Hedge funds post second consecutive month of negative return as Russia-Ukraine war triggered risk-off sentiment amid high inflation environment |
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The Eurekahedge Hedge Fund Index declined -0.07% in February 2022, outperforming the global equity market as represented by the MSCI ACWI (Local) which declined -2.44% over the same period. Global equities tumbled as Russia’s invasion of Ukraine, the most dangerous international conflict since the 1962 Cuban missile crisis has led to increasing concerns about stagflation at a time when global central banks are tightening monetary policy in a bid to cool inflation. In response to the invasion, the US and European countries imposed harsh economic sanctions on Russia, banning transactions with the Russian central bank and stopping it from deploying foreign reserves, essentially cutting Russia off from the global financial system. The RTS stock index and the Russian rouble plummeted -34.72% and -26.36% in February respectively as investors assessed the potential financial and economic impact on Russia. To prevent further depreciation of the Russian rouble, the Russian central bank has hiked its policy rate to 20%. Despite their best efforts, the Russian rouble has continued to depreciate in March, hitting a low of US$0.0072 on 7 March 2022, marking a 44.2% depreciation from the end of January 2022. Stocks in the United States similarly fell as the S&P 500 and DJIA tumbled -4.05% and -3.53% in February respectively, extending their 2022 year-to-date losses to -9.09% and -6.73% respectively. Over in Europe, returns were negative among equity benchmarks in the region with the DAX and the Euro Stoxx 50 down -6.53% and -6.36% respectively. As Europe is highly reliant on Russian oil and gas supplies, European countries were disproportionately impacted by the sanctions imposed by Western nations on Russia which caused a spike in the price of commodities. The S&P Goldman Sachs Commodity Index surged 8.77% in February, while Brent crude and West Texas Intermediate Crude Oil were up 11.41% and 9.52% respectively. UK equities were the least impacted in Europe, with the FTSE100 down -0.08% as the index is 21% exposed to the energy and mining sectors. Returns were mixed across geographic mandates in February, with the Japanese mandate taking the lead with a return of 0.56% while the European and Asia ex-Japan mandates trailed behind with returns of -1.33% and -1.33% respectively. Across strategies, the CTA/managed futures mandate performed the best with a return of 1.89% while the fixed income mandate trailed behind their peers with a return of -1.17%. Roughly 48.3% of the underlying constituents of the Eurekahedge Hedge Fund Index posted positive returns in February, and 81.1% of the hedge fund managers in the database were able to outperform the global equity market as represented by the MSCI ACWI. |
Below are the key highlights for the month of February 2022 |
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Index of the Month |
Feb 2022* |
2022 Returns | 2021 Returns |
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Eurekahedge CTA/Managed Futures Hedge Fund Index | 1.89 | 2.42 | 6.90 |
Main Indices
Main Eurekahedge Indices |
Feb 2022* |
2022 Returns | 2021 Returns |
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Eurekahedge Hedge Fund Index | -0.07 | -1.64 | 9.35 |
Eurekahedge Fund of Funds Index | -0.69 | -3.29 | 8.59 |
Eurekahedge Long-only Absolute Return Fund Index | -1.97 | -5.45 | 12.88 |
Regional Indices
Eurekahedge Regional Indices |
Feb 2022* |
2022 Returns | 2021 Returns |
---|---|---|---|
Eurekahedge North American Hedge Fund Index | 0.29 | -2.36 | 14.04 |
Eurekahedge European Hedge Fund Index | -1.33 | -2.92 | 8.39 |
Eurekahedge Japan Hedge Fund Index | 0.56 | -1.34 | 8.53 |
Eurekahedge Emerging Markets Hedge Fund Index | -1.28 | -2.78 | 2.38 |
Eurekahedge Asia ex Japan Hedge Fund Index | -1.33 | -4.50 | 6.47 |
Eurekahedge Latin American Hedge Fund Index | 0.04 | 1.83 | -2.99 |
Returns were mixed across regional mandates in February, with the Japanese and North American mandate up 0.56% and 0.29% respectively. On the other end of the spectrum, the European, Asia ex-Japan and emerging markets mandates were down -1.33%, -1.33% and -1.28% respectively.
