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.
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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