Indices

Index Flash Update - 12 April 2022

EQUAL WEIGHTED HEDGE FUND INDICES

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Hedge funds up 1.48% in March despite ongoing Russia-Ukraine war and persistent inflationary pressure
The Eurekahedge Hedge Fund Index gained 1.48% in March 2022, supported by the robust performance of the S&P 500 which returned 3.58% over the same period. The first half of March started out on a negative note due to Russia’s shocking invasion of Ukraine in late February which elicited severe economic sanctions on Russia from the US and their allies in a bid to cripple the Russian economy and war effort. The crisis has raised concerns over stagflation at a time when the US Federal Reserve is shifting to a more hawkish monetary policy stance in a bid to curb record levels of inflation, raising policy rates by 25bps for the first time in March, the first hike since 2018. Consequently, the US 10-year treasury yield rose 52 bp to 2.35%, the highest level since April 2019. Russia and Ukraine have since conducted several rounds of peace negotiations, which allayed investors’ fears and boosted hope that Putin will finally seek a negotiated end to his invasion. Over in Europe, returns were mixed among equity benchmarks in the region with the Euro Stoxx 50 down -0.55% while the RTS Stock Index gained 9.00% after Russian President Vladimir Putin’s decision to sell gas in Roubles stabilised the currency and enabled a 29.5% recovery. Returns were mixed across geographic mandates in March, with the Latin American mandate taking the lead with a return of 3.87% while the Asia ex-Japan mandate trailed behind their peers with a return of -2.83%. Across strategies, the CTA/Managed Futures mandate performed the best with a return of 4.76% while the arbitrage mandate trailed behind their peers with a return of -1.43%. Roughly 61.0% of the underlying constituents of the Eurekahedge Hedge Fund Index posted positive returns in March, and 24.2% of the hedge fund managers in the database were able to outperform the S&P 500.

Hedge funds up 1.48% in March despite ongoing Russia-Ukraine war and persistent inflationary pressure

The Eurekahedge Hedge Fund Index gained 1.48% in March 2022, supported by the robust performance of the S&P 500 which returned 3.58% over the same period. The first half of March started out on a negative note due to Russia’s shocking invasion of Ukraine in late February which elicited severe economic sanctions on Russia from the US and their allies in a bid to cripple the Russian economy and war effort. The crisis has raised concerns over stagflation at a time when the US Federal Reserve is shifting to a more hawkish monetary policy stance in a bid to curb record levels of inflation, raising policy rates by 25bps for the first time in March, the first hike since 2018. Consequently, the US 10-year treasury yield rose 52 bp to 2.35%, the highest level since April 2019. Russia and Ukraine have since conducted several rounds of peace negotiations, which allayed investors’ fears and boosted hope that Putin will finally seek a negotiated end to his invasion. Over in Europe, returns were mixed among equity benchmarks in the region with the Euro Stoxx 50 down -0.55% while the RTS Stock Index gained 9.00% after Russian President Vladimir Putin’s decision to sell gas in Roubles stabilised the currency and enabled a 29.5% recovery. Returns were mixed across geographic mandates in March, with the Latin American mandate taking the lead with a return of 3.87% while the Asia ex-Japan mandate trailed behind their peers with a return of -2.83%. Across strategies, the CTA/Managed Futures mandate performed the best with a return of 4.76% while the arbitrage mandate trailed behind their peers with a return of -1.43%.

Roughly 61.0% of the underlying constituents of the Eurekahedge Hedge Fund Index posted positive returns in March, and 24.2% of the hedge fund managers in the database were able to outperform the S&P 500.

