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%.