Hedge Fund Data
Hedge fund industry performance deep dive – Q1 2023
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In summary…
- Global growth surprised markets positively in Q1 2023.
- Global equities*** and bonds** returned 6.35% and 3.19% respectively.
- Strategies with higher beta to equities outperformed more divergent strategies. Asset weighted average hedge fund return was 1.45% in Q1 2023.
- March was the standout month of poor performance with hedge funds down 0.39%, Macro (down 2.46%) and Quant (down 2.33%) being the biggest detractors.
- Interest rate moves resulting from several high-profile bank failures in March, had a significant impact on Macro strategies.
- 5 year CAR for hedge funds was at 4.42% at the end of the quarter, above bonds at -1.66% and just below equities at 4.49%.
- Dispersion has fallen over the quarter returning closer to the observed long-term trend prior to 2020.
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Aurum is an investment management firm focused on selecting hedge funds and managing fund of hedge fund portfolios for some of the world’s most sophisticated investors. Aurum also offers a range of single manager feeder funds.
Aurum’s portfolios are designed to grow and protect clients’ capital, while providing consistent uncorrelated returns. With 30 years of hedge fund investment experience, Aurum’s objective is to lower the barriers to entry enabling investors to access the world’s best hedge funds.
Aurum conducts extensive research and analysis on hedge funds and hedge fund industry trends. This research paper is designed to provide data and insights with the objective of helping investors to better understand hedge funds and their benefits.
HF COMPOSITE VS INDICES (1 YR)
NET RETURN (QTD)
FUND COUNT – MARCH 23
AUM ($BN) – MARCH 23
10th – 90th PERCENTILE 12M ROLLING PERFORMANCE SPREAD
NET RETURN (1 YR)
MASTER STRATEGY MULTIPLE PERIOD – HIERARCHICAL ANNUALISED NET RETURN TO MARCH 2023
The Hedge Fund Data Engine is a proprietary database maintained by Aurum Research Limited (“ARL”). For information on index methodology, weighting and composition please refer to https://www.aurum.com/aurum-strategy-engine/. For definitions on how the Strategies and Sub-Strategies are defined please refer to https://www.aurum.com/hedge-fund-strategy-definitions/
Bond and equity indices
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