Indices

Index Flash Update - 17 May 2021

EQUAL WEIGHTED HEDGE FUND INDICES

ASSET WEIGHTED HEDGE FUND INDICES

SPECIALIST ALTERNATIVE FUND INDICES

INVESTIBLE BENCHMARK INDICES

METHODOLOGIES

INDEX PRESS RELEASES

Hedge funds extended their gains in April led by event driven and long/short equities
The Eurekahedge Hedge Fund Index was up 0.95% in April, pushing its 2021 return to 6.96%, supported by the robust performance of the global equity market as represented by the MSCI ACIW (Local) which was up 3.53% over the same month. The strong corporate earnings combined with better-than-expected macroeconomic data acted as a tailwind to the performance of the equity market over the month. In the US, as the risk surrounding COVID-19 remained in the region, the Fed reassured the market that they will keep their accommodative monetary policy until they see encouraging progress in the economy. As a result, the yields of long-dated US treasuries retreated, resulting in interest-rate sensitive tech-stocks rallying during the month. The NASDAQ Composite was up 5.40% in April, outperforming the 5.24% and 2.71% return of the S&P 500 and DJIA respectively. Over in Europe, similar to the Fed, the ECB also reaffirmed their determination on providing lasting support to the economies and eased investors' concern towards the risk of accelerating inflation. The CAC 40 and DAX were up 3.33% and 0.85% in April, bringing its 2021 return into double-digit territory. In Asia, despite the surge in new COVID-19 cases in India, the equity market in the region sustained its strength as the BSE Sensex and S&P CNX Nifty India only recorded small losses of 1.47% and 0.41% respectively over the month. Returns were mostly positive across geographic mandates in April with Asia ex-Japan, North American and European hedge funds gaining 2.48%, 2.49% and 1.62% respectively while Japanese hedge funds were down 1.22%. Across strategies, event driven and long/short equities outperformed their strategic peers with returns of 3.03% and 2,59% respectively throughout the month. Roughly 65.9% of the underlying constituents of the Eurekahedge Hedge Fund Index posted positive returns in April, and 26.0% of the hedge fund managers in the database were able to maintain a double digit return in 2021.

Hedge funds extended their gains in April led by event driven and long/short equities

The Eurekahedge Hedge Fund Index was up 0.95% in April, pushing its 2021 return to 6.96%, supported by the robust performance of the global equity market as represented by the MSCI ACIW (Local) which was up 3.53% over the same month. The strong corporate earnings combined with better-than-expected macroeconomic data acted as a tailwind to the performance of the equity market over the month. In the US, as the risk surrounding COVID-19 remained in the region, the Fed reassured the market that they will keep their accommodative monetary policy until they see encouraging progress in the economy. As a result, the yields of long-dated US treasuries retreated, resulting in interest-rate sensitive tech-stocks rallying during the month. The NASDAQ Composite was up 5.40% in April, outperforming the 5.24% and 2.71% return of the S&P 500 and DJIA respectively. Over in Europe, similar to the Fed, the ECB also reaffirmed their determination on providing lasting support to the economies and eased investors' concern towards the risk of accelerating inflation. The CAC 40 and DAX were up 3.33% and 0.85% in April, bringing its 2021 return into double-digit territory. In Asia, despite the surge in new COVID-19 cases in India, the equity market in the region sustained its strength as the BSE Sensex and S&P CNX Nifty India only recorded small losses of 1.47% and 0.41% respectively over the month. Returns were mostly positive across geographic mandates in April with Asia ex-Japan, North American and European hedge funds gaining 2.48%, 2.49% and 1.62% respectively while Japanese hedge funds were down 1.22%. Across strategies, event driven and long/short equities outperformed their strategic peers with returns of 3.03% and 2,59% respectively throughout the month.

