Hedge funds down 0.33% in September as rising inflation and hawkish central bank communications dampened investor risk-on sentiment |
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The Eurekahedge Hedge Fund Index was down 0.33% in September 2021, outperforming the global equity market as represented by the MSCI ACWI (Local) which returned -3.55% over the same period. Concerns over rising inflation continue to weigh on markets with the Federal Reserve raising its inflation forecast of the year to 4.2%, up from the previous estimate of 3.4%, driven by supply chain bottlenecks and the developing energy crisis in Europe and China which has pushed energy prices up by 11.60% in September. Compounding matters further, the OPEC+ decided to keep the supplies of oil tight leading to a surge in oil prices, with Brent crude oil and West Texas Intermediate crude oil up 9.52% and 9.91% in September respectively. In addition, the Federal Reserve announced that the tapering of quantitative easing would likely begin in November 2021 and finish by mid-2022, bringing an end to their bond buying programme. Against this backdrop, the 10-year US Treasury gained 19bp, the most since March 2021. The heightened risk aversion led to sharp declines in major US equity indices, with the NASDAQ, S&P500 and DJIA down 5.31%, 4.76% and 4.29% respectively. Over in Europe, returns were negative among equity benchmarks in the region with the DAX, Euro Stoxx 50 and CAC 40 down 3.63%, 3.53% and 2.40% respectively. The ongoing energy crisis as well as the political uncertainty post-Germany elections dampened market risk-on sentiment. Despite the challenges in Europe, the European Central Bank revised economic projections upward and aimed for a moderately lower pace of net asset purchases under the pandemic emergency purchase programme in the fourth quarter. Returns were mixed across geographic mandates in September with Japanese hedge funds leading the group with a return of 2.76% while Emerging Markets and Latin American hedge funds trailed behind their regional peers with returns of -0.68% and -1.79% respectively. Across strategies, distressed debt, arbitrage and event driven outperformed their strategic peers with returns of 1.02%, 0.56% and 0.54% respectively throughout the month. |
Below are the key highlights for the month of September 2021 |
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Index of the Month |
Sep 2021* |
2021 Returns | 2020 Returns |
---|---|---|---|
Eurekahedge Commodity Hedge Fund Index | 2.81 | 12.85 | 11.19 |
Main Indices
Main Eurekahedge Indices |
Sep 2021* |
2021 Returns | 2020 Returns |
---|---|---|---|
Eurekahedge Hedge Fund Index | -0.33 | 8.27 | 12.82 |
Eurekahedge Fund of Funds Index | -0.29 | 7.00 | 11.74 |
Eurekahedge Long-only Absolute Return Fund Index | -1.54 | 11.72 | 12.80 |
Regional Indices
Eurekahedge Regional Indices |
Sep 2021* |
2021 Returns | 2020 Returns |
---|---|---|---|
Eurekahedge North American Hedge Fund Index | -0.15 | 11.71 | 15.40 |
Eurekahedge European Hedge Fund Index | -0.05 | 7.71 | 4.64 |
Eurekahedge Eastern Europe & Russia Hedge Fund Index | 0.74 | 12.83 | -2.59 |
Eurekahedge Japan Hedge Fund Index | 2.76 | 10.25 | 1.61 |
Eurekahedge Emerging Markets Hedge Fund Index | -0.68 | 4.05 | 16.75 |
Eurekahedge Asia ex Japan Hedge Fund Index | -0.27 | 6.49 | 22.79 |
Eurekahedge Latin American Hedge Fund Index | -1.79 | -0.50 | 4.06 |
Japanese hedge fund managers posted the highest return of 2.76% in September, outperforming their North American and European counterparts who returned -0.15% and -0.05% respectively. The robust performance of the Nikkei 225 which returned 4.85% supported the performance of Japanese hedge funds. On the other end of the spectrum, Latin American hedge funds posted the lowest return of -1.79% in September as returns were negatively affected by the poor equity market performance in the region, as seen in the -6.48% return of the MSCI EM Latin America Index IMI.
