers were able to outperform the global equity market during the month, exemplifying the downside protection afforded by hedged strategies as opposed to long-only portfolios. Preliminary results for February revealed it to be the most volatile month for hedge funds in the past 12 months as captured by the dispersion of returns (see Figure 3). Global equities started the month on a positive note, driven by the market optimism towards the containment of the COVID-19 as the number of newly infected people in Mainland China decelerated and central banks announced stimulus packages. The NASDAQ Composite recorded a new all-time high for the week ending February 14. However, during the second half of the month, market risk sentiment shifted as investors grew concerned over the extent of the outbreak outside China, particularly in Italy and South Korea, resulting in a massive sell-off of global equities. For the week ending February 28, the US equity benchmarks recorded their worst week since the 2008 global financial crisis, with the DJIA and S&P 500 losing 12.36% and 11.49% respectively. In the same vein, European equities ended the month of February in negative territory, with the CAC40 and DAX down 8.55% and 8.41% respectively, despite the dovish stance exhibited by the ECB and fiscal stimulus announced by the German government. On the other hand, Asian equities outperformed their global peers, despite being the epicentre of the coronavirus outbreak as global attention shifted overseas. The Shenzhen Composite Index gained 2.56% during the month, and the Hang Seng Index recorded a small loss of 0.69% in February. Fund managers focusing on Asia ex-Japan were down 0.89%, outperforming their European and North American peers who were down 2.35% and 2.04% respectively over the month.

Hedge fund managers posted strongest monthly outperformance over global equities since 2009

The Eurekahedge Hedge Fund Index was down 1.63¹ in February, outperforming the underlying equity market as represented by the MSCI ACWI IMI (Local), which lost 7.82% over the same period. Roughly 34.7% of the underlying constituents of the Eurekahedge Hedge Fund Index posted positive returns in February, and 43.2% of the hedge fund managers in the database were up over the first two months of 2020. More than 90% of the hedge fund managers were able to outperform the global equity market during the month, exemplifying the downside protection afforded by hedged strategies as opposed to long-only portfolios. Preliminary results for February revealed it to be the most volatile month for hedge funds in the past 12 months as captured by the dispersion of returns (see Figure 3).

Global equities started the month on a positive note, driven by the market optimism towards the containment of the COVID-19 as the number of newly infected people in Mainland China decelerated and central banks announced stimulus packages. The NASDAQ Composite recorded a new all-time high for the week ending February 14. However, during the second half of the month, market risk sentiment shifted as investors grew concerned over the extent of the outbreak outside China, particularly in Italy and South Korea, resulting in a massive sell-off of global equities. For the week ending February 28, the US equity benchmarks recorded their worst week since the 2008 global financial crisis, with the DJIA and S&P 500 losing 12.36% and 11.49% respectively. In the same vein, European equities ended the month of February in negative territory, with the CAC40 and DAX down 8.55% and 8.41% respectively, despite the dovish stance exhibited by the ECB and fiscal stimulus announced by the German government. On the other hand, Asian equities outperformed their global peers, despite being the epicentre of the coronavirus outbreak as global attention shifted overseas. The Shenzhen Composite Index gained 2.56% during the month, and the Hang Seng Index recorded a small loss of 0.69% in February. Fund managers focusing on Asia ex-Japan were down 0.89%, outperforming their European and North American peers who were down 2.35% and 2.04% respectively over the month.