Roughly 65.9% of the underlying constituents of the Eurekahedge Hedge Fund Index posted positive returns in April, and 26.0% 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 April 2021
Hedge fund managers were up 2.13% in April, supported by the strong performance of the global equity market which returned 3.53% during the month. In terms of 2021 performance, global hedge funds were up 4.79%, recording their strongest April year-to-date return since 2006 despite the ongoing pandemic. Around 75% of the constituents of the Eurekahedge Hedge Fund Index generated positive returns in 2021. On an asset-weighted basis, hedge funds were up 2.89% in April, as captured by the Eurekahedge Asset Weighted Hedge Fund Index (USD). In terms of 2021 performance, the index is only up 3.91%, highlighting the underperformances of larger hedge funds against their smaller peers over the year. The Eurekahedge North American Hedge Fund Index was up 2.13% in April, as strong corporate earnings and the Fed’s encouraging statement boosted the performance of the equity market in the region. On a year-to-date basis, North American hedge funds were up 8.92% as of April 2021, with more than a quarter of them generating a double-digit return and the top decile gaining 19.90% of return on average. The Eurekahedge CTA/Managed Futures Hedge Fund Index was up 2.25% in April, bringing its year-to-date return to 4.90%. The speedy rollout of the COVID-19 vaccine and gradual recovery of the global economy to normalcy has led commodity prices to increase. The energy prices have returned to their pre-COVID-19 level which supported the positive performance of fund managers in the recent period. As captured by the Eurekahedge database, more than two-thirds of CTA/managed futures hedge funds have reported a positive return over the first four months of 2021, while around 15% of them have maintained a double-digit return. The Eurekahedge Indian Hedge Fund Index was up 1.64% in April, outperforming the BSE Index by 3.10% during the month. Despite the extreme surge in new cases in India, the region's equity market sustained its strength, supported by strong outlook for the region, with the IMF’s growth forecast of 12.5% for India in FY22. In terms of year-to-date return, Indian hedge funds were up 6.55%, outperforming their Greater China counterpart which gained 3.62% over the first four months of 2021. The Eurekahedge Event Driven Hedge Fund Index returned 3.03% in April, recording its second consecutive month of outperformance against its major strategic peers. The recent pick-up in activity of the merger and acquisition space contributed to the performance of fund managers, with the S&P Merger Arbitrage Index gaining 2.07% during the month. On a year-to-date basis, event driven fund managers were up 9.90% as of April 2021, with the top decile gaining 21.40% on average. Fund managers focusing on cryptocurrencies were up 13.30% in April as tracked by the Eurekahedge Crypto-Currency Hedge Fund Index, outperforming Bitcoin which was down 9.32% over the same period. In terms of 2021 return, cryptocurrency hedge funds gained 141.193%, outperforming Bitcoin which returned 85.13% over the first four months of the year.

Below are the key highlights for the month of April 2021

Hedge fund managers were up 2.13% in April, supported by the strong performance of the global equity market which returned 3.53% during the month. In terms of 2021 performance, global hedge funds were up 4.79%, recording their strongest April year-to-date return since 2006 despite the ongoing pandemic. Around 75% of the constituents of the Eurekahedge Hedge Fund Index generated positive returns in 2021.
On an asset-weighted basis, hedge funds were up 2.89% in April, as captured by the Eurekahedge Asset Weighted Hedge Fund Index (USD). In terms of 2021 performance, the index is only up 3.91%, highlighting the underperformances of larger hedge funds against their smaller peers over the year.
The Eurekahedge North American Hedge Fund Index was up 2.13% in April, as strong corporate earnings and the Fed’s encouraging statement boosted the performance of the equity market in the region. On a year-to-date basis, North American hedge funds were up 8.92% as of April 2021, with more than a quarter of them generating a double-digit return and the top decile gaining 19.90% of return on average.
The Eurekahedge CTA/Managed Futures Hedge Fund Index was up 2.25% in April, bringing its year-to-date return to 4.90%. The speedy rollout of the COVID-19 vaccine and gradual recovery of the global economy to normalcy has led commodity prices to increase. The energy prices have returned to their pre-COVID-19 level which supported the positive performance of fund managers in the recent period. As captured by the Eurekahedge database, more than two-thirds of CTA/managed futures hedge funds have reported a positive return over the first four months of 2021, while around 15% of them have maintained a double-digit return.
The Eurekahedge Indian Hedge Fund Index was up 1.64% in April, outperforming the BSE Index by 3.10% during the month. Despite the extreme surge in new cases in India, the region's equity market sustained its strength, supported by strong outlook for the region, with the IMF’s growth forecast of 12.5% for India in FY22. In terms of year-to-date return, Indian hedge funds were up 6.55%, outperforming their Greater China counterpart which gained 3.62% over the first four months of 2021.
The Eurekahedge Event Driven Hedge Fund Index returned 3.03% in April, recording its second consecutive month of outperformance against its major strategic peers. The recent pick-up in activity of the merger and acquisition space contributed to the performance of fund managers, with the S&P Merger Arbitrage Index gaining 2.07% during the month. On a year-to-date basis, event driven fund managers were up 9.90% as of April 2021, with the top decile gaining 21.40% on average.
Fund managers focusing on cryptocurrencies were up 13.30% in April as tracked by the Eurekahedge Crypto-Currency Hedge Fund Index, outperforming Bitcoin which was down 9.32% over the same period. In terms of 2021 return, cryptocurrency hedge funds gained 141.193%, outperforming Bitcoin which returned 85.13% over the first four months of the year.

