Indices

Index Flash Update - 13 July 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 H1 performance since 2009 and extended streak of consecutive positive returns to nine months
The Eurekahedge Hedge Fund Index was up 0.15% in June 2021, trailing behind the global equity market as represented by the MSCI ACWI (Local) which gained 1.93% over the same period. Covid-related mobility restrictions in most developed markets continued to be progressively relaxed, providing support to the reopening of their economies. The quick rebound in economic activity led to increased inflation in some countries, most evidently in the United States where in May, the US consumer price index increased by 5.0% year-on-year which is the highest level since August 2008. This has led to fears that the higher inflation figure could compel the Federal Reserve to tighten monetary policy earlier than expected. Although the Federal Reserve considers the rise in inflation to be transitory, they have started to discuss the possibility of rate hikes with the median FOMC participant expecting two rate hikes in 2023. The S&P 500 and NASDAQ closed the first half of 2021 at or near record highs, rising by 2.22% and 5.49% in June respectively, supported by the rebound in economic activity as more people return to work. Over in Europe, returns were mostly positive among equity benchmarks in the region with the CAC 40 and DAX index taking the lead with gains of 0.94% and 0.71% respectively. The increased pace of vaccination in Europe has led to increased optimism for a more sustained reopening of economic activity in the second half of the year. Returns were mostly positive across geographic mandates in June with Asia ex-Japan and emerging market hedge funds in the lead with returns of 2.04% and 1.20% respectively. Across strategies, distressed debt and arbitrage outperformed their strategic peers with returns of 4.30% and 0.70% respectively throughout the month.

Hedge funds recorded their best H1 performance since 2009 and extended streak of consecutive positive returns to nine months

The Eurekahedge Hedge Fund Index was up 0.15% in June 2021, trailing behind the global equity market as represented by the MSCI ACWI (Local) which gained 1.93% over the same period. Covid-related mobility restrictions in most developed markets continued to be progressively relaxed, providing support to the reopening of their economies. The quick rebound in economic activity led to increased inflation in some countries, most evidently in the United States where in May, the US consumer price index increased by 5.0% year-on-year which is the highest level since August 2008. This has led to fears that the higher inflation figure could compel the Federal Reserve to tighten monetary policy earlier than expected. Although the Federal Reserve considers the rise in inflation to be transitory, they have started to discuss the possibility of rate hikes with the median FOMC participant expecting two rate hikes in 2023. The S&P 500 and NASDAQ closed the first half of 2021 at or near record highs, rising by 2.22% and 5.49% in June respectively, supported by the rebound in economic activity as more people return to work. Over in Europe, returns were mostly positive among equity benchmarks in the region with the CAC 40 and DAX index taking the lead with gains of 0.94% and 0.71% respectively. The increased pace of vaccination in Europe has led to increased optimism for a more sustained reopening of economic activity in the second half of the year. Returns were mostly positive across geographic mandates in June with Asia ex-Japan and emerging market hedge funds in the lead with returns of 2.04% and 1.20% respectively. Across strategies, distressed debt and arbitrage outperformed their strategic peers with returns of 4.30% and 0.70% respectively throughout the month.

Below are the key highlights for the month of June 2021
Hedge fund managers were up 0.15% in June, trailing behind the global equity market as represented by the MSCI ACWI (Local) which gained 1.93% during the month. In terms of 2021 performance, global hedge funds were up 7.95%, recording the strongest June year-to-date return since 2009 despite the ongoing pandemic. Around 81.1% of the constituents of the Eurekahedge Hedge Fund Index generated positive returns in 2021. On an asset-weighted basis, hedge funds were down 1.00% in June, as captured by the Eurekahedge Asset Weighted Hedge Fund Index - USD. Eurekahedge Asset Weighted Index – USD. In terms of 2021 performance, the index is only up 3.70%, highlighting the struggles for some of the larger asset managers over the year. The Eurekahedge North American Hedge Fund Index was up 1.14% in June, supported by the strong performance of the S&P 500 and NASDAQ which returned 2.22% and 5.49% respectively. In terms of 2021 performance, North American hedge funds have returned 11.43%, outperforming their regional peers as the economy continues its reopening and more people are returning to work. The Eurekahedge Asia ex Japan Hedge Fund Index was up 2.04% in June, recording the best monthly performance among the regional indices. In terms of 2021 performance, Asia ex-Japan hedge funds have returned 8.95%, outperforming all of their regional peers except their North American counterparts which returned 11.43% over the same period. The Eurekahedge Distressed Debt Hedge Fund Index gained 4.30% in June, recording their best monthly return in 2021. In terms of 2021 performance, distressed debt hedge funds outperformed all of their main strategic peers and were up 13.08%, recording their strongest June year-to-date return since 2003. The Eurekahedge Long Short Equities Hedge Fund Index was up 0.57% in June, extending their streak of consecutive positive returns to nine months. In terms of 2021 performance, long/short equities hedge funds have returned 10.35%, recording their strongest June year-to-date return since 2009. The Eurekahedge Indian Hedge Fund Index was up 1.73% in June, outperforming the BSE SENSEX index which gained 1.05% over the month. Despite the stubbornly high numbers of new COVID-19 cases in India driven by the Delta variant, the OECD has projected India's economy to expand by 9.9% and become the fastest-growing G20 economy in 2021. In terms of 2021 performance, Indian hedge funds were up 14.97%, outperforming their Greater China counterparts which returned 7.43% over the first six months of 2021. Fund managers focusing on cryptocurrencies were down 13.33% in June as tracked by the Eurekahedge Crypto-Currency Hedge Fund Index , trailing behind Bitcoin which gained 0.55% over the same period. In terms of 2021 return, cryptocurrency hedge funds have gained 77.05%, outperforming Bitcoin which returned 24.95% over the first six months of the year.