Strategy Indices
Returns were mixed across strategic mandates in February, with the CTA/managed futures mandate performing the best with a return of 1.89%. Managers utilizing CTA/managed futures strategies benefitted from the strong rise in commodity prices, driven largely by the 11.41% and 9.52% surge in prices of Brent Crude Oil and West Texas Intermediate Crude oil in February respectively. Oil prices were boosted by the ongoing Russia-Ukraine war, which has prompted countries like the US and UK to ban imports of Russian oil which exacerbated the global oil supply situation. On the other end of the spectrum, the fixed income mandate trailed behind their strategic peers with a return of -1.17%.
Table 1: Strategy return map
Eurekahedge Strategy Indices |
Feb 2022* |
2022 Returns | 2021 Returns |
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Eurekahedge Arbitrage Hedge Fund Index | -0.64 | -1.58 | 5.28 |
Eurekahedge CTA/Managed Futures Hedge Fund Index | 1.89 | 2.42 | 6.90 |
Eurekahedge Distressed Debt Hedge Fund Index | 0.97 | 1.00 | 15.46 |
Eurekahedge Event Driven Hedge Fund Index | 0.71 | -1.41 | 13.52 |
Eurekahedge Fixed Income Hedge Fund Index | -1.17 | -1.70 | 4.33 |
Eurekahedge Long Short Equities Hedge Fund Index | -0.71 | -3.62 | 10.26 |
Eurekahedge Macro Hedge Fund Index | 0.97 | 0.54 | 4.17 |
Eurekahedge Multi-Strategy Hedge Fund Index | -0.76 | -1.78 | 7.14 |
Eurekahedge Relative Value Hedge Fund Index | -0.45 | -0.92 | 7.24 |
CBOE Eurekahedge Long Volatility Hedge Fund Index | 0.84 | 2.41 | -9.51 |
CBOE Eurekahedge Relative Value Volatility Hedge Fund Index | -1.34 | -1.21 | 1.74 |
CBOE Eurekahedge Short Volatility Hedge Fund Index | -0.43 | -2.71 | 14.36 |
CBOE Eurekahedge Tail Risk Hedge Fund Index | 3.81 | 2.58 | -10.30 |
Eurekahedge Equity Long Bias Hedge Fund Index | -1.30 | -5.02 | 11.97 |
Eurekahedge Equity Market Neutral Hedge Fund Index | -0.21 | 0.23 | 6.73 |
Eurekahedge Trend Following Index | 3.21 | 4.21 | 5.94 |
Eurekahedge FX Hedge Fund Index | 0.39 | 2.10 | 4.89 |
Eurekahedge Commodity Hedge Fund Index | 1.64 | 3.81 | 16.02 |
Eurekahedge Crypto-Currency Hedge Fund Index | 4.29 | -15.01 | 140.11 |
Eurekahedge AI Hedge Fund Index | -1.16 | -2.62 | 2.95 |
Eurekahedge ILS Advisers Index | 0.14 | 0.39 | 1.04 |
Eurekahedge Global Hedge Fund Indices by Fund Size |
Feb 2022* |
2022 Returns | 2021 Returns |
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Eurekahedge Small Hedge Fund Index (< US$100m) | 0.02 | -1.55 | 9.02 |
Eurekahedge Medium Hedge Fund Index (US$100m - US$500m) | -0.50 | -1.90 | 8.35 |
Eurekahedge Large Hedge Fund Index (> US$500m) | -0.10 | -0.92 | 9.12 |
Eurekahedge Billion Dollar Hedge Fund Index | -0.03 | -0.53 | 8.99 |
Eurekahedge Asset Weighted Indices |
Feb 2022* |
2022 Returns | 2021 Returns |
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Eurekahedge Asset Weighted Index – USD | -0.12 | -1.25 | 4.09 |
Eurekahedge TOP100 Asset Weighted Index – USD | -0.07 | -0.85 | 3.60 |
Eurekahedge TOP300 Asset Weighted Index - USD | -0.09 | -1.00 | 4.12 |
Asia-Eurekahedge Indices |
Feb 2022* |
2022 Returns | 2021 Returns |
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Eurekahedge Greater China Hedge Fund Index | -0.43 | -4.51 | -0.58 |
Eurekahedge India Hedge Fund Index | -5.47 | -6.36 | 26.12 |
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