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Index Flash Update - 10 August 2021

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Hedge funds snap nine-month winning streak as the spread of the Delta variant and the Chinese regulatory crackdown unsettles investors
The Eurekahedge Hedge Fund Index was down 0.13% in July 2021, trailing behind the global equity market as represented by the MSCI ACWI (Local) which gained 0.40% over the same period. The global economy continued to recover as steady progress of the vaccination rollout enabled mobility restrictions in several major developed markets to be relaxed further. However, the spread of the Delta variant of COVID-19 has raised concerns that the economic momentum would not be sustainable. In addition, the Chinese authorities imposed a crackdown on technology and education companies which unsettled investors and led to a sharp decline in Chinese equities in July – the CSI 300 Index and Hang Seng Index posted returns of -7.90% and -9.94% respectively. Nevertheless, strong corporate earnings in the United States have enabled US equities to perform well in July with the S&P 500 and DJIA gaining 2.27% and 1.25% respectively. Over in Europe, returns were mostly positive among equity benchmarks in the region with the CAC 40 and Euro Stoxx 50 taking the lead with gains of 1.61% and 0.62% respectively. The increasing share of people fully vaccinated against COVID-19 boosted hopes that lockdowns would not be necessary despite the rising cases of the Delta variant. Returns were mostly negative across geographic mandates in July with European hedge funds in the lead with a return of 0.61% while Asia ex Japan and North American hedge funds posted returns of -0.11% and -0.31% respectively. Across strategies, distressed debt and CTA/Managed Futures outperformed their strategic peers with returns of 0.72% and 0.30% respectively throughout the month.

Hedge funds snap nine-month winning streak as the spread of the Delta variant and the Chinese regulatory crackdown unsettles investors

The Eurekahedge Hedge Fund Index was down 0.13% in July 2021, trailing behind the global equity market as represented by the MSCI ACWI (Local) which gained 0.40% over the same period. The global economy continued to recover as steady progress of the vaccination rollout enabled mobility restrictions in several major developed markets to be relaxed further. However, the spread of the Delta variant of COVID-19 has raised concerns that the economic momentum would not be sustainable. In addition, the Chinese authorities imposed a crackdown on technology and education companies which unsettled investors and led to a sharp decline in Chinese equities in July – the CSI 300 Index and Hang Seng Index posted returns of -7.90% and -9.94% respectively. Nevertheless, strong corporate earnings in the United States have enabled US equities to perform well in July with the S&P 500 and DJIA gaining 2.27% and 1.25% respectively. Over in Europe, returns were mostly positive among equity benchmarks in the region with the CAC 40 and Euro Stoxx 50 taking the lead with gains of 1.61% and 0.62% respectively. The increasing share of people fully vaccinated against COVID-19 boosted hopes that lockdowns would not be necessary despite the rising cases of the Delta variant. Returns were mostly negative across geographic mandates in July with European hedge funds in the lead with a return of 0.61% while Asia ex Japan and North American hedge funds posted returns of -0.11% and -0.31% respectively. Across strategies, distressed debt and CTA/Managed Futures outperformed their strategic peers with returns of 0.72% and 0.30% respectively throughout the month.

Below are the key highlights for the month of July 2021
Hedge fund managers were down 0.13% in July, trailing behind the global equity market as represented by the MSCI ACWI (Local) which gained 0.40% during the month. In terms of 2021 performance, global hedge funds were up 7.97%, recording the strongest July year-to-date return since 2009 despite the ongoing pandemic. Around 78.1% of the constituents of the Eurekahedge Hedge Fund Index generated positive returns in 2021. On an asset-weighted basis, hedge funds were up 0.26% in July, as captured by the Eurekahedge Asset Weighted Index – USD. In terms of 2021 performance, the index is only up 4.22%, highlighting the struggles for some of the larger asset managers over the year. The Eurekahedge North American Hedge Fund Index returned -0.31% in July, trailing behind the S&P 500 and DJIA which returned 2.27% and 1.25% respectively. In terms of 2021 performance, North American hedge funds have returned 11.02% - posting the highest 2021 YTD return among the regional indices. The Eurekahedge Asia ex Japan Hedge Fund Index returned -0.11% in July, strongly outperforming the MSCI AC Asia Pacific Ex Japan Index which returned -5.32%. Asia ex Japan equities were negatively impacted in July after a crackdown by Chinese authorities on technology and education companies caused Chinese equities to decline sharply – the CSI 300 and Hang Seng Index posted returns of -7.90% and -9.94% respectively. In terms of 2021 performance, Asia ex Japan hedge funds have returned 7.74% - posting the second highest 2021 YTD return among the regional indices The Eurekahedge European Hedge Fund Index returned 0.61% in July supported by the positive performance of the pan-European Euro Stoxx 50 which returned 0.62%. The increasing share of people fully vaccinated against COVID-19 boosted hopes that lockdowns would not be necessary despite the rising cases of the Delta variant. In terms of 2021 performance, European hedge funds have returned 6.70% - posting the third highest 2021 YTD return among the regional indices. The Eurekahedge Distressed Debt Hedge Fund Index gained 0.72% in July, extending their streak of consecutive positive monthly returns to ten months. In terms of 2021 performance, distressed debt hedge funds outperformed all of their main strategic peers and were up 11.10%, recording their strongest July year-to-date return since 2009. The Eurekahedge CTA/Managed Futures Hedge Fund Index returned 0.30% in July, supported by the strong return of the S&P GSCI Index which returned 1.57%. Industrial metals was the best performing component in July, posting a return of 3.52% while precious metals posted a return of 1.81%. In terms of 2021 performance, CTA/Managed Futures hedge funds have returned 6.13%, underperforming the S&P GSCI Index which have returned 33.47% over the first seven months of 2021. Fund managers focusing on cryptocurrencies were up 11.52% in July as tracked by the Eurekahedge Crypto-Currency Hedge Fund Index , trailing behind Bitcoin which gained 14.50% over the same period. In terms of 2021 return, cryptocurrency hedge funds have gained 107.02%, outperforming Bitcoin which returned 43.06% over the first seven months of the year.

