Indices

Index Flash Update - 09 June 2022

EQUAL WEIGHTED HEDGE FUND INDICES

ASSET WEIGHTED HEDGE FUND INDICES

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INDEX PRESS RELEASES

Hedge funds fell for a second straight month in May amid rising uncertainty over geopolitical and economic tensions
The Eurekahedge Hedge Fund Index declined -0.52% in May 2022, trailing behind the S&P 500 which eked out a 0.01% return over the same period. Widespread investor caution and uncertainty over both geopolitical and economic tensions continued to linger as inflation remains persistently high amid the ongoing Russia-Ukraine war and continued global supply chain disruptions. This has fanned concerns that the Federal Reserve will be forced to tighten monetary policy more aggressively to prevent inflation from spiralling out of control and at the same time avoid pushing the economy into a recession. Market participants are expecting the Federal Reserve to hike interest rates by 50bps in its June and July meetings and then move to a more modest 25bps for the rest of 2022. Compounding matters further, the BA.4 and BA.5 Omicron subvariants which are better than previous versions of Omicron at evading the immune system’s defences are steadily gaining ground, adding more uncertainty to the future trajectory of the global coronavirus pandemic. Over in Europe, returns were mixed among equity benchmarks in the region with the RTS Index up 11.71% while the Euro Stoxx 50 and CAC 40 Index were down -0.36% and -0.99% respectively. The high prices for commodities, which is Russia’ key source of revenue combined with the imposition of capital controls has enabled the Russian rouble to appreciate by a further 14.29% against the US dollar in May, supporting the performance of the RTS Index. Returns were negative across geographic mandates in May, except for the Latin American mandate which posted a return of 0.88% while the Japanese mandate trailed behind their peers with a return of -1.50%. Across strategies, the macro mandate performed the best, posting the smallest decline of -0.11% while the event driven mandate trailed behind their peers with a return of -1.55%. Roughly 38.6% of the underlying constituents of the Eurekahedge Hedge Fund Index posted positive returns in May, and 43.0% of the hedge fund managers in the database were able to maintain a positive return in 2022.

Hedge funds fell for a second straight month in May amid rising uncertainty over geopolitical and economic tensions

The Eurekahedge Hedge Fund Index declined -0.52% in May 2022, trailing behind the S&P 500 which eked out a 0.01% return over the same period. Widespread investor caution and uncertainty over both geopolitical and economic tensions continued to linger as inflation remains persistently high amid the ongoing Russia-Ukraine war and continued global supply chain disruptions. This has fanned concerns that the Federal Reserve will be forced to tighten monetary policy more aggressively to prevent inflation from spiralling out of control and at the same time avoid pushing the economy into a recession. Market participants are expecting the Federal Reserve to hike interest rates by 50bps in its June and July meetings and then move to a more modest 25bps for the rest of 2022. Compounding matters further, the BA.4 and BA.5 Omicron subvariants which are better than previous versions of Omicron at evading the immune system’s defences are steadily gaining ground, adding more uncertainty to the future trajectory of the global coronavirus pandemic. Over in Europe, returns were mixed among equity benchmarks in the region with the RTS Index up 11.71% while the Euro Stoxx 50 and CAC 40 Index were down -0.36% and -0.99% respectively. The high prices for commodities, which is Russia’ key source of revenue combined with the imposition of capital controls has enabled the Russian rouble to appreciate by a further 14.29% against the US dollar in May, supporting the performance of the RTS Index. Returns were negative across geographic mandates in May, except for the Latin American mandate which posted a return of 0.88% while the Japanese mandate trailed behind their peers with a return of -1.50%. Across strategies, the macro mandate performed the best, posting the smallest decline of -0.11% while the event driven mandate trailed behind their peers with a return of -1.55%.

Roughly 38.6% of the underlying constituents of the Eurekahedge Hedge Fund Index posted positive returns in May, and 43.0% of the hedge fund managers in the database were able to maintain a positive return in 2022.

