HEDGE FUND DATA 20/01/2020

Hedge Fund Performance by Strategy – 2019

Hedge Fund Industry Performance by Strategy – Full Year

Reporting Indicator of Eligible Funds Having Reported (as at 20 Jan-20).  By fund assets (Dec): 76%.  By no. of funds (Dec): 62%. Total Monthly Fund Returns Received (12m to Dec-19): 88%.

Source: Aurum’s proprietary Hedge Fund Data Engine database containing data on over 4,000 hedge funds representing in excess of $2.9 trillion of assets as at December 2019. Information in the database is derived from multiple sources including Aurum’s own research, regulatory filing, public registers and other database providers. Performance in the above chart is asset weighted. Box size reflects the AUM of the hedge fund industry, as tracked by Aurum. See the disclaimer and strategy definition for further details.

Long biased and Equity L/S had an unsurprisingly strong 2019 given their environment (the S&P 500 ending up 29%). Long biased funds have not enjoyed such a strong year since the 2009 rebound, while Equity L/S and Event Driven strategies had their strongest years since 2013.  Within Event Driven the outsized returns were predominantly driven by the Activist space, which had a particularly strong year, again somewhat on the coat tails of the market. Macro put in its strongest return since 2009, albeit still a relatively paltry 8.42% (still below the average HF Universe return of 10.56% for 2019) with EM Macro having been hit particularly hard by the Argentina fallout in August. Multi-Strategy had a good year after a flattish 2018. Quant managers struggled, however there was some significant sub-strategy dispersion, with CTAs enjoying their strongest year since 2014, up 8.22%. QEMN and Stat Arb posted modest single digit returns against a backdrop of low realised market volatility, while Quant Macro performed poorly, with a small number of very large funds skewing performance to the downside.

Hedge Fund Industry Performance by Strategy – December 2019

Reporting Indicator of Eligible Funds Having Reported (as at 20 Jan 20).  By fund assets: 76%.  By no. of funds: 62%.

Source: Aurum’s proprietary Hedge Fund Data Engine database containing data on over 4,000 hedge funds representing in excess of $2.9 trillion of assets as at December 2019. Information in the database is derived from multiple sources including Aurum’s own research, regulatory filing, public registers and other database providers. Performance in the above chart is asset weighted. Box size reflects the AUM of the hedge fund industry, as tracked by Aurum.  See the disclaimer and strategy definition for further details.