Below are the key highlights for the month of June 2021

Hedge fund managers were up 0.15% in June, trailing behind the global equity market as represented by the MSCI ACWI (Local) which gained 1.93% during the month. In terms of 2021 performance, global hedge funds were up 7.95%, recording the strongest June year-to-date return since 2009 despite the ongoing pandemic. Around 81.1% of the constituents of the Eurekahedge Hedge Fund Index generated positive returns in 2021.
On an asset-weighted basis, hedge funds were down 1.00% in June, as captured by the Eurekahedge Asset Weighted Hedge Fund Index - USD. Eurekahedge Asset Weighted Index – USD. In terms of 2021 performance, the index is only up 3.70%, highlighting the struggles for some of the larger asset managers over the year.
The Eurekahedge North American Hedge Fund Index was up 1.14% in June, supported by the strong performance of the S&P 500 and NASDAQ which returned 2.22% and 5.49% respectively. In terms of 2021 performance, North American hedge funds have returned 11.43%, outperforming their regional peers as the economy continues its reopening and more people are returning to work.
The Eurekahedge Asia ex Japan Hedge Fund Index was up 2.04% in June, recording the best monthly performance among the regional indices. In terms of 2021 performance, Asia ex-Japan hedge funds have returned 8.95%, outperforming all of their regional peers except their North American counterparts which returned 11.43% over the same period.
The Eurekahedge Distressed Debt Hedge Fund Index gained 4.30% in June, recording their best monthly return in 2021. In terms of 2021 performance, distressed debt hedge funds outperformed all of their main strategic peers and were up 13.08%, recording their strongest June year-to-date return since 2003.
The Eurekahedge Long Short Equities Hedge Fund Index was up 0.57% in June, extending their streak of consecutive positive returns to nine months. In terms of 2021 performance, long/short equities hedge funds have returned 10.35%, recording their strongest June year-to-date return since 2009.
The Eurekahedge Indian Hedge Fund Index was up 1.73% in June, outperforming the BSE SENSEX index which gained 1.05% over the month. Despite the stubbornly high numbers of new COVID-19 cases in India driven by the Delta variant, the OECD has projected India's economy to expand by 9.9% and become the fastest-growing G20 economy in 2021. In terms of 2021 performance, Indian hedge funds were up 14.97%, outperforming their Greater China counterparts which returned 7.43% over the first six months of 2021.
Fund managers focusing on cryptocurrencies were down 13.33% in June as tracked by the Eurekahedge Crypto-Currency Hedge Fund Index , trailing behind Bitcoin which gained 0.55% over the same period. In terms of 2021 return, cryptocurrency hedge funds have gained 77.05%, outperforming Bitcoin which returned 24.95% over the first six months of the year.