Below are the key highlights for the month of May 2022
Hedge fund managers were down 0.52% in May, outperforming the tech-heavy NASDAQ by 1.53% but trailed behind the S&P 500 by 0.51%. Around 38.6% of global hedge funds have generated positive returns in May, while around 43.0% of them have maintained a double-digit performance throughout the year. On a year-to-date basis, global hedge funds were down -2.61%, outperforming the S&P 500 which returned -13.30% over the same period. On an asset-weighted basis, hedge funds were down 0.35% in May, as captured by the Eurekahedge Asset Weighted Index – USD, slightly outperforming its equal-weighted counterpart by 0.17%. On a year-to-date basis, the Eurekahedge Asset Weighted Index – USD was down -1.89% over the first five months of the year. The ability of large size hedge funds to diversify their assets have paid off in this challenging period as they have reported relatively smaller losses among their peers in May, with Billion dollar hedge funds losing -0.45% compared to the -0.50% return of their medium-size counterparts. In terms of year-to-date returns, the Eurekahedge Billion Dollar Hedge Fund Index was down -0.15%, outperforming their medium-size peers which posted losses of -2.49% as of May 2022. The Eurekahedge CTA/Managed Futures Hedge Fund Index was down -0.20% in May, snapping its five-month winning streak. Commodity prices except for oil retreated during the month owing to the concern over an impending global recession driven by the hawkish Federal Reserve and geopolitical uncertainty. In terms of year-to-date return, CTA/Managed futures hedge funds were up 8.14% over the first five months of the year. Emerging market hedge funds, as represented by the Eurekahedge Emerging Markets Hedge Fund Index Index were down -0.12% in May, outperforming its developed market peers in North America and Europe who were down by -0.13% and -1.24% respectively. The positive performance of the equity market in the emerging market particularly in Asia and Latin America supported the fund manager’s performance during the month. China’s Shanghai Composite was up 4.57% in May, while Brazil’s IBOVESPA was up 3.22% over the same period. The Eurekahedge North America Long Short Equities Hedge Fund Index Index was up 0.24% in May, bringing its year-to-date return to -7.31%. US equities on average ended the month flat as seen by the S&P 500 and Dow Jones, while US tech companies declined as seen by the -2.05% return of the NASDAQ Composite. Selling pressure on US equity markets continued during the first half of May due to higher inflation rates in the region which have resulted in a hawkish Federal Reserve. In the second half of May, US equities recovered their losses and ended the month flat, thanks to the easing lockdowns in China and market expectations that inflation rates in the region have reached its peaked. Fund managers focusing on cryptocurrencies as represented by the Crypto-Currency Hedge Fund Index declined -22.62% in May, bringing their year-to-date return to -40.14%. Similar to other risk asset classes, the magnitude of market breakdown has also impacted the cryptocurrency market. Bitcoin was down -17.83% in May, while Ethereum the second-largest cryptocurrency in terms of market value was much more volatile as it recorded -29.07% of losses during the month. By comparison, cryptocurrency hedge funds posted a May year-to-date return of -35.52% in 2018, the worst year for cryptocurrency hedge funds since the inception of the index in terms of full year returns.

