HEDGE FUND DATA 27/07/2021

Hedge fund industry deep dive – 2021


Markets summary

Risk assets appreciated in H1, supported primarily by the continued roll-out of the global COVID-19 vaccination programmes as well as the announcement of several major stimulus packages. Volatility levels were also impacted as rising bond yields and inflationary concerns weighed on investor sentiment. Bond yields rose globally, although retrenched in May and June. From a performance perspective, global bonds** had a torrid Q1, losing nearly 5% before recovering some of this loss in Q2 ending H1 down 3.6% YTD.

Global equity markets*** exhibited exceptionally strong performance through H1 2021, up 11.7% YTD. Europe and the largest capitalisation stocks in the US outperformed, while Asian and emerging market indices lagged behind. The ‘reflation trade’ has been very strong in the commodity space, with the energy (natural gas, oil) and softs (corn, sugar) complexes performing exceptionally well. Precious metals (gold/silver) were down on the year. Credit also performed well, particularly in the lower grade (CCC) space. In currencies, there has been some volatility. The USD Index is up year-to-date (primarily due to strong appreciation in June), with particularly strong performance vs the yen and to a lesser extent the euro.

Hedge fund industry performance review

The hedge fund industry continued its strong run of performance through H1 2021, up 5.7% YTD, after finishing up nearly 9% in 2020. The best performing strategies were event (up 8.2%) and long biased (up 8.2%), driven by a particularly strong February to April period that coincided with strong equity market performance. Credit strategies were also consistent with positive performance every month of the period, finishing up 7.1%. Multi-strategy funds marginally underperformed the broader industry (5.6%), as did equity l/s (5.2%). Essentially, the hedge fund strategies that tend to exhibit more beta to risk assets were able to benefit from the tailwinds provided by appreciating markets as well as the continued ‘normalisation’ of some of the extreme dislocations caused by the dramatic events of Q1 2020.


*HF Composite = Aurum Hedge Fund Data Engine Asset Weighted Composite Index. **Bonds = S&P Global Developed Aggregate Ex Collateralized Bond (USD). *** Equities = S&P Global BMI. † = Returns net of all fees and expenses. Source: Aurum Hedge Fund Data Engine.

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