Below are the key highlights for the month of February 2020
Hedge funds registered their strongest outperformance relative to underlying markets since February 2009, outperforming the MSCI AC World Index IMI (Local) by 6.18% in February. Long Volatility/Tail Risk hedge funds led the performance tables and have outshined most other asset classes including gold (see Figure 1). On an asset-weighted basis, hedge funds were down 2.50% in February, as captured by the Mizuho Eurekahedge Hedge Fund Index (USD). The index is currently down 2.76% year-to-date. The Eurekahedge North American Hedge Fund Index declined 4.16% over the first two months of 2020, weighed by the US equity market sell-offs toward the end of the month. Underlying constituents for the index have outperformed the S&P 500 Index by 4.40% as of February 2020 year-to-date. The Eurekahedge Greater China Long Short Equities Hedge Fund Index was up 2.55% in February, outperforming the Hang Seng Index by 3.24% and the CSI 300 Index by 4.14%. Optimism over the improving COVID-19 situation in Mainland China and the accommodative policies of the PBOC have provided some support for the region’s equity market. On a year-to-date basis, the US$30.3 billion mandate was up 1.07%. Hedge fund managers utilising fixed income strategies were down 0.77% in February, in spite of the risk-off sentiment in the market, which boosted global government bonds throughout the month. The Fed and the ECB have signalled potential policy supports to counter the economic slowdown caused by the COVID-19 outbreak, resulting in lower bond yields during the month. Fund managers utilising AI/machine learning strategies lost 0.32% in February, breaking their streak of five consecutive positive months since September last year. On a year-to-date basis, the Eurekahedge AI Hedge Fund Index is still up 0.51%. The Eurekahedge Crypto-Currency Hedge Fund Index was down 0.68% in February, outperforming Bitcoin which ended the month down 8.03%. Fund managers focusing on crypto-currencies are up 18.70% over the first two months of 2020.

Below are the key highlights for the month of February 2020

Hedge funds registered their strongest outperformance relative to underlying markets since February 2009, outperforming the MSCI AC World Index IMI (Local) by 6.18% in February. Long Volatility/Tail Risk hedge funds led the performance tables and have outshined most other asset classes including gold (see Figure 1).
On an asset-weighted basis, hedge funds were down 2.50% in February, as captured by the Mizuho Eurekahedge Hedge Fund Index (USD). The index is currently down 2.76% year-to-date.
The Eurekahedge North American Hedge Fund Index declined 4.16% over the first two months of 2020, weighed by the US equity market sell-offs toward the end of the month. Underlying constituents for the index have outperformed the S&P 500 Index by 4.40% as of February 2020 year-to-date.
The Eurekahedge Greater China Long Short Equities Hedge Fund Index was up 2.55% in February, outperforming the Hang Seng Index by 3.24% and the CSI 300 Index by 4.14%. Optimism over the improving COVID-19 situation in Mainland China and the accommodative policies of the PBOC have provided some support for the region’s equity market. On a year-to-date basis, the US$30.3 billion mandate was up 1.07%.
Hedge fund managers utilising fixed income strategies were down 0.77% in February, in spite of the risk-off sentiment in the market, which boosted global government bonds throughout the month. The Fed and the ECB have signalled potential policy supports to counter the economic slowdown caused by the COVID-19 outbreak, resulting in lower bond yields during the month.
Fund managers utilising AI/machine learning strategies lost 0.32% in February, breaking their streak of five consecutive positive months since September last year. On a year-to-date basis, the Eurekahedge AI Hedge Fund Index is still up 0.51%.
The Eurekahedge Crypto-Currency Hedge Fund Index was down 0.68% in February, outperforming Bitcoin which ended the month down 8.03%. Fund managers focusing on crypto-currencies are up 18.70% over the first two months of 2020.

Figure 1: Performance across asset classes (February YTD)

Figure 2: Monthly outperformance of the Eurekahedge Hedge Fund Index over global equities

Figure 3: Hedge fund monthly performance distribution (last 12 months)

Index of the Month	Feb 2020*	2020 Returns	2019 Returns
CBOE Eurekahedge Long Volatility Hedge Fund Index	11.86	12.41	-10.68

Main Indices

Main Eurekahedge Indices	Feb 2020*	2020 Returns	2019 Returns
Eurekahedge Hedge Fund Index	-1.63	-1.54	8.64
Eurekahedge Fund of Funds Index	-1.81	-1.47	8.65
Eurekahedge Long-only Absolute Return Fund Index	-5.64	-6.45	16.04
Eurekahedge Islamic Fund Index	-2.60	-3.41	10.07

Regional Indices

Eurekahedge Regional Indices	Feb 2020*	2020 Returns	2019 Returns
Eurekahedge North American Hedge Fund Index	-2.04	-2.06	9.13
Eurekahedge European Hedge Fund Index	-2.35	-2.36	7.58
Eurekahedge Eastern Europe & Russia Hedge Fund Index	-11.44	-11.35	17.49
Eurekahedge Japan Hedge Fund Index	-4.55	-5.83	6.53
Eurekahedge Emerging Markets Hedge Fund Index	-1.85	-1.72	12.41
Eurekahedge Asia ex Japan Hedge Fund Index	-0.89	-1.00	11.86
Eurekahedge Latin American Hedge Fund Index	-3.70	-2.11	15.47

North American and European hedge fund managers were down 2.04% and 2.35% in February as concerns surrounding the spread of COVID-19 outside of Mainland China escalated toward the end of the month. Over in Asia, fund managers with Asia ex-Japan investment mandate ended the month down 0.89%, outperforming their Japan-focused peers who were down 4.55% over the same period.