Index of the Month	Apr 2021*	2021 Returns	2020 Returns
Eurekahedge Event Driven Hedge Fund Index	3.03	9.90	8.63

Main Indices

Main Eurekahedge Indices	Apr 2021*	2021 Returns	2020 Returns
Eurekahedge Hedge Fund Index	2.13	6.96	12.67
Eurekahedge Fund of Funds Index	1.99	5.87	11.77
Eurekahedge Long-only Absolute Return Fund Index	2.67	8.03	12.81

Regional Indices

Eurekahedge Regional Indices	Apr 2021*	2021 Returns	2020 Returns
Eurekahedge North American Hedge Fund Index	2.39	8.92	15.45
Eurekahedge European Hedge Fund Index	1.64	5.53	4.47
Eurekahedge Eastern Europe & Russia Hedge Fund Index	1.92	3.37	-2.59
Eurekahedge Japan Hedge Fund Index	-1.22	4.88	1.62
Eurekahedge Emerging Markets Hedge Fund Index	1.71	3.35	16.78
Eurekahedge Asia ex Japan Hedge Fund Index	2.48	5.20	22.96
Eurekahedge Latin American Hedge Fund Index	2.21	1.10	4.45

North American fund managers returned 2.39% in April, outperforming their European counterparts who returned 1.64%. The strong corporate earnings, Fed’s reassurance on their monetary policy and Biden’s administration stimulus have supported the equity market in the region, with the NASDAQ and S&P 500 up 5.40% and 5.24% over the month. In the same vein, Asia ex-Japan fund managers were also up 1.37% in April and up 5.20% in 2021.

Strategy Indices

Returns were mostly positive across strategic mandates in April with strategies exposed to equities leading the group while event driven and long/short equities mandates were up 3.03% and 2.59% respectively. In contrast, the credit-focused strategy underperformed their peers as the distressed debt and fixed income hedge funds gained -3.78% and 0.71% respectively.

Table 1: Strategy return map

Eurekahedge Strategy Indices	Apr 2021*	2021 Returns	2020 Returns
Eurekahedge Arbitrage Hedge Fund Index	1.06	2.80	11.68
Eurekahedge CTA/Managed Futures Hedge Fund Index	2.25	4.90	7.23
Eurekahedge Distressed Debt Hedge Fund Index	-3.78	1.18	6.32
Eurekahedge Event Driven Hedge Fund Index	3.03	9.90	8.63
Eurekahedge Fixed Income Hedge Fund Index	0.71	2.61	5.31
Eurekahedge Long Short Equities Hedge Fund Index	2.59	8.54	17.77
Eurekahedge Macro Hedge Fund Index	1.84	4.05	11.10
Eurekahedge Multi-Strategy Hedge Fund Index	1.49	4.66	7.77
Eurekahedge Relative Value Hedge Fund Index	1.14	4.60	9.59
CBOE Eurekahedge Long Volatility Hedge Fund Index	-1.19	-4.61	25.41
CBOE Eurekahedge Relative Value Volatility Hedge Fund Index	1.20	3.32	5.66
CBOE Eurekahedge Short Volatility Hedge Fund Index	0.34	5.12	-0.80
CBOE Eurekahedge Tail Risk Hedge Fund Index	-0.69	-3.26	34.84
Eurekahedge Equity Long Bias Hedge Fund Index	2.88	10.60	14.81
Eurekahedge Equity Market Neutral Hedge Fund Index	1.54	4.93	3.69
Eurekahedge Trend Following Index	1.94	8.57	11.98
Eurekahedge FX Hedge Fund Index	-0.31	1.57	0.96
Eurekahedge Commodity Hedge Fund Index	4.61	6.63	11.19
Eurekahedge Crypto-Currency Hedge Fund Index	13.30	141.93	200.17
Eurekahedge AI Hedge Fund Index	3.70	1.75	11.24
Eurekahedge ILS Advisers Index	0.13	-0.11	3.48

Eurekahedge Global Hedge Fund Indices by Fund Size	Apr 2021*	2021 Returns	2020 Returns
Eurekahedge Small Hedge Fund Index (< US$100m)	1.70	6.68	13.04
Eurekahedge Medium Hedge Fund Index (US$100m - US$500m)	2.56	7.28	11.70
Eurekahedge Large Hedge Fund Index (> US$500m)	2.46	6.12	6.97
Eurekahedge Billion Dollar Hedge Fund Index	1.76	4.19	5.31

Eurekahedge Asset Weighted Indices	Apr 2021*	2021 Returns	2020 Returns
Eurekahedge Asset Weighted Index – USD	2.89	3.91	4.47
Eurekahedge TOP100 Asset Weighted Index – USD	2.83	2.69	1.71
Eurekahedge TOP300 Asset Weighted Index - USD	2.84	3.36	3.12

Asia-Eurekahedge Indices	Apr 2021*	2021 Returns	2020 Returns
Eurekahedge Greater China Hedge Fund Index	2.15	3.62	35.34
Eurekahedge India Hedge Fund Index	1.64	6.55	19.88

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