Below are the key highlights for the month of May 2022

Hedge fund managers were down 0.52% in May, outperforming the tech-heavy NASDAQ by 1.53% but trailed behind the S&P 500 by 0.51%. Around 38.6% of global hedge funds have generated positive returns in May, while around 43.0% of them have maintained a double-digit performance throughout the year. On a year-to-date basis, global hedge funds were down -2.61%, outperforming the S&P 500 which returned -13.30% over the same period.
On an asset-weighted basis, hedge funds were down 0.35% in May, as captured by the Eurekahedge Asset Weighted Index – USD, slightly outperforming its equal-weighted counterpart by 0.17%. On a year-to-date basis, the Eurekahedge Asset Weighted Index – USD was down -1.89% over the first five months of the year.
The ability of large size hedge funds to diversify their assets have paid off in this challenging period as they have reported relatively smaller losses among their peers in May, with Billion dollar hedge funds losing -0.45% compared to the -0.50% return of their medium-size counterparts. In terms of year-to-date returns, the Eurekahedge Billion Dollar Hedge Fund Index was down -0.15%, outperforming their medium-size peers which posted losses of -2.49% as of May 2022.
The Eurekahedge CTA/Managed Futures Hedge Fund Index was down -0.20% in May, snapping its five-month winning streak. Commodity prices except for oil retreated during the month owing to the concern over an impending global recession driven by the hawkish Federal Reserve and geopolitical uncertainty. In terms of year-to-date return, CTA/Managed futures hedge funds were up 8.14% over the first five months of the year.
Emerging market hedge funds, as represented by the Eurekahedge Emerging Markets Hedge Fund Index Index were down -0.12% in May, outperforming its developed market peers in North America and Europe who were down by -0.13% and -1.24% respectively. The positive performance of the equity market in the emerging market particularly in Asia and Latin America supported the fund manager’s performance during the month. China’s Shanghai Composite was up 4.57% in May, while Brazil’s IBOVESPA was up 3.22% over the same period.
The Eurekahedge North America Long Short Equities Hedge Fund Index Index was up 0.24% in May, bringing its year-to-date return to -7.31%. US equities on average ended the month flat as seen by the S&P 500 and Dow Jones, while US tech companies declined as seen by the -2.05% return of the NASDAQ Composite. Selling pressure on US equity markets continued during the first half of May due to higher inflation rates in the region which have resulted in a hawkish Federal Reserve. In the second half of May, US equities recovered their losses and ended the month flat, thanks to the easing lockdowns in China and market expectations that inflation rates in the region have reached its peaked.
Fund managers focusing on cryptocurrencies as represented by the Crypto-Currency Hedge Fund Index declined -22.62% in May, bringing their year-to-date return to -40.14%. Similar to other risk asset classes, the magnitude of market breakdown has also impacted the cryptocurrency market. Bitcoin was down -17.83% in May, while Ethereum the second-largest cryptocurrency in terms of market value was much more volatile as it recorded -29.07% of losses during the month. By comparison, cryptocurrency hedge funds posted a May year-to-date return of -35.52% in 2018, the worst year for cryptocurrency hedge funds since the inception of the index in terms of full year returns.

Index of the Month	May 2022*	2022 Returns	2021 Returns
Eurekahedge Latin American Hedge Fund Index	0.88	4.20	-1.33

Main Indices

Main Eurekahedge Indices	May 2022*	2022 Returns	2021 Returns
Eurekahedge Hedge Fund Index	-0.52	-2.61	9.56
Eurekahedge Fund of Funds Index	-0.55	-4.11	8.53
Eurekahedge Long-only Absolute Return Fund Index	-1.21	-9.77	12.71

Regional Indices

Eurekahedge Regional Indices	May 2022*	2022 Returns	2021 Returns
Eurekahedge North American Hedge Fund Index	-0.13	-3.92	13.52
Eurekahedge European Hedge Fund Index	-1.24	-5.94	9.04
Eurekahedge Japan Hedge Fund Index	-1.50	-5.18	8.70
Eurekahedge Emerging Markets Hedge Fund Index	-0.12	-4.38	2.43
Eurekahedge Asia ex Japan Hedge Fund Index	-1.47	-9.21	7.72
Eurekahedge Latin American Hedge Fund Index	0.88	4.20	-1.33

Returns were negative across regional mandates in May, with the Latin American mandate the only exception as it posted a return of 0.88%, supported by the positive performance of the Latin American equity market as the Brazil IBOVESPA and IPC Mexico returned 3.22% and 0.65% respectively. Meanwhile, the North American mandate ended May with a slight decline of -0.13% while the European and Asia ex-Japan mandates posted steeper losses of -1.24% and -1.47% respectively.