Strategy Indices

Returns were mostly negative across strategic mandates in February with the notable exceptions of long volatility and tail risk mandates gaining 11.86% and 11.36% respectively. The risk-off sentiment in the market resulted in heightened level of volatility throughout the second half of the month, pushing the CBOE VIX past 40 - a level not seen since February 2018. On the other hand, equity long bias managers were down 5.91% year-to-date, in contrast to how they outperformed other strategic mandates with 16.65% return over 2019.

Table 1: Strategy return map

Eurekahedge Strategy Indices	Feb 2020*	2020 Returns	2019 Returns
Eurekahedge Arbitrage Hedge Fund Index	0.21	0.73	5.72
Eurekahedge CTA/Managed Futures Hedge Fund Index	-0.16	0.30	5.36
Eurekahedge Distressed Debt Hedge Fund Index	1.05	1.56	3.48
Eurekahedge Event Driven Hedge Fund Index	-3.00	-3.58	7.20
Eurekahedge Fixed Income Hedge Fund Index	-0.70	0.12	7.89
Eurekahedge Long Short Equities Hedge Fund Index	-2.86	-3.24	11.18
Eurekahedge Macro Hedge Fund Index	-0.79	-1.00	8.59
Eurekahedge Multi-Strategy Hedge Fund Index	-1.61	-1.08	8.10
Eurekahedge Relative Value Hedge Fund Index	-2.69	-2.66	5.31
CBOE Eurekahedge Long Volatility Hedge Fund Index	11.86	12.41	-10.68
CBOE Eurekahedge Relative Value Volatility Hedge Fund Index	-1.56	-0.64	-1.61
CBOE Eurekahedge Short Volatility Hedge Fund Index	-4.53	-6.22	8.32
CBOE Eurekahedge Tail Risk Hedge Fund Index	11.36	13.43	-10.53
Eurekahedge Equity Long Bias Hedge Fund Index	-5.10	-5.91	16.65
Eurekahedge Equity Market Neutral Hedge Fund Index	-0.63	-0.63	1.77
Eurekahedge Trend Following Index	-1.83	-1.83	5.70
Eurekahedge FX Hedge Fund Index	1.47	1.17	0.71
Eurekahedge Commodity Hedge Fund Index	-0.23	-2.13	7.98
Eurekahedge Crypto-Currency Hedge Fund Index	-0.68	18.70	15.56
Eurekahedge AI Hedge Fund Index	-0.32	0.51	6.29
Eurekahedge ILS Advisers Index	0.28	0.89	0.92

Eurekahedge Global Hedge Fund Indices by Fund Size	Feb 2020*	2020 Returns	2019 Returns
Eurekahedge Small Hedge Fund Index (< US$100m)	-1.81	-1.83	8.50
Eurekahedge Medium Hedge Fund Index (US$100m - US$500m)	-1.83	-1.78	8.82
Eurekahedge Large Hedge Fund Index (> US$500m)	-1.11	-0.78	8.89
Eurekahedge Billion Dollar Hedge Fund Index	-1.23	-0.88	8.46

Mizuho-Eurekahedge Indices	Feb 2020*	2020 Returns	2019 Returns
Mizuho-Eurekahedge Index - USD	-2.50	-2.76	6.96
Mizuho-Eurekahedge TOP100 Index - USD	-2.98	-3.14	6.85
Mizuho-Eurekahedge TOP300 Index - USD	-2.60	-2.79	7.07

Asia-Eurekahedge Indices	Feb 2020*	2020 Returns	2019 Returns
Eurekahedge Greater China Hedge Fund Index	2.55	1.07	15.91
Eurekahedge India Hedge Fund Index	-4.00	-1.88	1.59

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