Hedge Fund Data

Quant strategy deep dive

30/09/2020
1 min read

Download full report

Download Article Download Article

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.

Net Return of Master & Sub-Strategies

You may also like

Multi-strategy hedge fund primer: deep dive into diversification

10/05/2024

Multi-strategy at a glance  |   Business types  |   Table of characteristics   |   Strategies deployed   |   Portfolio construction   | …

Aurum’s quarterly review – Q1 2024

22/04/2024

Performance for Aurum’s commingled fund of hedge funds $US classes ranged from +1.5% to +3.8% in the first quarter of 2024. Multi-strategy and systematic…

Hedge fund industry performance deep dive – Q1 2024

18/04/2024

In summary… Hedge funds ended Q1 2024 up 4.9%, outperforming bonds, -2.1%, but behind equities, +7.3% Quant was the strongest performing master strategy…

Monthly hedge fund industry performance review – March 2024

17/04/2024

Hedge fund performance was generally positive in March; the average asset weighted hedge fund net return across all strategies was 2.06%. For a second…

Monthly hedge fund industry performance review – February 2024

20/03/2024

Hedge fund performance was generally positive in February; the average asset weighted hedge fund net return across all strategies was 1.80%. All hedge…

Monthly hedge fund industry performance review – January 2024

26/02/2024

Hedge fund performance was generally positive in January; the average asset weighted hedge fund net return across all strategies was 0.99%. All hedge fund…

Hedge fund industry performance deep dive – Full year 2023

05/02/2024

In summary… A resurgence in risk assets provided a significant tailwind to more long-biased and/or historically higher beta strategies, which were among…

Monthly hedge fund industry performance review – December 2023

23/01/2024

Hedge fund performance was generally positive in December; the average asset weighted hedge fund net return across all strategies was 1.64%. All hedge…

Spotlight on funds of hedge funds: why investors use them

08/01/2024

In summary In the latest instalment of our hedge funds basics series, we look at: What are funds of hedge funds? Why do some investors choose to access…

Monthly hedge fund industry performance review – November 2023

19/12/2023

Hedge fund performance was generally positive in November; the average asset weighted hedge fund net return across all strategies was 1.73%. Most hedge…

Macro hedge fund primer: uncovering the unconstrained

27/11/2023

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

Monthly hedge fund industry performance review – October 2023

22/11/2023

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