Indices

Index Flash Update - 10 March 2021

EQUAL WEIGHTED HEDGE FUND INDICES

ASSET WEIGHTED HEDGE FUND INDICES

SPECIALIST ALTERNATIVE FUND INDICES

INVESTIBLE BENCHMARK INDICES

METHODOLOGIES

INDEX PRESS RELEASES

Hedge funds extend strong start to the year led by CTA/managed futures funds as commodity prices rise
The Eurekahedge Hedge Fund Index was up 2.99% in February 2021, outperforming the global equity market as represented by the MSCI ACWI (Local) which gained 2.72% over the same period. Global equity markets resumed their rally in the first two weeks of February on strong earnings and economic recovery hopes, as the successful implementation of Biden’s US$1.9 trillion economic stimulus package looked increasingly likely. This combined with the continued speedy rollout of vaccines across the United States led to a huge rise in risk-on sentiment, with the DJIA hitting an all-time high of 31,961.86 on 24 February 2021. Global longer tenor bond yields began to increase steadily mid-month and spiked in the final weeks as concerns around inflation began to emerge. The UK 10-year bond yield and 10-year US treasury note were up 49bp and 34 bp in February respectively, negatively impacting sentiment towards equities, leading to an equity sell-off in the final week of the month. The DJIA pared gains made in early February, losing 3.2% from the peak and ended the month at 30,932.37. Over in Europe, returns were positive among equity benchmarks in the region with the CAC 40 and Euro Stoxx 50 taking the lead with gains of 5.63% and 4.45% respectively. Returns were mixed across geographic mandates in February with North American and European hedge funds gaining 3.71% and 2.70% respectively while Latin American hedge funds were down 1.23%. Across strategies, CTA/managed futures and long/short equities outperformed their strategic peers with returns of 4.12% and 3.77% throughout the month. Managers utilising CTA/managed futures strategies benefitted from the strong rise in commodity prices, driven largely by the surge in prices of Brent Crude Oil and West Texas Intermediate Crude oil of 20.06% and 20.28% respectively in February, as Saudi Arabia volunteered to cut output beyond levels previously negotiated with OPEC. Roughly 76.1% of the underlying constituents of the Eurekahedge Hedge Fund Index posted positive returns in February, and 12.2% of the hedge fund managers in the database were able to maintain a double digit return in 2021.

Hedge funds extend strong start to the year led by CTA/managed futures funds as commodity prices rise

The Eurekahedge Hedge Fund Index was up 2.99% in February 2021, outperforming the global equity market as represented by the MSCI ACWI (Local) which gained 2.72% over the same period. Global equity markets resumed their rally in the first two weeks of February on strong earnings and economic recovery hopes, as the successful implementation of Biden’s US$1.9 trillion economic stimulus package looked increasingly likely. This combined with the continued speedy rollout of vaccines across the United States led to a huge rise in risk-on sentiment, with the DJIA hitting an all-time high of 31,961.86 on 24 February 2021. Global longer tenor bond yields began to increase steadily mid-month and spiked in the final weeks as concerns around inflation began to emerge. The UK 10-year bond yield and 10-year US treasury note were up 49bp and 34 bp in February respectively, negatively impacting sentiment towards equities, leading to an equity sell-off in the final week of the month. The DJIA pared gains made in early February, losing 3.2% from the peak and ended the month at 30,932.37.

Over in Europe, returns were positive among equity benchmarks in the region with the CAC 40 and Euro Stoxx 50 taking the lead with gains of 5.63% and 4.45% respectively. Returns were mixed across geographic mandates in February with North American and European hedge funds gaining 3.71% and 2.70% respectively while Latin American hedge funds were down 1.23%. Across strategies, CTA/managed futures and long/short equities outperformed their strategic peers with returns of 4.12% and 3.77% throughout the month. Managers utilising CTA/managed futures strategies benefitted from the strong rise in commodity prices, driven largely by the surge in prices of Brent Crude Oil and West Texas Intermediate Crude oil of 20.06% and 20.28% respectively in February, as Saudi Arabia volunteered to cut output beyond levels previously negotiated with OPEC.

Roughly 76.1% of the underlying constituents of the Eurekahedge Hedge Fund Index posted positive returns in February, and 12.2% of the hedge fund managers in the database were able to maintain a double digit return in 2021.

