Hedge Fund Data

best/worst months of hedge fund performance

2020 – where does it sit in the best/worst months of hedge fund performance in the past decade?

13/01/2021
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2020 was a rollercoaster ride for hedge funds; so using the Aurum Hedge Fund Data Engine we’ve taken a look at where it sits amongst the best and worst months of performance over the past ten years. Unsurprisingly, 2020 makes many more appearances than any other year.

As concerns about the spread of COVID-19 began to impact markets in February 2020, many hedge fund strategies started to have negative performance. Long Biased strategies, which make up a large part of our observed hedge fund universe on an asset weighted basis, were adversely impacted in the market turbulence and volatility. February was the fifth worst month for the hedge fund universe (asset weighted) in the decade to December 2020.

According to the Aurum Hedge Fund Data Engine March 2020 was the worst month in the past decade for every master strategy (asset weighted) and for the hedge fund universe as a whole, as the devastating economic impact of the pandemic became apparent. It was the worst month by a significant margin too, the average hedge fund return in March across all strategies was -8.08% (asset weighted), compared to -3.13% (asset weighted) in the second worst month (September 2011).

Top and bottom five months of hedge fund performance (asset weighted)

Source: Aurum Hedge Fund Data Engine

But 2020 definitely wasn’t all gloom for hedge funds. The recovery in April was one of the strongest months over the past decade for most strategies, and hedge fund performance generally maintained that momentum throughout the spring and summer.

November was the strongest month’s performance of the decade, with the average hedge fund (asset weighted) returning an outstanding 4.37%, and was in the top five months’ performance for all master strategies (except Quant).

The outperformance continued into December, the third strongest month’s performance in the decade, with the average hedge fund (asset weighted) returning 3.26%.

With the average hedge fund finishing the year up 8.33% (asset weighted) the industry demonstrated a great recovery and navigated the volatility of 2020 well.

Aurum will be publishing a full 2020 Hedge Fund Industry Deep Dive report shortly for those of you that would like to see more data and insights into hedge fund industry performance over 2020.  If you are on our mailing lists to receive hedge fund research you will be sent a link as soon as it is published.  If you want to sign up now you can do so HERE or you can check back here to find the report and download it when it is published.

All data is sourced from Aurum Hedge Fund Data Engine and presented net of fees. For definitions on how the Strategies and Sub-Strategies are defined please refer to https://www.aurum.com/hedge-fund-strategy-definitions/ and for information on index methodology, weighting and composition please refer to https://www.aurum.com/aurum-strategy-engine/

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