Indices

Index Flash Update - 14 April 2021

EQUAL WEIGHTED HEDGE FUND INDICES

ASSET WEIGHTED HEDGE FUND INDICES

SPECIALIST ALTERNATIVE FUND INDICES

INVESTIBLE BENCHMARK INDICES

METHODOLOGIES

INDEX PRESS RELEASES

Hedge funds recorded their best Q1 performance since 2006 on the back of a global equity rally
The Eurekahedge Hedge Fund Index was up 0.95% in March 2021, supported by the robust performance of the global equity market as represented by the MSCI ACWI (Local) which gained 3.24% over the same period. Long-dated US treasuries continued to sell off, resulting in the yield of the 10-year treasury note rising by 34bp to end the month at 1.744%. The Federal Reserve committed to keep monetary policy accommodative for at least another two years and allow inflation to rise above 2% before considering any policy change. This led to growing concerns among investors that the huge economic and monetary stimulus rolled out thus far would lead to rising inflation. The equity market in the United States continued to record strong returns in March 2021, with the DJIA gaining 6.62% and the S&P 500 gaining 4.24%. Equities were supported by the US$1.9 trillion economic stimulus package rolled out by the Biden administration as well as the continued speedy rollout of vaccinations. In the meantime, the Biden Administration is considering a further multi-trillion dollar infrastructure spending package which is expected to further support US economic growth. Over in Europe, returns were positive among equity benchmarks in the region as the DAX Index and the Euro Stoxx 50 took the lead with gains of 8.86% and 7.78% respectively. Returns were mostly positive across geographic mandates in March with North American and European hedge funds gaining 1.56% and 1.37% respectively while Asia ex-Japan hedge funds were down 0.90%. Across strategies, event driven and long short equities outperformed their strategic peers with returns of 1.59% and 1.26% respectively throughout the month. Roughly 64.3% of the underlying constituents of the Eurekahedge Hedge Fund Index posted positive returns in March, and 15.3% of the hedge fund managers in the database were able to maintain a double digit return in 2021.

Hedge funds recorded their best Q1 performance since 2006 on the back of a global equity rally

The Eurekahedge Hedge Fund Index was up 0.95% in March 2021, supported by the robust performance of the global equity market as represented by the MSCI ACWI (Local) which gained 3.24% over the same period. Long-dated US treasuries continued to sell off, resulting in the yield of the 10-year treasury note rising by 34bp to end the month at 1.744%. The Federal Reserve committed to keep monetary policy accommodative for at least another two years and allow inflation to rise above 2% before considering any policy change. This led to growing concerns among investors that the huge economic and monetary stimulus rolled out thus far would lead to rising inflation. The equity market in the United States continued to record strong returns in March 2021, with the DJIA gaining 6.62% and the S&P 500 gaining 4.24%. Equities were supported by the US$1.9 trillion economic stimulus package rolled out by the Biden administration as well as the continued speedy rollout of vaccinations. In the meantime, the Biden Administration is considering a further multi-trillion dollar infrastructure spending package which is expected to further support US economic growth. Over in Europe, returns were positive among equity benchmarks in the region as the DAX Index and the Euro Stoxx 50 took the lead with gains of 8.86% and 7.78% respectively. Returns were mostly positive across geographic mandates in March with North American and European hedge funds gaining 1.56% and 1.37% respectively while Asia ex-Japan hedge funds were down 0.90%. Across strategies, event driven and long short equities outperformed their strategic peers with returns of 1.59% and 1.26% respectively throughout the month.

