Hedge funds recorded gains as equities recovered on the back of investor optimism |
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The Eurekahedge Hedge Fund Index was up 1.42% in June, supported by the robust performance of the global equity market as represented by the MSCI ACWI IMI (Local), which gained 2.70% over the month. The resumption of economic activity of major countries, particularly in Europe and the US combined with an upbeat macroeconomic data that indicates a faster-than-expected recovery of the global economy from the crisis, provided support to global equities. In the US, the equity market in the region reacted positively, as the labour data, particularly the nonfarm payroll beat market consensus by a large margin. The tech-heavy NASDAQ gained 4.05% in June, bringing its year-to-date return to 10.05%, while the S&P 500 was up 0.87% during the month. In the same vein, risk assets in Europe rallied as the EU leaders proposed 750 billion euros of stimulus package 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, Chinese equity markets shrugged off the looming US-China trade tension, as the region printed robust macroeconomic data, particularly the Purchasing Manager Index, which returned to above 50 - an expansion level. The Shenzhen Composite recorded a double-digit return of 10.56%, pushing 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 3.71%, outperforming their North American and European peers who were up 2.02% and 1.58%, respectively. Across strategies, distressed debt, multi-strategy and long/short equities fund managers were up 2.96%, 2.29% and 2.28% respectively throughout the month. Roughly 66.4% of the underlying constituents of the Eurekahedge Hedge Fund Index posted positive returns in June, and 13.4% of the hedge fund managers in the database were able to maintain double-digit returns over the first half of 2020. |
Below are the key highlights for the month of June 2020 |
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Index of the Month | Jun 2020* |
2020 Returns | 2019 Returns |
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Eurekahedge Greater China Hedge Fund Index | 7.25 | 7.84 | 16.63 |
Main Indices
Main Eurekahedge Indices | Jun 2020* |
2020 Returns | 2019 Returns |
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Eurekahedge Hedge Fund Index | 1.42 | -1.24 | 8.75 |
Eurekahedge Fund of Funds Index | 1.77 | -1.32 | 8.53 |
Eurekahedge Long-only Absolute Return Fund Index | 3.64 | -7.91 | 16.31 |
Eurekahedge Islamic Fund Index | 0.88 | -2.59 | 10.08 |
Regional Indices
Eurekahedge Regional Indices | Jun 2020* |
2020 Returns | 2019 Returns |
---|---|---|---|
Eurekahedge North American Hedge Fund Index | 2.02 | -0.25 | 9.24 |
Eurekahedge European Hedge Fund Index | 1.58 | -4.27 | 7.46 |
Eurekahedge Eastern Europe & Russia Hedge Fund Index | 3.34 | -15.39 | 18.47 |
Eurekahedge Japan Hedge Fund Index | 1.15 | -6.14 | 6.53 |
Eurekahedge Emerging Markets Hedge Fund Index | 4.26 | -0.08 | 12.60 |
Eurekahedge Asia ex Japan Hedge Fund Index | 3.71 | 1.16 | 11.68 |
Eurekahedge Latin American Hedge Fund Index | 4.31 | -4.01 | 15.52 |
North American fund managers returned 2.02% in the month of June, bringing their year-to-date loss to 0.25%. The accommodative central bank policy and reopening of the region’s economy, supported the robust performance of the equity market in the region. In the same vein, European managers gained 1.58%, as the EU and the ECB continued to extend their economic stimulus to support the Eurozone’s economy from the crisis.
Strategy Indices
Returns were mostly positive across strategic mandates in June with distressed debt, multi-strategy and long/short equities strategic mandates up 2.96%, 2.29% and 2.28% respectively. The strong performance of the risk assets provided support of these strategies during the month. The fixed income mandate was also up 1.83% in June, as dovish remarks from the Fed pushed the yields lower. On the other hand, tail risk and long volatility still claimed the top spot by a large margin driven by their extraordinary performance over the previous months, as seen on the strategy return map table.
Table 1: Strategy return map
Eurekahedge Strategy Indices | Jun 2020* |
2020 Returns | 2019 Returns |
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Eurekahedge Arbitrage Hedge Fund Index | 1.06 | 0.45 | 5.80 |
Eurekahedge CTA/Managed Futures Hedge Fund Index | -0.25 | 0.41 | 5.66 |
Eurekahedge Distressed Debt Hedge Fund Index | 2.96 | -2.51 | 3.84 |
Eurekahedge Event Driven Hedge Fund Index | 1.81 | -6.60 | 7.25 |
Eurekahedge Fixed Income Hedge Fund Index | 1.93 | -2.00 | 7.93 |
Eurekahedge Long Short Equities Hedge Fund Index | 2.28 | -1.59 | 11.33 |
Eurekahedge Macro Hedge Fund Index | 1.29 | 1.33 | 8.21 |
Eurekahedge Multi-Strategy Hedge Fund Index | 2.29 | -1.19 | 8.62 |
Eurekahedge Relative Value Hedge Fund Index | 0.74 | -1.65 | 5.07 |
CBOE Eurekahedge Long Volatility Hedge Fund Index | -0.77 | 28.37 | -10.87 |
CBOE Eurekahedge Relative Value Volatility Hedge Fund Index | -1.13 | 2.72 | -1.55 |
CBOE Eurekahedge Short Volatility Hedge Fund Index | -0.93 | -21.35 | 8.32 |
CBOE Eurekahedge Tail Risk Hedge Fund Index | 1.25 | 50.05 | -10.40 |
Eurekahedge Equity Long Bias Hedge Fund Index | 2.02 | -6.61 | 16.70 |
Eurekahedge Equity Market Neutral Hedge Fund Index | 0.53 | -0.44 | 1.91 |
Eurekahedge Trend Following Index | -0.35 | 1.05 | 6.54 |
Eurekahedge FX Hedge Fund Index | -1.12 | -1.66 | 0.86 |
Eurekahedge Commodity Hedge Fund Index | 2.51 | 1.89 | 7.98 |
Eurekahedge Crypto-Currency Hedge Fund Index | -0.24 | 25.74 | 15.56 |
Eurekahedge AI Hedge Fund Index | 1.48 | 3.68 | 6.29 |
Eurekahedge ILS Advisers Index | 0.76 | 0.94 | 0.92 |
Eurekahedge Global Hedge Fund Indices by Fund Size | Jun 2020* |
2020 Returns | 2019 Returns |
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Eurekahedge Small Hedge Fund Index (< US$100m) | 1.55 | -1.39 | 8.57 |
Eurekahedge Medium Hedge Fund Index (US$100m - US$500m) | 1.43 | -1.20 | 8.93 |
Eurekahedge Large Hedge Fund Index (> US$500m) | 1.05 | -2.17 | 8.88 |
Eurekahedge Billion Dollar Hedge Fund Index | 1.22 | -2.27 | 8.60 |
Eurekahedge Asset Weighted Indices | Jun 2020* |
2020 Returns | 2019 Returns |
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Eurekahedge Asset Weighted Index – USD | 1.21 | -4.93 | 6.97 |
Eurekahedge TOP100 Asset Weighted Index – USD | 0.49 | -5.76 | 6.89 |
Eurekahedge TOP300 Asset Weighted Index - USD | 0.98 | -5.08 | 7.09 |
Asia-Eurekahedge Indices | Jun 2020* |
2020 Returns | 2019 Returns |
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Eurekahedge Greater China Hedge Fund Index | 7.25 | 7.84 | 16.63 |
Eurekahedge India Hedge Fund Index | 7.73 | 2.30 | 2.01 |
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