Strategy Indices
Returns were mixed across strategic mandates in September with the distressed debt, arbitrage and event driven mandates gaining 1.02%, 0.56% and 0.54% respectively, extending their year-to-date returns to 13.14%, 3.49% and 11.47% respectively. On the other end of the spectrum, the relative value and long short equities mandates returned -0.68% and -0.61% respectively, bringing their year-to-date returns down to 6.01% and 9.93% respectively.
Table 1: Strategy return map
Eurekahedge Strategy Indices |
Sep 2021* |
2021 Returns | 2020 Returns |
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Eurekahedge Arbitrage Hedge Fund Index | 0.56 | 3.49 | 11.69 |
Eurekahedge CTA/Managed Futures Hedge Fund Index | 0.01 | 6.30 | 7.46 |
Eurekahedge Distressed Debt Hedge Fund Index | 1.02 | 13.14 | 6.76 |
Eurekahedge Event Driven Hedge Fund Index | 0.54 | 11.47 | 8.73 |
Eurekahedge Fixed Income Hedge Fund Index | -0.12 | 4.39 | 5.20 |
Eurekahedge Long Short Equities Hedge Fund Index | -0.61 | 9.93 | 17.86 |
Eurekahedge Macro Hedge Fund Index | -0.23 | 3.67 | 11.67 |
Eurekahedge Multi-Strategy Hedge Fund Index | -0.38 | 6.39 | 7.93 |
Eurekahedge Relative Value Hedge Fund Index | -0.68 | 6.01 | 9.47 |
CBOE Eurekahedge Long Volatility Hedge Fund Index | 0.88 | -7.12 | 25.41 |
CBOE Eurekahedge Relative Value Volatility Hedge Fund Index | -1.83 | 0.09 | 5.66 |
CBOE Eurekahedge Short Volatility Hedge Fund Index | -1.88 | 8.57 | -0.80 |
CBOE Eurekahedge Tail Risk Hedge Fund Index | 0.38 | -7.22 | 34.84 |
Eurekahedge Equity Long Bias Hedge Fund Index | -1.85 | 10.93 | 14.79 |
Eurekahedge Equity Market Neutral Hedge Fund Index | 0.40 | 6.45 | 3.69 |
Eurekahedge Trend Following Index | 0.02 | 8.62 | 11.29 |
Eurekahedge FX Hedge Fund Index | 4.90 | 8.56 | 0.95 |
Eurekahedge Commodity Hedge Fund Index | 2.81 | 12.85 | 11.19 |
Eurekahedge Crypto-Currency Hedge Fund Index | -9.05 | 119.84 | 200.17 |
Eurekahedge AI Hedge Fund Index | -2.75 | -1.46 | 11.24 |
Eurekahedge ILS Advisers Index | -0.24 | 0.49 | 3.48 |
Eurekahedge Global Hedge Fund Indices by Fund Size |
Sep 2021* |
2021 Returns | 2020 Returns |
---|---|---|---|
Eurekahedge Small Hedge Fund Index (< US$100m) | -0.73 | 7.96 | 13.34 |
Eurekahedge Medium Hedge Fund Index (US$100m - US$500m) | 0.26 | 8.60 | 11.69 |
Eurekahedge Large Hedge Fund Index (> US$500m) | -0.23 | 7.44 | 7.15 |
Eurekahedge Billion Dollar Hedge Fund Index | -0.29 | 6.24 | 5.20 |
Eurekahedge Asset Weighted Indices |
Sep 2021* |
2021 Returns | 2020 Returns |
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Eurekahedge Asset Weighted Index – USD | -0.93 | 3.04 | 4.47 |
Eurekahedge TOP100 Asset Weighted Index – USD | -0.94 | 1.84 | 1.71 |
Eurekahedge TOP300 Asset Weighted Index - USD | -0.87 | 2.60 | 3.12 |
Asia-Eurekahedge Indices |
Sep 2021* |
2021 Returns | 2020 Returns |
---|---|---|---|
Eurekahedge Greater China Hedge Fund Index | -0.04 | 1.65 | 35.35 |
Eurekahedge India Hedge Fund Index | 1.93 | 24.74 | 19.88 |
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