Below are the key highlights for the month of February 2021
Hedge fund managers were up 2.99% in February, ahead of the global equity market which returned 2.72% during the month. In terms of 2021 performance, global hedge funds were up 4.03% - recording the strongest February year-to-date return since 2012 despite the ongoing pandemic. Around 71.8% of the constituents of the Eureka Hedge Fund Index generated positive returns in 2021. On an asset-weighted basis, hedge funds were up 1.78% in February, as captured by the Eurekahedge Asset Weighted Hedge Fund Index (USD). In terms of 2021 performance, the index is only up 1.45%, highlighting the struggles for some of the larger asset managers over the year. The Eurekahedge North American Hedge Fund Index gained 3.71% in February, outperforming the DJIA and S&P 500 which returned 3.17% and 2.61% respectively. In terms of 2021 performance, North American hedge funds were also in the lead with a 4.80% year-to-date return, outperforming their regional peers as investors pinned hopes on a robust US economic recovery driven by the US$1.9 trillion economic stimulus package rolled out by the Biden administration. The Eurekahedge Long Short Equities Hedge Fund Index grew 3.77% in February, outperforming the S&P 500 which was up 2.61%. In terms of 2021 return, the index gained 5.42%, recording a much better performance compared to 2020 when the index recorded a 2.93% loss over the first two months of the year. Emerging markets hedge funds gained 0.51% in February as captured by the Eurekahedge Emerging Market Hedge Fund Index. In terms of 2021 return, the index returned 2.20%, underperforming their North American peers which returned 4.80% over the same period as investors anticipate a strong US economic recovery driven by the expected rollout of Biden’s US$1.9 trillion economic stimulus package. The Eurekahedge CTA/Managed Futures Hedge Fund Index returned 4.12% in February, posting the highest monthly return since May 2009. In terms of 2021 performance, the index returned 3.60% - recording the best February year-to-date return since 2015. Fund managers focusing on cryptocurrencies were up 34.50% in February as tracked by the Eurekahedge Crypto-Currency Hedge Fund Index ,underperforming Bitcoin slightly which gained 34.72% over the same period. In terms of 2021 return, cryptocurrency hedge funds gained 74.20%, outperforming Bitcoin which returned 62.13% over the first 2 months of the year.

Below are the key highlights for the month of February 2021

Hedge fund managers were up 2.99% in February, ahead of the global equity market which returned 2.72% during the month. In terms of 2021 performance, global hedge funds were up 4.03% - recording the strongest February year-to-date return since 2012 despite the ongoing pandemic. Around 71.8% of the constituents of the Eureka Hedge Fund Index generated positive returns in 2021.
On an asset-weighted basis, hedge funds were up 1.78% in February, as captured by the Eurekahedge Asset Weighted Hedge Fund Index (USD). In terms of 2021 performance, the index is only up 1.45%, highlighting the struggles for some of the larger asset managers over the year.
The Eurekahedge North American Hedge Fund Index gained 3.71% in February, outperforming the DJIA and S&P 500 which returned 3.17% and 2.61% respectively. In terms of 2021 performance, North American hedge funds were also in the lead with a 4.80% year-to-date return, outperforming their regional peers as investors pinned hopes on a robust US economic recovery driven by the US$1.9 trillion economic stimulus package rolled out by the Biden administration.
The Eurekahedge Long Short Equities Hedge Fund Index grew 3.77% in February, outperforming the S&P 500 which was up 2.61%. In terms of 2021 return, the index gained 5.42%, recording a much better performance compared to 2020 when the index recorded a 2.93% loss over the first two months of the year.
Emerging markets hedge funds gained 0.51% in February as captured by the Eurekahedge Emerging Market Hedge Fund Index. In terms of 2021 return, the index returned 2.20%, underperforming their North American peers which returned 4.80% over the same period as investors anticipate a strong US economic recovery driven by the expected rollout of Biden’s US$1.9 trillion economic stimulus package.
The Eurekahedge CTA/Managed Futures Hedge Fund Index returned 4.12% in February, posting the highest monthly return since May 2009. In terms of 2021 performance, the index returned 3.60% - recording the best February year-to-date return since 2015.
Fund managers focusing on cryptocurrencies were up 34.50% in February as tracked by the Eurekahedge Crypto-Currency Hedge Fund Index ,underperforming Bitcoin slightly which gained 34.72% over the same period. In terms of 2021 return, cryptocurrency hedge funds gained 74.20%, outperforming Bitcoin which returned 62.13% over the first 2 months of the year.

Index of the Month	Feb 2021*	2021 Returns	2020 Returns
Eurekahedge Emerging Markets Hedge Fund Index	0.51	2.20	16.72

Main Indices

Main Eurekahedge Indices	Feb 2021*	2021 Returns	2020 Returns
Eurekahedge Hedge Fund Index	2.99	4.03	12.44
Eurekahedge Fund of Funds Index	2.76	2.61	11.97
Eurekahedge Long-only Absolute Return Fund Index	2.61	3.93	12.80
Eurekahedge Islamic Fund Index	1.34	2.39	10.25