Below are the key highlights for the month of July 2021

Hedge fund managers were down 0.13% in July, trailing behind the global equity market as represented by the MSCI ACWI (Local) which gained 0.40% during the month. In terms of 2021 performance, global hedge funds were up 7.97%, recording the strongest July year-to-date return since 2009 despite the ongoing pandemic. Around 78.1% of the constituents of the Eurekahedge Hedge Fund Index generated positive returns in 2021.
On an asset-weighted basis, hedge funds were up 0.26% in July, as captured by the Eurekahedge Asset Weighted Index – USD. In terms of 2021 performance, the index is only up 4.22%, highlighting the struggles for some of the larger asset managers over the year.
The Eurekahedge North American Hedge Fund Index returned -0.31% in July, trailing behind the S&P 500 and DJIA which returned 2.27% and 1.25% respectively. In terms of 2021 performance, North American hedge funds have returned 11.02% - posting the highest 2021 YTD return among the regional indices.
The Eurekahedge Asia ex Japan Hedge Fund Index returned -0.11% in July, strongly outperforming the MSCI AC Asia Pacific Ex Japan Index which returned -5.32%. Asia ex Japan equities were negatively impacted in July after a crackdown by Chinese authorities on technology and education companies caused Chinese equities to decline sharply – the CSI 300 and Hang Seng Index posted returns of -7.90% and -9.94% respectively. In terms of 2021 performance, Asia ex Japan hedge funds have returned 7.74% - posting the second highest 2021 YTD return among the regional indices
The Eurekahedge European Hedge Fund Index returned 0.61% in July supported by the positive performance of the pan-European Euro Stoxx 50 which returned 0.62%. The increasing share of people fully vaccinated against COVID-19 boosted hopes that lockdowns would not be necessary despite the rising cases of the Delta variant. In terms of 2021 performance, European hedge funds have returned 6.70% - posting the third highest 2021 YTD return among the regional indices.
The Eurekahedge Distressed Debt Hedge Fund Index gained 0.72% in July, extending their streak of consecutive positive monthly returns to ten months. In terms of 2021 performance, distressed debt hedge funds outperformed all of their main strategic peers and were up 11.10%, recording their strongest July year-to-date return since 2009.
The Eurekahedge CTA/Managed Futures Hedge Fund Index returned 0.30% in July, supported by the strong return of the S&P GSCI Index which returned 1.57%. Industrial metals was the best performing component in July, posting a return of 3.52% while precious metals posted a return of 1.81%. In terms of 2021 performance, CTA/Managed Futures hedge funds have returned 6.13%, underperforming the S&P GSCI Index which have returned 33.47% over the first seven months of 2021.
Fund managers focusing on cryptocurrencies were up 11.52% in July as tracked by the Eurekahedge Crypto-Currency Hedge Fund Index , trailing behind Bitcoin which gained 14.50% over the same period. In terms of 2021 return, cryptocurrency hedge funds have gained 107.02%, outperforming Bitcoin which returned 43.06% over the first seven months of the year.