Below are the key highlights for the month of March 2022
Hedge fund managers were up 1.48% in March, trailing behind the S&P 500 which was up 3.58% over the month. Around 61% of global hedge funds have posted positive returns in March and 46.0% of them have maintained positive performance over the first quarter of the year. On an asset-weighted basis, hedge funds were up 1.62% in March, as captured by the Eurekahedge Asset Weighted Index – USD, outperforming its equal-weighted counterpart by 0.14%. Large-size hedge funds have outperformed their smaller peers as seen in the 1.66% return of the Eurekahedge Top 300 Asset Weighted Index – USD. On the other end of the spectrum, small and medium-size hedge funds were up 1.30% and 1.10% respectively. The Eurekahedge European Hedge Fund Index was up 0.20% in March, outperforming DAX by 0.52% during the month. European equities have posted limited upside compared to their US counterparts, driven by the hawkish European Central Bank. In the same vein, although Ukraine and Russia were in peace negotiations, uncertainties about the said event have acted as a headwind to the region’s equity market. In terms of year-to-date return, European hedge funds were down 3.43%. The Eurekahedge CTA/Managed Futures Hedge Fund Index was up 4.76% in March, recording its strongest monthly performance since 2007. Fund managers benefitted from higher commodity prices particularly oil, which can be exacerbated further by a potential banning of Russian oil by European countries. In terms of year-to-date performance, CTA/managed futures managers were up 6.99%, posting their best quarterly performance since 2000. The Eurekahedge North American Hedge Fund Index was up 1.28% in March, thanks to the positive performance of US equities with the S&P 500 up 3.58% over the same month. US equities inched higher during the month, supported by strong corporate earnings and easing tensions in Eastern Europe, shrugging off the threat of higher inflation and interest rates. On a year-to-date basis, North American hedge funds were down 1.55% in the first quarter of 2022. The Eurekahedge Greater China Hedge Fund Index was down 5.14% in March, outperforming the underlying equity market in the region by 3.49% and 0.93% as represented by the Shenzhen and Shanghai Composite respectively during the month. Greater China hedge funds recorded their eighth month of losses over the last nine months as the slowing growth in China and delisting of Chinese companies in the US weighed on the region’s equity market. The Hang Seng was down 5.99% in 2022 and ended the month of March trading at its 68th month low. Fund managers focusing on cryptocurrencies gained 8.81% in March, bringing their Q1 return to -9.81% as represented by the Eurekahedge Crypto-Currency Hedge Fund Index . Cryptocurrencies posted a strong recovery during the month as Bitcoin was up 24.82% in March, erasing its losses posted in January and February.

Below are the key highlights for the month of March 2022

Hedge fund managers were up 1.48% in March, trailing behind the S&P 500 which was up 3.58% over the month. Around 61% of global hedge funds have posted positive returns in March and 46.0% of them have maintained positive performance over the first quarter of the year.
On an asset-weighted basis, hedge funds were up 1.62% in March, as captured by the Eurekahedge Asset Weighted Index – USD, outperforming its equal-weighted counterpart by 0.14%. Large-size hedge funds have outperformed their smaller peers as seen in the 1.66% return of the Eurekahedge Top 300 Asset Weighted Index – USD. On the other end of the spectrum, small and medium-size hedge funds were up 1.30% and 1.10% respectively.
The Eurekahedge European Hedge Fund Index was up 0.20% in March, outperforming DAX by 0.52% during the month. European equities have posted limited upside compared to their US counterparts, driven by the hawkish European Central Bank. In the same vein, although Ukraine and Russia were in peace negotiations, uncertainties about the said event have acted as a headwind to the region’s equity market. In terms of year-to-date return, European hedge funds were down 3.43%.
The Eurekahedge CTA/Managed Futures Hedge Fund Index was up 4.76% in March, recording its strongest monthly performance since 2007. Fund managers benefitted from higher commodity prices particularly oil, which can be exacerbated further by a potential banning of Russian oil by European countries. In terms of year-to-date performance, CTA/managed futures managers were up 6.99%, posting their best quarterly performance since 2000.
The Eurekahedge North American Hedge Fund Index was up 1.28% in March, thanks to the positive performance of US equities with the S&P 500 up 3.58% over the same month. US equities inched higher during the month, supported by strong corporate earnings and easing tensions in Eastern Europe, shrugging off the threat of higher inflation and interest rates. On a year-to-date basis, North American hedge funds were down 1.55% in the first quarter of 2022.
The Eurekahedge Greater China Hedge Fund Index was down 5.14% in March, outperforming the underlying equity market in the region by 3.49% and 0.93% as represented by the Shenzhen and Shanghai Composite respectively during the month. Greater China hedge funds recorded their eighth month of losses over the last nine months as the slowing growth in China and delisting of Chinese companies in the US weighed on the region’s equity market. The Hang Seng was down 5.99% in 2022 and ended the month of March trading at its 68th month low.
Fund managers focusing on cryptocurrencies gained 8.81% in March, bringing their Q1 return to -9.81% as represented by the Eurekahedge Crypto-Currency Hedge Fund Index . Cryptocurrencies posted a strong recovery during the month as Bitcoin was up 24.82% in March, erasing its losses posted in January and February.

