Hedge Fund Data
Quant strategy deep dive
30/09/2020
1 min read
12-month review to August 2020
The last 12 months have been extremely challenging for the quant space as a whole. Quant hedge funds monitored by the Aurum Hedge Fund Data Engine delivered a net return of -5.7% on an asset-weighted basis, significantly below the Aurum Hedge Fund Composite Index*, which returned 5.2%. With the exception of statistical arbitrage (stat arb), all sub-strategies within quant were also negative for the period. Overall, the observed quant space AUM has shrunk in size, due in equal measure to net outflows and poor performance.