Index Flash Update - 10 November 2020







Hedge funds continued to outperform the global equity market under market risk-off environment

The Eurekahedge Hedge Fund Index was down 0.16% in October 2020, outperforming the global equity market as represented by the MSCI ACWI (Local), which lost 2.29% over the same period. Global equities ended the month in negative territory due to the reimposition of national lockdowns across Europe, uncertainty in the outcome of the US presidential election, and the breakdown in US fiscal stimulus talks. The acceleration of average daily cases in Europe forced the authorities to reimpose restrictive measures to curb the increasing number of new infections, resulting in the weak performance of the equity market in the region. The DAX underperformed its peers by ending the month of October down 9.44%, while the FTSE100 plunged 4.92%. Over in the US, uncertainty in the recent presidential election combined with the delay of the new federal coronavirus relief package also dented market risk sentiments in the region. The US equity benchmarks were also down but fared better compared to their European peers. The S&P500 and tech-heavy NASDAQ retreated 2.77% and 2.29% throughout the month. Returns were negative across geographic mandates in October except for Asia ex-Japan fund managers who were up 1.16%, outperforming their European and North American peers who were down 0.83% and 0.16% respectively. Across strategies, arbitrage, event driven and fixed income fund managers were up 0.70%, 0.61% and 0.22% respectively throughout the month.

Roughly 46.6% of the underlying constituents of the Eurekahedge Hedge Fund Index posted positive returns in October, and 22.6% of the hedge fund managers in the database were able to maintain double-digit returns over the first 10 months of 2020.

Below are the key highlights for the month of October 2020
  • Hedge fund managers were down 0.16% in October, outperforming the global equity market by 2.10% throughout the month. On a year-to-date basis, global hedge funds were up 3.12%, with around 67.6% of its underlying constituents having outperformed the global equity market over the first 10 months of 2020.

  • Billion-dollar hedge funds were up 0.06% during the month, outperforming their smaller peers who were down, with small, medium, and large hedge funds losing 0.12%, 0.27% and 0.07% respectively.

  • On an asset-weighted basis, hedge funds were down 0.39% in October, as captured by the Eurekahedge Asset Weighted Hedge Fund Index (USD). The index is currently down 2.40% year-to-date highlighting the struggles for some of the larger asset managers this year.

  • The Eurekahedge Greater China Hedge Fund Index was up 1.90% in October, outperforming their Asian peers who were up 0.36%. On a year-to-date basis, the Greater China mandates are up 21.91% over the first 10 months of the year, outperforming their global peers by a substantial margin.

  • Hedge fund managers utilising arbitrage strategies were up 0.70% in October, outperforming their major strategic peers over the month, with macro and long/short equities hedge funds down 0.80% and 0.27% respectively. On a year-to-date basis, arbitrage focused hedge funds also consistently outperformed their peers as they gained 6.75%, compared to 4.42% and 3.71% of long/short equities and macro hedge funds over the first 10 months of 2020.

  • The  Eurekahedge Structured Credit Hedge Fund Index was up 0.88% during the month, extending its seven-month trailing return to 18.28% since end-March. In terms of year-to-date return, structured credit hedge funds were down 7.74% as of October 2020, underperforming their fixed income and distressed debt peers who returned 0.78% and -1.01% respectively.

  • Fund managers focusing on cryptocurrencies were up 14.57% in October as tracked by the Eurekahedge Crypto-Currency Hedge Fund Index , underperforming the performance of Bitcoin which was up 26.10%. Looking at year-to-date return, cryptocurrencies hedge funds are up 88.76%, slightly higher compared to the 87.19% return for Bitcoin over the first 10 months of 2020.


Index of the Month Oct
2020 Returns 2019 Returns
Eurekahedge Greater China Hedge Fund Index 1.90 21.49 17.02

Main Indices

Main Eurekahedge Indices Oct
2020 Returns 2019 Returns
Eurekahedge Hedge Fund Index -0.16 3.12 8.87
Eurekahedge Fund of Funds Index 0.24 3.89 8.69
Eurekahedge Long-only Absolute Return Fund Index -0.67 -1.86 16.51
Eurekahedge Islamic Fund Index -0.36 3.81 10.05

