Hedge Fund Data

Event deep dive – Jan 22

07/03/2022
1 min read

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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.

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