Hedge funds down 1.12% in November as emergence of new Omicron COVID-19 variant and hawkish central bank communication weighed on sentiment |
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The Eurekahedge Hedge Fund Index declined -1.12% in November 2021, outperforming the global equity market as represented by the MSCI ACWI (Local) which returned -2.03% over the same period. Risk aversion escalated in November over the emergence of a new Omicron variant of COVID-19 and concerns that it would lead to a surge in COVID-19 cases and necessitate the reimposition of lockdowns. Compounding matters further, Federal Reserve Chairman Jerome Powell indicated that a swifter tapering of asset purchases was under consideration and that inflation should no longer be described as transitory. The resulting uncertainty led to a surge in market volatility, as seen in the 67.22% increase in the CBOE VIX and negatively impacted the performance of global equities. The DJIA and S&P500 posted declines of -3.73% and -0.83% in November respectively, bringing their year-to-date return down to 12.67% and 21.59% respectively. Over in Europe, returns were negative among equity benchmarks in the region with the Euro Stoxx 50 and DAX down -4.41% and -3.75% respectively. The emergence of the new Omicron coronavirus has already forced some European countries to reintroduce restrictions on activity, causing concern that this would negatively impact the progress of economic recovery. Returns were negative across geographic mandates in November, with Asia ex-Japan hedge funds the only exception with a modest return of 0.02% while the North American and European mandates trailed behind with returns of -0.82% and -1.38% respectively. Across strategies, arbitrage hedge funds outperformed their strategic peers with a return of 0.34% in November while CTA/Managed Futures was the worst performer with a return of -2.19%. |
Below are the key highlights for the month of November 2021 |
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Index of the Month |
Nov 2021* |
2021 Returns | 2020 Returns |
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CBOE Eurekahedge Long Volatility Hedge Fund Index | 1.66 | -6.69 | 25.41 |
Main Indices
Main Eurekahedge Indices |
Nov 2021* |
2021 Returns | 2020 Returns |
---|---|---|---|
Eurekahedge Hedge Fund Index | -1.12 | 8.37 | 12.83 |
Eurekahedge Fund of Funds Index | -1.22 | 8.09 | 11.75 |
Eurekahedge Long-only Absolute Return Fund Index | -1.84 | 11.05 | 12.91 |
Regional Indices
Eurekahedge Regional Indices |
Nov 2021* |
2021 Returns | 2020 Returns |
---|---|---|---|
Eurekahedge North American Hedge Fund Index | -0.82 | 12.61 | 15.35 |
Eurekahedge European Hedge Fund Index | -1.38 | 6.80 | 4.61 |
Eurekahedge Eastern Europe & Russia Hedge Fund Index | -10.32 | 2.53 | -2.59 |
Eurekahedge Japan Hedge Fund Index | -1.90 | 6.16 | 1.61 |
Eurekahedge Emerging Markets Hedge Fund Index | -0.70 | 2.43 | 16.85 |
Eurekahedge Asia ex Japan Hedge Fund Index | 0.02 | 6.95 | 23.13 |
Eurekahedge Latin American Hedge Fund Index | -0.64 | -4.30 | 4.28 |
Returns were negative across regional mandates in November, with the Asia ex Japan mandate the only exception as it posted a modest return of 0.02%. Risk sentiment was punctured in November by the emergence of the Omicron COVID-19 variant which resulted in a sharp decline in global equities, negatively impacting the performance of hedge funds. The North American, European and Emerging Markets mandates declined -0.82%, -1.38% and -0.70% in November respectively.
Strategy Indices
Returns were negative across strategic mandates in November, with the arbitrage mandate the only exception as it eked out a modest 0.34% return. The CTA/Managed Futures, long short equities and event driven mandates were the worst performers in November, posting declines of -2.19%, -1.57% and -1.27% respectively which reduced their 2021 year-to-date return to 5.72%, 9.19% and 12.37% respectively.
Table 1: Strategy return map
Eurekahedge Strategy Indices |
Nov 2021* |
2021 Returns | 2020 Returns |
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Eurekahedge Arbitrage Hedge Fund Index | 0.34 | 4.55 | 11.98 |
Eurekahedge CTA/Managed Futures Hedge Fund Index | -2.19 | 5.72 | 7.49 |
Eurekahedge Distressed Debt Hedge Fund Index | -0.15 | 14.09 | 6.79 |
Eurekahedge Event Driven Hedge Fund Index | -1.27 | 12.37 | 9.25 |
Eurekahedge Fixed Income Hedge Fund Index | -0.69 | 3.59 | 5.20 |
Eurekahedge Long Short Equities Hedge Fund Index | -1.57 | 9.19 | 17.96 |
Eurekahedge Macro Hedge Fund Index | -0.84 | 2.77 | 11.45 |
Eurekahedge Multi-Strategy Hedge Fund Index | -0.57 | 6.65 | 8.45 |
Eurekahedge Relative Value Hedge Fund Index | -0.26 | 6.37 | 9.40 |
CBOE Eurekahedge Long Volatility Hedge Fund Index | 1.66 | -6.69 | 25.41 |
CBOE Eurekahedge Relative Value Volatility Hedge Fund Index | -0.10 | 2.49 | 5.66 |
CBOE Eurekahedge Short Volatility Hedge Fund Index | -0.07 | 12.13 | -0.80 |
CBOE Eurekahedge Tail Risk Hedge Fund Index | -0.23 | -8.27 | 34.84 |
Eurekahedge Equity Long Bias Hedge Fund Index | -2.37 | 10.22 | 14.79 |
Eurekahedge Equity Market Neutral Hedge Fund Index | 0.40 | 5.80 | 3.62 |
Eurekahedge Trend Following Index | -4.47 | 5.83 | 11.29 |
Eurekahedge FX Hedge Fund Index | -4.16 | 0.62 | 0.95 |
Eurekahedge Commodity Hedge Fund Index | -1.10 | 14.52 | 11.19 |
Eurekahedge Crypto-Currency Hedge Fund Index | -2.09 | 171.89 | 200.17 |
Eurekahedge AI Hedge Fund Index | 0.03 | 2.69 | 11.24 |
Eurekahedge ILS Advisers Index | 0.25 | 0.74 | 3.48 |
Eurekahedge Global Hedge Fund Indices by Fund Size |
Nov 2021* |
2021 Returns | 2020 Returns |
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Eurekahedge Small Hedge Fund Index (< US$100m) | -1.13 | 8.63 | 13.29 |
Eurekahedge Medium Hedge Fund Index (US$100m - US$500m) | -1.50 | 7.26 | 11.80 |
Eurekahedge Large Hedge Fund Index (> US$500m) | -0.67 | 8.04 | 7.17 |
Eurekahedge Billion Dollar Hedge Fund Index | -0.40 | 7.98 | 5.27 |
Eurekahedge Asset Weighted Indices |
Nov 2021* |
2021 Returns | 2020 Returns |
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Eurekahedge Asset Weighted Index – USD | -1.72 | 2.51 | 4.47 |
Eurekahedge TOP100 Asset Weighted Index – USD | -1.26 | 1.94 | 1.71 |
Eurekahedge TOP300 Asset Weighted Index - USD | -1.48 | 2.46 | 3.12 |
Asia-Eurekahedge Indices |
Nov 2021* |
2021 Returns | 2020 Returns |
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Eurekahedge Greater China Hedge Fund Index | 0.55 | 1.80 | 35.18 |
Eurekahedge India Hedge Fund Index | 0.01 | 24.30 | 20.22 |
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