Strategy Indices

Returns were negative across strategic mandates in May, with the event driven and arbitrage mandates posting the sharpest losses of -1.55% and -1.23% respectively. On the other end of the spectrum, the macro, distressed debt and CTA/Managed Futures mandates posted relatively smaller losses of -0.11%, -0.19% and -0.20% respectively. Despite the negative performance in May, the CTA/Managed Futures mandate remains the best performer in 2022 with a return of 8.14% while the macro mandate came in a distant second with a return of 1.52%.

Table 1: Strategy return map

Eurekahedge Strategy Indices	May 2022*	2022 Returns	2021 Returns
Eurekahedge Arbitrage Hedge Fund Index	-1.23	-3.90	6.21
Eurekahedge CTA/Managed Futures Hedge Fund Index	-0.20	8.14	7.64
Eurekahedge Distressed Debt Hedge Fund Index	-0.19	0.97	15.08
Eurekahedge Event Driven Hedge Fund Index	-1.55	-3.74	13.13
Eurekahedge Fixed Income Hedge Fund Index	-0.80	-2.91	4.33
Eurekahedge Long Short Equities Hedge Fund Index	-0.26	-6.17	10.08
Eurekahedge Macro Hedge Fund Index	-0.11	1.52	4.63
Eurekahedge Multi-Strategy Hedge Fund Index	-0.30	-1.09	8.54
Eurekahedge Relative Value Hedge Fund Index	-0.31	-2.03	7.17
CBOE Eurekahedge Long Volatility Hedge Fund Index	-0.81	7.42	-9.51
CBOE Eurekahedge Relative Value Volatility Hedge Fund Index	1.21	-0.92	1.74
CBOE Eurekahedge Short Volatility Hedge Fund Index	0.22	-2.17	14.36
CBOE Eurekahedge Tail Risk Hedge Fund Index	-0.18	15.72	-10.30
Eurekahedge Equity Long Bias Hedge Fund Index	-1.27	-10.29	11.89
Eurekahedge Equity Market Neutral Hedge Fund Index	0.45	1.88	6.73
Eurekahedge Trend Following Index	-0.74	17.06	5.92
Eurekahedge FX Hedge Fund Index	-0.23	7.69	4.89
Eurekahedge Commodity Hedge Fund Index	-1.87	12.89	16.02
Eurekahedge Crypto-Currency Hedge Fund Index	-22.62	-40.14	142.25
Eurekahedge AI Hedge Fund Index	-0.30	-4.52	2.95
Eurekahedge ILS Advisers Index	0.00	0.33	1.04

Eurekahedge Global Hedge Fund Indices by Fund Size	May 2022*	2022 Returns	2021 Returns
Eurekahedge Small Hedge Fund Index (< US$100m)	-0.35	-2.25	9.99
Eurekahedge Medium Hedge Fund Index (US$100m - US$500m)	-0.50	-2.49	8.51
Eurekahedge Large Hedge Fund Index (> US$500m)	-0.71	-0.91	8.72
Eurekahedge Billion Dollar Hedge Fund Index	-0.45	-0.15	8.16

Eurekahedge Asset Weighted Indices	May 2022*	2022 Returns	2021 Returns
Eurekahedge Asset Weighted Index – USD	-0.35	-1.89	4.06
Eurekahedge TOP100 Asset Weighted Index – USD	-0.29	-0.18	3.54
Eurekahedge TOP300 Asset Weighted Index - USD	-0.37	-1.11	4.08

Asia-Eurekahedge Indices	May 2022*	2022 Returns	2021 Returns
Eurekahedge Greater China Hedge Fund Index	-1.16	-12.61	2.98
Eurekahedge India Hedge Fund Index	-7.65	-12.29	26.89

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