Index Flash Update - 09 February 2021







Hedge funds started 2021 by outperforming the global equity market, led by distressed debt and event driven strategies

The Eurekahedge Hedge Fund Index was up 0.37% in January 2021, outperforming the global equity market as represented by MSCI ACWI (Local) which gained 0.11% over the same period. Global equities went on a roller-coaster ride this month as their earlier gains were erased due to the turbulence of retail investment in the latter part of the month. In the US, Joe Biden's inauguration as the 46th president in the US, along with Democrats taking control in the Senate boosted the performance of the equity market in early January. Investors were optimistic about the proposed domestic stimulus and shift in the foreign policy of the new administration. However, market risk sentiment rapidly changed as the clash between retail investors and notable hedge funds over GameStop stock affected investors' confidence of the stability of the market. A group of retail investors in a trading community collectively bought GameStop shares which pushed its price to an extreme level. The massive buying squeezed the position of a notable hedge fund that bet against the company, resulting in them losing more than half of their assets under management. This incident forced brokers to place trading restrictions on the stock. The US equity benchmark erased the gains they generated in the earlier period of the month, with the DJIA and S&P 500 losing 2.04% and 1.11% respectively. Over in Europe, most of the equity benchmarks in the region were in negative territory, with the CAC 40 and DAX down 2.74% and 2.08% respectively. Returns were mixed across geographic mandates in January, with Asia ex-Japan and North American hedge funds gaining 2.09% and 0.79% respectively, while European hedge funds were down 0.34%. Across strategies, distressed debt, event driven, and long/short equities fund managers were up 1.12%, 1.01%, and 0.77% respectively throughout the month.

Roughly 53.4% of the underlying constituents of the Eurekahedge Hedge Fund Index posted positive returns in January, and 57.4% of the hedge fund managers in the database were able to outperform the global equity market as represented by the MSCI ACWI.

Below are the key highlights for the month of January 2021
  • Hedge fund managers were up 0.37% in January, ahead of the global equity market which returned 0.11% during the month. In terms of 2020 performance, global hedge funds were up 12.11% - recording their strongest annual return since 2009 despite the ongoing pandemic. Around 40% of the constituents of the Eurekahedge Hedge Fund Index gained a double-digit return throughout 2020.

  • On an asset-weighted basis, hedge funds were down 0.41% in January, as captured by the Eurekahedge Asset Weighted Hedge Fund Index (USD). In 2020, the index was only up 4.38%, highlighting the struggles for some of the larger asset managers over the year.
  • The Eurekahedge Greater China Hedge Fund Index was up 3.05% in January, outperforming the Shenzhen and Shanghai Composite by 2.81% and 2.76% respectively. Throughout 2020, Greater China mandates recorded a strong return as they benefitted from the robust performance of the equity market in the region, driven by the strong GDP growth of the Chinese economy while the rest of the world were struggling. The mandate was up 35.72% in 2020, compared to 16.62% in 2019.

  • The Eurekahedge Long Short Equities Hedge Fund Index was up 0.77% in January, outperforming the S&P 500 by 1.88% over the month. In terms of yearly return, the index recorded three years of double-digit performance over the last four years as it gained 17.55% in 2020. In the same year, long/short equities recorded their best nine-month run since the inception of the index as they returned 32.81% for the month ending December.

  • Emerging market hedge funds gained 1.10% in January as captured by the Eurekahedge Emerging Market Hedge Fund Index. In terms of annual return since 2017, supported by the strong performance of risk assets, the mandate recorded double-digit return three out of four years as they gained 16.86%, 12.69%, and 16.73% in 2017, 2019, and 2020 respectively.

  • The  Eurekahedge Structured Credit Hedge Fund Index was up 1.89% during the month, extending its 10-month trailing return to 26.91% since end-March 2020. In terms of annual return, structured credit hedge funds ended their 11-year winning streak as they were down 2.98% in 2020. The three-quarter accumulative return of the mandate from the second to the fourth quarter of 24.55% was not enough to cover the losses they incurred in the first quarter.

  • Fund managers focusing on cryptocurrencies were up 30.96% in January as tracked by the Eurekahedge Crypto-Currency Hedge Fund Index , outperforming Bitcoin which gained 20.35% over the same period. In terms of 2020 return, cryptocurrency hedge funds gained 200.61% compared to the 296.74% return of Bitcoin throughout the year.


