Hedge Fund Data

Event deep dive – Jan 22

07/03/2022
1 min read

Download full report

Download Article Download Article

In summary…

  • Event driven funds generated an average return of +9.1% in the 12 months to January 2022.
  • AUM has grown by $28.5bn, 76% of this growth was driven by performance.
  • Activist was the strongest performing event driven sub-strategy generating an average return of 14.4%.
  • Multi-strategy had the lowest standard deviation amongst sub-strategies of 2.2% and suffered only one negative month in the period.

Overview

Event driven funds performed reasonably well in the 12 months to January 2022, generating an average return of +9.1%. The strategy was positive for 9 of 12 months, with the worst monthly drawdown in January 2022 when the master strategy was down -1.6%.

Event driven is the third smallest strategy monitored by Aurum’s Hedge Fund Data Engine by number of funds, consisting of 230 funds out of the ~ 4,000 funds monitored. The combined AUM of those event driven funds is $271.2bn having grown as a result of net investor inflows of $6.8bn and net profits of $21.7bn in the 12-month review period, while the number of event-driven funds monitored increased by 11 funds.

Event driven was the third best performing master strategy in the 12 months to January 2022 (outperformed only by multi-strategy and quant). All event driven sub-strategies delivered positive performance over the review period, however, there was wide dispersion between the top and bottom performing sub-strategies ranging from +3.0% for merger arbitrage to +14.4% for activist.

Event driven was the third best performing master strategy in the 12 months to January 2022 – outperformed only by multi-strategy and quant.

Some strategies within event like SPACs, which had generated exceptional returns in 2020, were more challenged in 2021. The huge supply of SPAC capital to the market accompanied by enormous investor appetite, including that of insatiable retail investors was a big tailwind for SPACs in 2020. Coming into 2021, however, valuations were more stretched prompting investors to scrutinise some of the acquisitions more closely causing a broad SPAC selloff.

NET RETURN OF MASTER AND SUB-STRATEGIES (1 YR)

*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.

Download the full report here

You may also like

Does structure matter? Hedge funds v alternative UCITS – H1 2022 update

08/08/2022

Earlier this year we wrote about the growing performance gap that has emerged between hedge funds and their alternative UCITS (“alt UCITS”) counterparts…

Hedge fund industry deep dive – H1 22

01/08/2022

H1 2022 has been an extraordinarily challenging time period, not only for financial markets, but also for the global geopolitical landscape. The hedge…

Aurum’s quarterly review – Q2 2022

26/07/2022

All of Aurum’s managed funds and bespoke accounts delivered positive returns in the second quarter of 2022. Performance for Aurum’s commingled fund…

Why manager selection is critical when building a hedge fund portfolio

21/07/2022

In the latter part of 2021, we did a short note looking at how investors in hedge funds that have a higher exposure to beta-driven strategies had been…

Monthly hedge fund performance review – June 2022

15/07/2022

Hedge fund performance was mixed in June, with wider dispersion than in May. Strategies with a higher beta to equities continued to underperform other…

Equity long/short deep dive – May 22

06/07/2022

Equity l/s underperformed over the past year, with the strategy underperforming directional equities, as well as the broader hedge fund universe. Equity…

Monthly hedge fund performance review – May 2022

20/06/2022

Hedge fund performance was generally negative in May, with wider dispersion than in April. Macro was the only master strategy with positive returns. Strategies…

Multi-strategy deep dive – Apr 22

31/05/2022

Multi-strategy funds posted 12 consecutive months of positive returns during a period that provided a number of significant challenges across the hedge…

Is performance or asset gathering driving growth in hedge fund industry assets?

23/05/2022

In the wake of recent market volatility, even more investors are seeking downside protection from hedge funds, resulting in large inflows into the hedge…

Monthly hedge fund performance review – April 2022

19/05/2022

Hedge fund performance was mixed in April with slightly wider dispersion than in March. Strategies with a higher beta to equities remained weaker than…

Aurum’s quarterly review – Q1 2022

26/04/2022

All of Aurum’s managed funds and bespoke accounts delivered positive returns in the first quarter of 2022. Performance for Aurum’s commingled fund…

Monthly hedge fund performance review – March 2022

20/04/2022

Hedge fund performance was generally positive in March; dispersion was slightly wider than in February. Strategies with a higher beta to equities remained…