Hedge Fund Data

Arbitrage strategy deep dive

26/11/2020
1 min read

Download full report

Download Article Download Article

12-month review to October 2020

Arbitrage strategies generated an average return of 7.1% over the last 12 months; this figure is in line with the broader equity markets over the time period, but realising a fraction of the volatility, thus producing a significantly higher Sharpe, consistency, and with a more favourable drawdown profile.

Net Return of Master & Sub-Strategies

You may also like

Hedge fund industry performance deep dive – Full year 2023

05/02/2024

In summary… A resurgence in risk assets provided a significant tailwind to more long-biased and/or historically higher beta strategies, which were among…

Monthly hedge fund industry performance review – December 2023

23/01/2024

Hedge fund performance was generally positive in December; the average asset weighted hedge fund net return across all strategies was 1.64%. All hedge…

Spotlight on funds of hedge funds: why investors use them

08/01/2024

In summary In the latest instalment of our hedge funds basics series, we look at: What are funds of hedge funds? Why do some investors choose to access…

Monthly hedge fund industry performance review – November 2023

19/12/2023

Hedge fund performance was generally positive in November; the average asset weighted hedge fund net return across all strategies was 1.73%. Most hedge…

Macro hedge fund primer: uncovering the unconstrained

27/11/2023

Global macro   |   Fixed income relative value   |   Macro emerging markets   |   CommoditiesIn summary Macro funds typically take positions…

Monthly hedge fund industry performance review – October 2023

22/11/2023

Hedge fund performance was moderately negative in October; the average asset weighted hedge fund net return across all strategies was -0.34%. Most hedge…

Hedge fund industry performance deep dive – Q3 2023

31/10/2023

In summary… Five-year CAR for hedge funds was at 4.9% at the end of Q3, above bonds at -1.7% and just above equities at 4.1%. Global equities*** and…

Monthly hedge fund performance review – September 2023

23/10/2023

Hedge fund industry performance was moderately positive in September; the average hedge fund return across all strategies was 0.08% (asset weighted net…

Monthly hedge fund performance review – August 2023

22/09/2023

Hedge fund performance was moderately positive in August; the average hedge fund net return across all strategies was 0.16%. Most hedge fund strategy groups…

Monthly hedge fund performance review – July 2023

22/08/2023

Hedge fund performance was generally positive in July; the average hedge fund net return across all strategies was 1.05%. All hedge fund strategy groups…

Hedge fund industry performance deep dive – H1 2023

31/07/2023

In summary… The hedge fund industry* was up 3.4% in H1 23 with performance being heavily weighted to the start of Q1 and the end of Q2. The best performing…

Monthly hedge fund performance review – June 2023

20/07/2023

Hedge fund performance was generally positive in June; the average hedge fund net return across all strategies was 1.40%. Equity markets rallied in June,…