Index of the Month Jan
2020 Returns 2019 Returns
Eurekahedge Greater China Hedge Fund Index 3.05 35.72 16.62

Main Indices

Main Eurekahedge Indices Jan
2020 Returns 2019 Returns
Eurekahedge Hedge Fund Index 0.37 12.11 9.04
Eurekahedge Fund of Funds Index 0.56 11.90 8.71
Eurekahedge Long-only Absolute Return Fund Index 1.17 13.14 16.44
Eurekahedge Islamic Fund Index 1.05 10.21 10.11

Regional Indices

Eurekahedge Regional Indices Jan
2020 Returns 2019 Returns
Eurekahedge North American Hedge Fund Index 0.79 15.21 9.42
Eurekahedge European Hedge Fund Index -0.34 4.49 7.48
Eurekahedge Eastern Europe & Russia Hedge Fund Index 4.11 -2.60 19.40
Eurekahedge Japan Hedge Fund Index 0.87 0.82 7.39
Eurekahedge Emerging Markets Hedge Fund Index 1.10 16.73 12.69
Eurekahedge Asia ex Japan Hedge Fund Index 2.09 23.03 11.98
Eurekahedge Latin American Hedge Fund Index -1.98 4.36 15.15

North American fund managers recorded a 0.79% gain in January, outperforming their European counterparts who were down 0.34%. Some fund managers with short positions to equities benefitted from the market risk-off sentiment which occurred in the later period of the month due to the GameStop saga. In the same vein, Asian fund managers were up 1.42%, supported by the strong performance of the equity market in the region, with the Hang Seng up 3.87%.

Strategy Indices

Returns were positive across strategic mandates in January with distressed debt and event-driven mandates up 1.12% and 1.01% respectively, as the former was supported by the positive performance of high-yield bonds as seen on the 0.38% return of the US High Yield Master Index. On the other hand, long volatility and tail risk managers who claimed the top spot in 2020 fell to the bottom of the table, with their -0.54% and -0.18% return respectively.


Table 1: Strategy return map

Eurekahedge Strategy Indices Jan
2020 Returns 2019 Returns
Eurekahedge Arbitrage Hedge Fund Index 0.77 10.70 5.59
Eurekahedge CTA/Managed Futures Hedge Fund Index -0.29 7.86 5.70
Eurekahedge Distressed Debt Hedge Fund Index 1.12 7.44 4.24
Eurekahedge Event Driven Hedge Fund Index 1.01 7.91 6.86
Eurekahedge Fixed Income Hedge Fund Index 0.34 5.40 8.20
Eurekahedge Long Short Equities Hedge Fund Index 0.77 17.55 11.84
Eurekahedge Macro Hedge Fund Index 0.06 10.16 8.67
Eurekahedge Multi-Strategy Hedge Fund Index 0.25 7.66 8.65
Eurekahedge Relative Value Hedge Fund Index 0.35 8.89 4.96
CBOE Eurekahedge Long Volatility Hedge Fund Index -0.54 25.41 -10.87
CBOE Eurekahedge Relative Value Volatility Hedge Fund Index -1.05 5.76 -1.55
CBOE Eurekahedge Short Volatility Hedge Fund Index -1.33 -1.41 8.32
CBOE Eurekahedge Tail Risk Hedge Fund Index -0.18 34.84 -10.40
Eurekahedge Equity Long Bias Hedge Fund Index 0.83 14.62 16.73
Eurekahedge Equity Market Neutral Hedge Fund Index 0.09 3.35 1.91
Eurekahedge Trend Following Index 0.69 10.92 6.44
Eurekahedge FX Hedge Fund Index 0.27 1.44 0.93
Eurekahedge Commodity Hedge Fund Index 0.69 9.23 6.94
Eurekahedge Crypto-Currency Hedge Fund Index 30.96 200.61 15.56
Eurekahedge AI Hedge Fund Index -8.41 11.24 6.29
Eurekahedge ILS Advisers Index 0.34 3.51 0.92
Eurekahedge Global Hedge Fund Indices by Fund Size Jan
2020 Returns 2019 Returns
Eurekahedge Small Hedge Fund Index (< US$100m) 0.36 12.75 9.06
Eurekahedge Medium Hedge Fund Index (US$100m - US$500m) 0.40 11.72 8.94
Eurekahedge Large Hedge Fund Index (> US$500m) 0.26 6.80 8.93
Eurekahedge Billion Dollar Hedge Fund Index -0.02 5.46 8.55
Eurekahedge Asset Weighted Indices Jan
2020 Returns 2019 Returns
Eurekahedge Asset Weighted Index – USD -0.41 4.38 6.97
Eurekahedge TOP100 Asset Weighted Index – USD -0.65 1.49 6.89
Eurekahedge TOP300 Asset Weighted Index - USD -0.51 3.05 7.09
Asia-Eurekahedge Indices Jan
2020 Returns 2019 Returns
Eurekahedge Greater China Hedge Fund Index 3.05 32.72 16.62
Eurekahedge India Hedge Fund Index 0.41 19.73 2.93

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