Quant strategy deep dive

Global macro   |   Fixed income relative value   |   Macro emerging markets   |   CommoditiesIn summary Macro funds typically take positions…

Hedge fund performance was moderately negative in October; the average asset weighted hedge fund net return across all strategies was -0.34%. Most hedge…

Performance for Aurum’s commingled fund of hedge funds $US classes ranged from +1.7% to +2.4% in the third quarter of 2023, against a backdrop of negative…

In summary… Five-year CAR for hedge funds was at 4.9% at the end of Q3, above bonds at -1.7% and just above equities at 4.1%. Global equities*** and…

Hedge fund industry performance was moderately positive in September; the average hedge fund return across all strategies was 0.08% (asset weighted net…

Hedge fund performance was moderately positive in August; the average hedge fund net return across all strategies was 0.16%. Most hedge fund strategy groups…

Hedge fund performance was generally positive in July; the average hedge fund net return across all strategies was 1.05%. All hedge fund strategy groups…

In summary… The hedge fund industry* was up 3.4% in H1 23 with performance being heavily weighted to the start of Q1 and the end of Q2. The best performing…

Performance for Aurum’s commingled fund of hedge funds $US classes ranged from -0.9% to +0.2% in the second quarter of 2023. The outlook at the beginning…

Hedge fund performance was generally positive in June; the average hedge fund net return across all strategies was 1.40%. Equity markets rallied in June,…

QEMN   |   Statistical arbitrage   |   Managed futures/CTAs   |   Quant macro/GAA   |   Alternative risk premiaIn summary Quantitative…

Hedge fund performance was flat in May; the average hedge fund net return across all strategies was 0.02%. Market volatility was notably higher than observed…