Regional Indices

Eurekahedge Regional Indices Oct
2020 Returns 2019 Returns
Eurekahedge North American Hedge Fund Index -0.16 3.82 9.28
Eurekahedge European Hedge Fund Index -0.83 -2.43 7.39
Eurekahedge Eastern Europe & Russia Hedge Fund Index -5.74 -20.62 18.47
Eurekahedge Japan Hedge Fund Index -0.82 -4.16 6.89
Eurekahedge Emerging Markets Hedge Fund Index 0.06 5.04 12.65
Eurekahedge Asia ex Japan Hedge Fund Index 1.16 11.53 11.92
Eurekahedge Latin American Hedge Fund Index -1.23 -4.47 15.15

North American fund managers recorded a 0.16% loss in the month of October, reducing their year-to-date return to 3.12%. The uncertainty in the US elections dented the market risk sentiment in the US market, which resulted in a negative performance of the equity market in the region, with DJIA and S&P 500 down 4.61% and 2.77% respectively. Over in Europe, the renewed concern surrounding the new restrictive measures resulted in the weak performance of European equities. European fund managers were also down 0.83% throughout the month.

Strategy Indices

Returns were mixed across strategic mandates in October with arbitrage and event driven up 0.70% and 0.61%, while macro and multi-strategy were down 0.80% and 0.35% respectively. On the other hand, fund managers utilising commodities strategies claimed the fourth spot, despite their recorded losses in September and October, with their 6.02% year-to-date return.


Table 1: Strategy return map

Eurekahedge Strategy Indices Oct
2020 Returns 2019 Returns
Eurekahedge Arbitrage Hedge Fund Index 0.70 6.75 5.33
Eurekahedge CTA/Managed Futures Hedge Fund Index -0.24 1.87 5.47
Eurekahedge Distressed Debt Hedge Fund Index 0.17 -1.01 4.33
Eurekahedge Event Driven Hedge Fund Index 0.61 -2.36 7.50
Eurekahedge Fixed Income Hedge Fund Index 0.22 0.78 7.94
Eurekahedge Long Short Equities Hedge Fund Index -0.27 4.42 11.53
Eurekahedge Macro Hedge Fund Index -0.80 3.71 8.62
Eurekahedge Multi-Strategy Hedge Fund Index -0.35 0.75 8.61
Eurekahedge Relative Value Hedge Fund Index -0.02 2.76 5.25
CBOE Eurekahedge Long Volatility Hedge Fund Index -0.78 27.75 -10.87
CBOE Eurekahedge Relative Value Volatility Hedge Fund Index -0.63 2.60 -1.55
CBOE Eurekahedge Short Volatility Hedge Fund Index 0.45 1.02 8.32
CBOE Eurekahedge Tail Risk Hedge Fund Index -2.40 38.12 -10.40
Eurekahedge Equity Long Bias Hedge Fund Index -0.25 -1.55 16.70
Eurekahedge Equity Market Neutral Hedge Fund Index 0.01 1.72 1.91
Eurekahedge Trend Following Index -1.22 0.67 6.05
Eurekahedge FX Hedge Fund Index 1.15 -0.45 0.93
Eurekahedge Commodity Hedge Fund Index -0.02 6.02 7.49
Eurekahedge Crypto-Currency Hedge Fund Index 14.57 88.76 15.56
Eurekahedge AI Hedge Fund Index -0.37 3.85 6.29
Eurekahedge ILS Advisers Index 0.07 3.41 0.92
Eurekahedge Global Hedge Fund Indices by Fund Size Oct
2020 Returns 2019 Returns
Eurekahedge Small Hedge Fund Index (< US$100m) -0.12 3.19 8.83
Eurekahedge Medium Hedge Fund Index (US$100m - US$500m) -0.27 2.90 8.84
Eurekahedge Large Hedge Fund Index (> US$500m) -0.07 0.96 8.91
Eurekahedge Billion Dollar Hedge Fund Index 0.06 0.66 8.58
Eurekahedge Asset Weighted Indices Oct
2020 Returns 2019 Returns
Eurekahedge Asset Weighted Index – USD -0.39 -2.40 6.97
Eurekahedge TOP100 Asset Weighted Index – USD -0.30 -3.82 6.89
Eurekahedge TOP300 Asset Weighted Index - USD -0.32 -2.90 7.09
Asia-Eurekahedge Indices Oct
2020 Returns 2019 Returns
Eurekahedge Greater China Hedge Fund Index 1.90 21.49 17.02
Eurekahedge India Hedge Fund Index 0.78 7.23 2.06

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