Hedge Fund Data

Multi-strategy deep dive – 2021

13/04/2021
2 min read

Download full report

Download Article Download Article

12-month review to February 2021

This is an interesting period to review performance of the multi-strategy master strategy, because it includes two particularly challenging months for the hedge fund industry, March 2020 and January 2021. To put the performance of multi-strategy hedge funds into context it is helpful to recall what happened across major markets over the past 12 months. Global equities, and many other asset classes, started to sell-off in February 2020, followed by severe dislocations in March 2020 as COVID-19 spread globally. Quick and decisive central bank intervention, however, encouraged investor confidence and triggered rebound rallies across assets; global equities finished 2020 up in the mid-teens as a percentage, led by strength in the US equity markets, whilst equities in Europe, UK and Hong Kong struggled. Energy commodities sold off significantly, due to the impact of COVID-19 on global industrial output and consumer demand. Meanwhile, ‘safe haven’ assets, such as gold and silver, experienced strong rallies. On the fixed income side, global yields fell across the board.

The re-emergence of the retail investor is a phenomenon that has been spoken about for some time. This came into the limelight at the start of 2021 when a group of young retail investors, communicating through social media, targeted certain heavily-shorted stocks in a coordinated short-squeeze in January. This caused unprecedented moves in a small number of stocks, generating severe losses for a number of funds employing equity long/short strategies with short positions in these stocks. The spill-over from this event into the broader market sparked significant deleveraging that adversely affected the wider hedge fund universe, albeit this was contained mainly within the equity long/short space. February then saw a meaningful reversal and re-tightening of the dislocations that were created in January, with many hedge funds posting their best monthly performance ever.

All–in all, this has been both a challenging and rewarding period for hedge funds, with some suffering severe losses at these inflection points, while others capitalised on the opportunities created by the dislocations. Multi-strategy funds typically have exposure across all strategies and asset classes and were at the forefront of these dislocations. Despite showing significantly higher than normal volatility, as a group, they have come through this period with significant positive performance.

Multi-strategy funds invest across a broad range of areas and Aurum’s Hedge Fund Data Engine does not have industry-wide data on the performance attribution of the underlying sub-strategies within multi-strategy funds. However, examining the performance of hedge fund strategies on a standalone basis sheds some light into the potential main drivers of multi-strategy funds’ recent returns.

NET RETURN OF MASTER STRATEGIES

All figures and charts use asset weighted returns unless otherwise stated. All data is sourced from Aurum Hedge Fund Data Engine.
* Aurum Hedge Fund Data Engine Asset-Weighted Composite Index.

You may also like

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…

Three top tips for designing an employee volunteering programme

08/04/2022

Emily Forsyth-Davies, Head of ESG, Aurum Research Limited, has recently revamped the Aurum Group’s UK employee volunteering offering. These are her three…

Monthly hedge fund performance review – February 2022

22/03/2022

Hedge fund performance was mixed in February; dispersion was tighter and losses were less severe than in January. Strategies with a higher beta to equities…

Event deep dive – Jan 22

07/03/2022

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….

Monthly hedge fund performance review – January 2022

21/02/2022

Most hedge fund strategies finished 2021 with positive performance in December, with slightly tighter dispersion than was observed in November. Strategies…

Does structure matter? Hedge funds v Alternative UCITS

15/02/2022

Since their inception in 2007, alternative UCITS, a.k.a. alt UCITS, liquid alternatives, or UCITS hedge funds have been popular with investors. Over the…

Aurum’s quarterly review – Q4 2021

27/01/2022

All of Aurum’s managed funds and bespoke accounts delivered positive returns in the fourth quarter of 2021. Performance for Aurum’s commingled funds…