Index of the Month	Jul 2021*	2021 Returns	2020 Returns
Eurekahedge Crypto-Currency Hedge Fund Index	11.52	107.02	200.17

Main Indices

Main Eurekahedge Indices	Jul 2021*	2021 Returns	2020 Returns
Eurekahedge Hedge Fund Index	-0.13	7.97	12.70
Eurekahedge Fund of Funds Index	-0.21	5.78	11.79
Eurekahedge Long-only Absolute Return Fund Index	-0.26	12.30	12.83

Regional Indices

Eurekahedge Regional Indices	Jul 2021*	2021 Returns	2020 Returns
Eurekahedge North American Hedge Fund Index	-0.31	11.02	15.49
Eurekahedge European Hedge Fund Index	0.61	6.70	4.46
Eurekahedge Japan Hedge Fund Index	-0.66	6.15	1.61
Eurekahedge Emerging Markets Hedge Fund Index	-1.34	4.96	16.90
Eurekahedge Asia ex Japan Hedge Fund Index	-0.11	7.74	23.31
Eurekahedge Latin American Hedge Fund Index	-3.38	0.43	4.06

European hedge fund managers returned 0.61% in July, outperforming their North American counterparts who returned -0.31% despite the S&P500 outperforming the pan-European Euro Stoxx 50 for the month – the S&P 500 gained 2.27% in July while the Euro Stoxx 50 returned 0.62%. Asia ex Japan hedge fund managers ended the month of July slightly lower with a return of -0.11%, strongly outperforming the MSCI AC Asia Pacific Ex Japan Index which returned -5.32% as Chinese stock markets retreated significantly after reforms to the private tutoring sector triggered volatility towards the end of July.

Strategy Indices

Returns were mixed across strategic mandates in July with the distressed debt and CTA/Managed Futures mandates gaining 0.72% and 0.30% respectively, extending their year-to-date returns to 11.10% and 6.13% respectively. On the other end of the spectrum, the event driven and long short equities mandates returned -0.66% and -0.58% respectively in July, reducing their year-to-date returns to 10.14% and 9.74% respectively.

Table 1: Strategy return map

Eurekahedge Strategy Indices	Jul 2021*	2021 Returns	2020 Returns
Eurekahedge Arbitrage Hedge Fund Index	-0.32	2.77	11.68
Eurekahedge CTA/Managed Futures Hedge Fund Index	0.30	6.13	7.41
Eurekahedge Distressed Debt Hedge Fund Index	0.72	11.10	6.12
Eurekahedge Event Driven Hedge Fund Index	-0.66	10.14	8.73
Eurekahedge Fixed Income Hedge Fund Index	-0.01	3.77	5.28
Eurekahedge Long Short Equities Hedge Fund Index	-0.58	9.74	17.86
Eurekahedge Macro Hedge Fund Index	-0.01	4.59	11.24
Eurekahedge Multi-Strategy Hedge Fund Index	0.09	6.79	7.66
Eurekahedge Relative Value Hedge Fund Index	-0.06	6.12	9.47
CBOE Eurekahedge Long Volatility Hedge Fund Index	-0.61	-7.15	25.41
CBOE Eurekahedge Relative Value Volatility Hedge Fund Index	-1.24	1.28	5.66
CBOE Eurekahedge Short Volatility Hedge Fund Index	0.13	7.31	-0.80
CBOE Eurekahedge Tail Risk Hedge Fund Index	-0.91	-5.87	34.84
Eurekahedge Equity Long Bias Hedge Fund Index	-0.39	12.98	14.93
Eurekahedge Equity Market Neutral Hedge Fund Index	0.43	6.18	3.69
Eurekahedge Trend Following Index	0.42	8.70	11.29
Eurekahedge FX Hedge Fund Index	3.31	4.80	0.95
Eurekahedge Commodity Hedge Fund Index	-0.48	8.69	11.19
Eurekahedge Crypto-Currency Hedge Fund Index	11.52	107.02	200.17
Eurekahedge AI Hedge Fund Index	1.55	1.53	11.24
Eurekahedge ILS Advisers Index	0.58	1.54	3.48

Eurekahedge Global Hedge Fund Indices by Fund Size	Jul 2021*	2021 Returns	2020 Returns
Eurekahedge Small Hedge Fund Index (< US$100m)	-0.16	8.16	13.24
Eurekahedge Medium Hedge Fund Index (US$100m - US$500m)	-0.22	7.95	11.73
Eurekahedge Large Hedge Fund Index (> US$500m)	0.53	7.21	7.29
Eurekahedge Billion Dollar Hedge Fund Index	0.74	6.35	5.60

Eurekahedge Asset Weighted Indices	Jul 2021*	2021 Returns	2020 Returns
Eurekahedge Asset Weighted Index – USD	0.26	4.22	4.47
Eurekahedge TOP100 Asset Weighted Index – USD	0.57	2.99	1.71
Eurekahedge TOP300 Asset Weighted Index - USD	0.28	3.70	3.12

Asia-Eurekahedge Indices	Jul 2021*	2021 Returns	2020 Returns
Eurekahedge Greater China Hedge Fund Index	-0.46	5.71	35.89
Eurekahedge India Hedge Fund Index	5.09	21.13	19.88

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