Roughly 64.3% of the underlying constituents of the Eurekahedge Hedge Fund Index posted positive returns in March, and 15.3% 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 March 2021
Hedge fund managers were up 0.95% in March, supported by the strong performance of the global equity market which returned 3.24% during the month. In terms of 2021 performance, global hedge funds were up 4.79%, recording the strongest March year-to-date return since 2006 despite the ongoing pandemic. Around 72.8% of the constituents of the Eurekahedge Hedge Fund Index generated positive returns in 2021 On an asset-weighted basis, hedge funds were down 0.24% in March, as captured by the Eurekahedge Asset Weighted Hedge Fund Index (USD).In terms of 2021 performance, the index is only up 0.95%, highlighting the struggles for some of the larger asset managers over the year. The Eurekahedge North American Hedge Fund Index was up 1.56% in March, supported by the strong performance of the DJIA and S&P 500 which returned 6.62% and 4.24% respectively. In terms of 2021 performance, North American hedge funds were also in the lead with a 6.77% year-to-date return, outperforming their regional peers as investors pinned their hopes on the prospect of 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 was up 1.26% in March, supported by the robust performance of global equities over the month. In terms of year-to-date return, the mandate gained 6.49% over the first three months of the year, a huge improvement compared to the -11.39% return of the index in Q1 2020. The massive economic stimulus and the speedy rollout of COVID-19 vaccinations supported the performance of the long/short equities managers as they gained an accumulated return of 42.08% since the market meltdown in March 2020. The Eurekahedge Event Driven Hedge Fund Index returned 1.59% in March, recording their 12th consecutive month of positive return. In terms of Q1 2021 performance, event driven hedge funds outperformed their strategic peers by recording a 6.91% return, a much improved performance as compared to their -15.47% return in Q1 2020 when they lagged behind their peer group over the period. Fund managers utilising equity long-bias strategies were up 2.58% in March, bringing their year-to-date return to 8.66% and outperforming the S&P 500 which gained 5.77% over the first three months of 2021. In terms of their performance distribution, the top 10% of equity long-bias funds recorded an average return of 16.84%. In the same vein, the mandate also had their best 5-month performance in over a decade as they recorded an accumulated return of 26.26% since end-November 2020. Fund managers focusing on cryptocurrencies were up 19.19% in March as tracked by the Eurekahedge Crypto-Currency Hedge Fund Index, underperforming Bitcoin which gained 25.92% over the same period. In terms of 2021 return, cryptocurrency hedge funds gained 116.81%, outperforming Bitcoin which returned 104.16% over the first 3 months of the year.

Below are the key highlights for the month of March 2021

Hedge fund managers were up 0.95% in March, supported by the strong performance of the global equity market which returned 3.24% during the month. In terms of 2021 performance, global hedge funds were up 4.79%, recording the strongest March year-to-date return since 2006 despite the ongoing pandemic. Around 72.8% of the constituents of the Eurekahedge Hedge Fund Index generated positive returns in 2021
On an asset-weighted basis, hedge funds were down 0.24% in March, as captured by the Eurekahedge Asset Weighted Hedge Fund Index (USD).In terms of 2021 performance, the index is only up 0.95%, highlighting the struggles for some of the larger asset managers over the year.
The Eurekahedge North American Hedge Fund Index was up 1.56% in March, supported by the strong performance of the DJIA and S&P 500 which returned 6.62% and 4.24% respectively. In terms of 2021 performance, North American hedge funds were also in the lead with a 6.77% year-to-date return, outperforming their regional peers as investors pinned their hopes on the prospect of 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 was up 1.26% in March, supported by the robust performance of global equities over the month. In terms of year-to-date return, the mandate gained 6.49% over the first three months of the year, a huge improvement compared to the -11.39% return of the index in Q1 2020. The massive economic stimulus and the speedy rollout of COVID-19 vaccinations supported the performance of the long/short equities managers as they gained an accumulated return of 42.08% since the market meltdown in March 2020.
The Eurekahedge Event Driven Hedge Fund Index returned 1.59% in March, recording their 12th consecutive month of positive return. In terms of Q1 2021 performance, event driven hedge funds outperformed their strategic peers by recording a 6.91% return, a much improved performance as compared to their -15.47% return in Q1 2020 when they lagged behind their peer group over the period.
Fund managers utilising equity long-bias strategies were up 2.58% in March, bringing their year-to-date return to 8.66% and outperforming the S&P 500 which gained 5.77% over the first three months of 2021. In terms of their performance distribution, the top 10% of equity long-bias funds recorded an average return of 16.84%. In the same vein, the mandate also had their best 5-month performance in over a decade as they recorded an accumulated return of 26.26% since end-November 2020.
Fund managers focusing on cryptocurrencies were up 19.19% in March as tracked by the Eurekahedge Crypto-Currency Hedge Fund Index, underperforming Bitcoin which gained 25.92% over the same period. In terms of 2021 return, cryptocurrency hedge funds gained 116.81%, outperforming Bitcoin which returned 104.16% over the first 3 months of the year.