Regional Indices

Eurekahedge Regional Indices	Feb 2021*	2021 Returns	2020 Returns
Eurekahedge North American Hedge Fund Index	3.71	4.80	15.24
Eurekahedge European Hedge Fund Index	2.70	2.78	4.46
Eurekahedge Eastern Europe & Russia Hedge Fund Index	-0.01	1.67	-2.60
Eurekahedge Japan Hedge Fund Index	1.07	2.09	1.55
Eurekahedge Emerging Markets Hedge Fund Index	0.51	2.20	16.72
Eurekahedge Asia ex Japan Hedge Fund Index	1.05	3.78	22.93
Eurekahedge Latin American Hedge Fund Index	-1.23	-2.46	4.06

North American fund managers returned 3.71% in February, outperforming their Latin American counterparts who were down 1.23%. The increased likelihood of a new round of large fiscal stimulus to be deployed by the US government and continued speedy rollout of vaccines across the US supported the performance of the equity market in the region, with the DJIA and S&P 500 up 3.17% and 2.61% respectively in February. In the same vein, European fund managers were up 2.70%, supported by the strong performance of the equity market in the region, with the Euro Stoxx 50 up 4.45%.

Strategy Indices

Returns were positive across strategic mandates in February with CTA/managed futures and long/short equities mandates up 4.12% and 3.77% respectively. The CTA/managed futures mandate was supported by the strong rise in commodity prices as the S&P Goldman Sachs Commodity Index Total Return gained 10.58%. Brent Crude Oil and West Texas Intermediate Crude Oil rose 20.06% and 20.28% respectively on the back of stronger economic data and Saudi Arabia voluntarily cutting output beyond levels previously negotiated within OPEC. On the other hand, arbitrage and fixed income mandates were only up 0.51% and 0.77% respectively in February as returns were dampened due to concerns around inflation which led to higher longer tenor bond yields. The UK 10-year bond yield and 10-year US treasury note were up 49bp and 34 bp in February respectively.

Table 1: Strategy return map

Eurekahedge Strategy Indices	Feb 2021*	2021 Returns	2020 Returns
Eurekahedge Arbitrage Hedge Fund Index	0.51	1.20	10.59
Eurekahedge CTA/Managed Futures Hedge Fund Index	4.12	3.60	7.79
Eurekahedge Distressed Debt Hedge Fund Index	2.07	3.33	7.62
Eurekahedge Event Driven Hedge Fund Index	2.54	4.19	7.80
Eurekahedge Fixed Income Hedge Fund Index	0.77	1.45	5.31
Eurekahedge Long Short Equities Hedge Fund Index	3.77	5.42	17.87
Eurekahedge Macro Hedge Fund Index	1.85	2.25	10.94
Eurekahedge Multi-Strategy Hedge Fund Index	1.87	2.56	7.83
Eurekahedge Relative Value Hedge Fund Index	2.53	3.39	8.84
CBOE Eurekahedge Long Volatility Hedge Fund Index	-1.28	-1.55	25.41
CBOE Eurekahedge Relative Value Volatility Hedge Fund Index	1.80	-0.48	5.66
CBOE Eurekahedge Short Volatility Hedge Fund Index	-0.33	-1.52	-0.80
CBOE Eurekahedge Tail Risk Hedge Fund Index	-1.66	-2.35	34.84
Eurekahedge Equity Long Bias Hedge Fund Index	4.76	6.59	14.70
Eurekahedge Equity Market Neutral Hedge Fund Index	0.95	1.61	3.31
Eurekahedge Trend Following Index	6.51	5.68	10.92
Eurekahedge FX Hedge Fund Index	5.57	6.07	0.68
Eurekahedge Commodity Hedge Fund Index	4.11	3.90	9.16
Eurekahedge Crypto-Currency Hedge Fund Index	34.50	74.20	197.96
Eurekahedge AI Hedge Fund Index	-0.19	-2.62	11.24
Eurekahedge ILS Advisers Index	-0.17	-0.01	3.48

Eurekahedge Global Hedge Fund Indices by Fund Size	Feb 2021*	2021 Returns	2020 Returns
Eurekahedge Small Hedge Fund Index (< US$100m)	3.18	4.33	13.15
Eurekahedge Medium Hedge Fund Index (US$100m - US$500m)	3.20	4.28	12.04
Eurekahedge Large Hedge Fund Index (> US$500m)	2.20	2.74	7.19
Eurekahedge Billion Dollar Hedge Fund Index	2.00	2.16	5.77

Eurekahedge Asset Weighted Indices	Feb 2021*	2021 Returns	2020 Returns
Eurekahedge Asset Weighted Index – USD	1.78	1.45	4.48
Eurekahedge TOP100 Asset Weighted Index – USD	1.44	0.47	1.71
Eurekahedge TOP300 Asset Weighted Index - USD	1.50	0.92	3.11

Asia-Eurekahedge Indices	Feb 2021*	2021 Returns	2020 Returns
Eurekahedge Greater China Hedge Fund Index	0.49	4.59	35.17
Eurekahedge India Hedge Fund Index	2.56	2.58	18.93

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