Index of the Month	Jun 2021*	2021 Returns	2020 Returns
Eurekahedge Distressed Debt Hedge Fund Index	4.30	13.08	6.12

Main Indices

Main Eurekahedge Indices	Jun 2021*	2021 Returns	2020 Returns
Eurekahedge Hedge Fund Index	0.15	7.95	12.67
Eurekahedge Fund of Funds Index	0.15	6.11	11.78
Eurekahedge Long-only Absolute Return Fund Index	1.79	12.94	12.84

Regional Indices

Eurekahedge Regional Indices	Jun 2021*	2021 Returns	2020 Returns
Eurekahedge North American Hedge Fund Index	1.14	11.43	15.45
Eurekahedge European Hedge Fund Index	0.03	6.12	4.46
Eurekahedge Eastern Europe & Russia Hedge Fund Index	-1.41	6.45	-2.59
Eurekahedge Japan Hedge Fund Index	0.06	6.11	1.61
Eurekahedge Emerging Markets Hedge Fund Index	1.20	6.70	16.77
Eurekahedge Asia ex Japan Hedge Fund Index	2.04	8.95	23.12
Eurekahedge Latin American Hedge Fund Index	1.01	3.81	4.06

Asia ex Japan hedge fund managers returned 2.04% in June, outperforming all regional peers as their closest rivals among the main regional indices – the emerging markets and North American hedge fund managers returned 1.20% and 1.14% in June respectively. European hedge fund managers struggled in June with a return of only 0.03% as persistent concerns over the coronavirus pandemic and rising inflation dampened investors’ optimism with the pan-European Euro Stoxx 50 up 0.61% and the FTSE All Share Index down 0.03% over the month.

Strategy Indices

Returns were mostly positive across strategic mandates in June, with the distressed debt and arbitrage mandates posting the highest returns of 4.30% and 0.70% respectively. On the other end of the spectrum, the macro, CTA/managed futures and event driven mandates posted negative returns in June as they returned -0.83%, -0.68% and -0.17% respectively.

Table 1: Strategy return map

Eurekahedge Strategy Indices	Jun 2021*	2021 Returns	2020 Returns
Eurekahedge Arbitrage Hedge Fund Index	0.70	3.62	11.68
Eurekahedge CTA/Managed Futures Hedge Fund Index	-0.68	5.76	7.20
Eurekahedge Distressed Debt Hedge Fund Index	4.30	13.08	6.12
Eurekahedge Event Driven Hedge Fund Index	-0.17	10.43	8.73
Eurekahedge Fixed Income Hedge Fund Index	0.48	3.78	5.26
Eurekahedge Long Short Equities Hedge Fund Index	0.57	10.35	17.84
Eurekahedge Macro Hedge Fund Index	-0.83	4.02	11.25
Eurekahedge Multi-Strategy Hedge Fund Index	0.51	6.35	7.62
Eurekahedge Relative Value Hedge Fund Index	0.25	6.10	9.47
CBOE Eurekahedge Long Volatility Hedge Fund Index	-1.19	-6.11	25.41
CBOE Eurekahedge Relative Value Volatility Hedge Fund Index	1.87	4.60	5.66
CBOE Eurekahedge Short Volatility Hedge Fund Index	1.10	7.23	-0.80
CBOE Eurekahedge Tail Risk Hedge Fund Index	-0.10	-3.90	34.84
Eurekahedge Equity Long Bias Hedge Fund Index	1.41	13.56	14.91
Eurekahedge Equity Market Neutral Hedge Fund Index	0.49	6.40	3.69
Eurekahedge Trend Following Index	-1.50	8.39	11.29
Eurekahedge FX Hedge Fund Index	-0.87	1.49	0.95
Eurekahedge Commodity Hedge Fund Index	-0.20	9.32	11.19
Eurekahedge Crypto-Currency Hedge Fund Index	-13.33	77.05	200.17
Eurekahedge AI Hedge Fund Index	-0.84	-0.06	11.24
Eurekahedge ILS Advisers Index	0.54	1.17	3.48

Eurekahedge Global Hedge Fund Indices by Fund Size	Jun 2021*	2021 Returns	2020 Returns
Eurekahedge Small Hedge Fund Index (< US$100m)	0.17	8.06	13.27
Eurekahedge Medium Hedge Fund Index (US$100m - US$500m)	-0.01	8.02	11.72
Eurekahedge Large Hedge Fund Index (> US$500m)	0.40	6.56	7.29
Eurekahedge Billion Dollar Hedge Fund Index	0.49	5.45	5.62

Eurekahedge Asset Weighted Indices	Jun 2021*	2021 Returns	2020 Returns
Eurekahedge Asset Weighted Index – USD	-1.00	3.70	4.47
Eurekahedge TOP100 Asset Weighted Index – USD	-1.09	2.14	1.71
Eurekahedge TOP300 Asset Weighted Index - USD	-1.03	2.98	3.12

Asia-Eurekahedge Indices	Jun 2021*	2021 Returns	2020 Returns
Eurekahedge Greater China Hedge Fund Index	1.94	7.43	35.57
Eurekahedge India Hedge Fund Index	1.73	14.97	19.88

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