Index of the Month	Mar 2021*	2021 Returns	2020 Returns
Eurekahedge Equity Long Bias Hedge Fund Index	2.58	8.66	14.78

Main Indices

Main Eurekahedge Indices	Mar 2021*	2021 Returns	2020 Returns
Eurekahedge Hedge Fund Index	0.95	4.79	12.60
Eurekahedge Fund of Funds Index	-0.13	3.02	11.89
Eurekahedge Long-only Absolute Return Fund Index	1.49	5.60	12.98
Eurekahedge Islamic Fund Index	-1.86	0.52	10.23

Regional Indices

Eurekahedge Regional Indices	Mar 2021*	2021 Returns	2020 Returns
Eurekahedge North American Hedge Fund Index	1.56	6.77	15.39
Eurekahedge European Hedge Fund Index	1.37	3.84	4.33
Eurekahedge Eastern Europe & Russia Hedge Fund Index	0.04	3.12	-2.60
Eurekahedge Japan Hedge Fund Index	2.81	6.27	1.58
Eurekahedge Emerging Markets Hedge Fund Index	0.21	2.81	16.83
Eurekahedge Asia ex Japan Hedge Fund Index	-0.90	3.24	23.03
Eurekahedge Latin American Hedge Fund Index	1.05	-1.04	3.98

North American fund managers returned 1.56% in March, outperforming their Asia ex-Japan counterparts who were down 0.90%. The successful passage of US President Joe Biden’s US$1.9 trillion economic stimulus package supported the performance of the equity market in the region, with the DJIA and S&P 500 up 6.62% and 4.24% respectively in March. In the same vein, European fund managers were up 1.37% in March, supported by the strong performance of the equity market in the region with the Euro Stoxx 50 up 7.78%.

Strategy Indices

Returns were mostly positive across strategic mandates in March with event driven and long short equities mandates up 1.59% and 1.26% respectively. On the other hand, arbitrage and CTA/managed futures mandates returned -0.60% and 0.20% respectively. The returns of the CTA/managed futures mandate was dampened by the declining prices of commodities during the month as seen in the 2.15% decline in the S&P Goldman Sachs Commodity Index Total Return.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	Mar 2021*	2021 Returns	2020 Returns
Eurekahedge Arbitrage Hedge Fund Index	-0.60	0.97	10.58
Eurekahedge CTA/Managed Futures Hedge Fund Index	0.20	2.49	7.14
Eurekahedge Distressed Debt Hedge Fund Index	0.84	5.45	7.62
Eurekahedge Event Driven Hedge Fund Index	1.59	6.91	7.70
Eurekahedge Fixed Income Hedge Fund Index	0.48	1.89	5.33
Eurekahedge Long Short Equities Hedge Fund Index	1.26	6.49	17.99
Eurekahedge Macro Hedge Fund Index	0.27	2.19	11.10
Eurekahedge Multi-Strategy Hedge Fund Index	0.70	2.98	7.83
Eurekahedge Relative Value Hedge Fund Index	0.92	3.44	9.12
CBOE Eurekahedge Long Volatility Hedge Fund Index	-1.92	-2.95	25.41
CBOE Eurekahedge Relative Value Volatility Hedge Fund Index	2.80	2.67	5.66
CBOE Eurekahedge Short Volatility Hedge Fund Index	2.36	2.91	-0.80
CBOE Eurekahedge Tail Risk Hedge Fund Index	-1.06	-2.13	34.84
Eurekahedge Equity Long Bias Hedge Fund Index	2.58	8.66	14.78
Eurekahedge Equity Market Neutral Hedge Fund Index	2.21	4.09	3.35
Eurekahedge Trend Following Index	3.80	8.44	10.92
Eurekahedge FX Hedge Fund Index	-2.11	0.48	0.95
Eurekahedge Commodity Hedge Fund Index	-2.32	1.18	9.16
Eurekahedge Crypto-Currency Hedge Fund Index	19.19	116.81	200.17
Eurekahedge AI Hedge Fund Index	0.04	-2.15	11.24
Eurekahedge ILS Advisers Index	0.87	0.29	3.48

Eurekahedge Global Hedge Fund Indices by Fund Size	Mar 2021*	2021 Returns	2020 Returns
Eurekahedge Small Hedge Fund Index (< US$100m)	0.77	4.94	13.44
Eurekahedge Medium Hedge Fund Index (US$100m - US$500m)	1.41	5.10	11.84
Eurekahedge Large Hedge Fund Index (> US$500m)	1.04	3.73	7.17
Eurekahedge Billion Dollar Hedge Fund Index	1.08	2.86	5.77

Eurekahedge Asset Weighted Indices	Mar 2021*	2021 Returns	2020 Returns
Eurekahedge Asset Weighted Index – USD	-0.24	0.95	4.47
Eurekahedge TOP100 Asset Weighted Index – USD	-0.43	-0.42	1.71
Eurekahedge TOP300 Asset Weighted Index - USD	-0.26	0.39	3.12

Asia-Eurekahedge Indices	Mar 2021*	2021 Returns	2020 Returns
Eurekahedge Greater China Hedge Fund Index	-1.99	2.60	34.99
Eurekahedge India Hedge Fund Index	3.94	7.91	20.18

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