In summary...
A resurgence in risk assets provided a significant tailwind to more long-biased and/or historically higher beta strategies, which were among the worst performing strategies in 2022.
There are a handful of sub-strategies that delivered strong performance both in 2022 and 2023 – quant – stat arb was up 10.9% in 2023 and 12.7% in 2022. While macro – FIRV was up 10.9% and 8.4%.
Five-year performance (CAR) for hedge funds now stands at 6.5%, comfortably outperforming bonds (-0.4%) but underperforming equities (+9.4%) from a total return perspective, however, outperforming equities from a risk-adjusted perspective (Sharpe of 0.7 vs 0.5).
Dispersion has continued to fall and now sits at levels more in line with those observed pre-COVID.
