Hedge Fund Data

Quant deep dive – 2021

08/10/2021
1 min read

Download full report

Download Article Download Article

In summary…

Whilst over the 12 months to August, quant funds saw positive performance, it has remained a challenging environment on a relative basis when benchmarked to the rest of the hedge fund universe as observed by Aurum Hedge Fund Data Engine; only macro funds have performed worse than Quant over the period.

Over the same time period equities have continued their exceptionally strong run of performance while bonds
were flat.

Although there are broad themes at the strategy and sub-strategy level, it should be noted that there remains some extremely high levels of performance dispersion between the top and bottom 10% of performing funds within the quant strategy.

It should be noted that there remains some extremely high levels of performance dispersion between the top and bottom 10% of performing funds within the quant strategy.

This measure of dispersion remains at elevated levels as at the report date, comparable in magnitude to Q1 2020 and prior to that the summer of 2015.

At the sub-strategy level, risk premia and CTAs outperformed, while quant equity market neutral (QEMN) and quant macro underperformed.

The quant master strategy assets under management (AUM) as observed by Aurum Hedge Fund Data Engine grew marginally by $5.5bn to $432bn; the rise was due to net positive P&L produced by the strategy (+$25.8bn), but was offset by corresponding net investor outflows (-$20.6bn). At the sub-strategy level QEMN saw by far the largest outflows (-$12bn).

Quant strategies accounted for 13.7% of the hedge fund universe as covered by the Aurum Hedge Fund Data Engine database as of the end of August 2021, which represents a small decrease (-0.3%) from 12 months ago, where it stood at 14.0%.

CHANGE IN FUND COUNT (1YR)

The number of reporting quant funds fell 16% from 520 to 446. The biggest fall in reporting funds was in the risk premia strategy (-22%) and the CTA strategy (-14%).

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.

You may also like

Arbitrage deep dive – Oct 22

07/12/2022

The period under review includes ‘the worst cross asset selloff since 1981’ with simultaneous declines across equities, commodities, corporate and…

Monthly hedge fund performance review – October 2022

21/11/2022

Hedge fund performance was largely positive in October. Strategies with a higher beta to equities outperformed other strategies, as most equity markets…

Macro deep dive – Sep 22

28/10/2022

Macro funds generated an average return of 2.2% in the 12 months through September 2022. Strategy AUM has fallen by $11.1bn, due to net outflows of $16.3bn…

Aurum’s quarterly review – Q3 2022

25/10/2022

All of Aurum’s managed funds and bespoke accounts delivered positive returns in the third quarter of 2022. Performance for Aurum’s commingled fund…

Monthly hedge fund performance review – September 2022

18/10/2022

Hedge fund performance was mixed in September, whilst equities and bonds sold off, particularly in the latter part of the month. Hedge fund performance…

Quant deep dive – Aug 22

06/10/2022

Quant funds generated an average return of 12.8% in the 12 months to August 2022 Strategy AUM has grown by $42.8bn, net profits contributed $47.8bn of…

Monthly hedge fund performance review – August 2022

22/09/2022

Hedge fund performance was largely positive in August, whilst equities and bonds sold off, particularly in the latter part of the month. Hedge fund performance…

Monthly hedge fund performance review – July 2022

18/08/2022

Hedge fund performance was generally positive in July, albeit with some exceptions, with narrower dispersion than in June. Strategies with a higher beta…

Does structure matter? Hedge funds v alternative UCITS – H1 2022 update

08/08/2022

Earlier this year we wrote about the growing performance gap that has emerged between hedge funds and their alternative UCITS (“alt UCITS”) counterparts…

Hedge fund industry deep dive – H1 22

01/08/2022

Hedge fund performance was down 4.0% YTD. H1 2022 has been an extraordinarily challenging time period, not only for financial markets, but also for the…

Aurum’s quarterly review – Q2 2022

26/07/2022

All of Aurum’s managed funds and bespoke accounts delivered positive returns in the second quarter of 2022. Performance for Aurum’s commingled fund…

Why manager selection is critical when building a hedge fund portfolio

21/07/2022

Manager selection is critical when it comes to investing in hedge funds or fund of hedge funds. In the latter part of 2021, we did a short note looking…