Index of the Month	Mar 2022*	2022 Returns	2021 Returns
Eurekahedge Trend Following Index	8.44	11.68	5.91

Main Indices

Main Eurekahedge Indices	Mar 2022*	2022 Returns	2021 Returns
Eurekahedge Hedge Fund Index	1.48	-0.57	9.43
Eurekahedge Fund of Funds Index	1.55	-1.60	8.60
Eurekahedge Long-only Absolute Return Fund Index	1.06	-4.79	12.76

Regional Indices

Eurekahedge Regional Indices	Mar 2022*	2022 Returns	2021 Returns
Eurekahedge North American Hedge Fund Index	1.28	-1.55	14.01
Eurekahedge European Hedge Fund Index	0.20	-3.43	8.46
Eurekahedge Japan Hedge Fund Index	-0.95	-2.54	8.53
Eurekahedge Emerging Markets Hedge Fund Index	-0.51	-3.50	2.28
Eurekahedge Asia ex Japan Hedge Fund Index	-2.83	-6.67	6.36
Eurekahedge Latin American Hedge Fund Index	3.87	6.04	-3.14

Returns were mixed across regional mandates in March, with the Latin American mandate leading their regional peers with a return of 3.87%. The Latin American mandate was supported by strong gains of the equity markets in the region, with the Brazil IBOVESPA and IPC Mexico gaining 6.06% and 5.87% respectively. On the other end of the spectrum, the Asia ex-Japan mandate posted the worst performance with a decline of -2.83%. The Asia ex-Japan mandate faced headwinds from the poor performance of the Chinese equity market, with the CSI 300 declining by -7.84% in March as the Chinese government reimpose lockdowns in several Chinese cities to curb a surge in Omicron COVID-19 cases.

Strategy Indices

Returns were mostly positive across strategic mandates in March, with the CTA/managed futures mandate leading their strategic peers with a return of 4.76%. CTA/managed futures strategies benefitted from the strong rise in commodity prices as exemplified by the 9.63% gain of the S&P Goldman Sachs Commodity Index, driven by higher energy prices which surged 12.47% in March amid growing global energy demand and potential shortages due to the ongoing Russia-Ukraine war. On the other end of the spectrum, the arbitrage mandate trailed behind their strategic peers with a return of -1.43%.

Table 1: Strategy return map

Eurekahedge Strategy Indices	Mar 2022*	2022 Returns	2021 Returns
Eurekahedge Arbitrage Hedge Fund Index	-1.43	-2.94	5.25
Eurekahedge CTA/Managed Futures Hedge Fund Index	4.76	6.99	6.89
Eurekahedge Distressed Debt Hedge Fund Index	0.85	0.76	15.46
Eurekahedge Event Driven Hedge Fund Index	1.66	-0.20	13.52
Eurekahedge Fixed Income Hedge Fund Index	0.03	-1.93	4.34
Eurekahedge Long Short Equities Hedge Fund Index	0.52	-3.29	10.33
Eurekahedge Macro Hedge Fund Index	2.89	2.19	4.17
Eurekahedge Multi-Strategy Hedge Fund Index	2.09	0.41	7.09
Eurekahedge Relative Value Hedge Fund Index	0.45	-0.79	7.17
CBOE Eurekahedge Long Volatility Hedge Fund Index	-2.97	-1.32	-9.51
CBOE Eurekahedge Relative Value Volatility Hedge Fund Index	-0.35	-1.98	1.74
CBOE Eurekahedge Short Volatility Hedge Fund Index	-0.22	-3.33	14.36
CBOE Eurekahedge Tail Risk Hedge Fund Index	-0.10	1.20	-10.30
Eurekahedge Equity Long Bias Hedge Fund Index	0.85	-4.36	11.97
Eurekahedge Equity Market Neutral Hedge Fund Index	0.80	1.09	6.73
Eurekahedge Trend Following Index	8.44	11.68	5.91
Eurekahedge FX Hedge Fund Index	0.88	3.63	4.89
Eurekahedge Commodity Hedge Fund Index	6.99	12.95	16.02
Eurekahedge Crypto-Currency Hedge Fund Index	8.81	-9.81	142.25
Eurekahedge AI Hedge Fund Index	2.69	0.35	2.95
Eurekahedge ILS Advisers Index	0.18	0.50	1.04

Eurekahedge Global Hedge Fund Indices by Fund Size	Mar 2022*	2022 Returns	2021 Returns
Eurekahedge Small Hedge Fund Index (< US$100m)	1.30	-0.80	9.35
Eurekahedge Medium Hedge Fund Index (US$100m - US$500m)	1.10	-1.01	8.28
Eurekahedge Large Hedge Fund Index (> US$500m)	1.61	0.58	8.96
Eurekahedge Billion Dollar Hedge Fund Index	1.31	0.70	8.63

Eurekahedge Asset Weighted Indices	Mar 2022*	2022 Returns	2021 Returns
Eurekahedge Asset Weighted Index – USD	1.62	0.11	4.06
Eurekahedge TOP100 Asset Weighted Index – USD	1.38	0.07	3.54
Eurekahedge TOP300 Asset Weighted Index - USD	1.66	0.39	4.08

Asia-Eurekahedge Indices	Mar 2022*	2022 Returns	2021 Returns
Eurekahedge Greater China Hedge Fund Index	-5.14	-9.62	-0.69
Eurekahedge India Hedge Fund Index	1.09	-2.97	25.90

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