HEDGE FUND DATA 20/05/2021

Monthly hedge fund performance review – April 2021


Progress in the vaccine roll-out, stronger-than-expected corporate earnings and the US stimulus package contributed to more optimistic market sentiment in April. Most hedge fund strategies generated positive performance.

Hedge fund compositeMost strategies monitored by Aurum’s Hedge Fund Data Engine generated strong positive returns in April. The average hedge fund return across all strategies was 2.15%, bringing year-to-date performance to 4.65%. Performance dispersion was slightly narrower than that observed in March.
Long biasedLong Biased funds monitored by Aurum’s Hedge Fund Data Engine generated positive returns in April of 2.97%. All sub-strategies generated positive performance. The strongest performing sub-strategy was Long Biased Commodities, amidst supply chain disruptions in commodities and improvement in the outlook for global economic growth.
QuantQuant funds monitored by Aurum’s Hedge Fund Data Engine generated 2.35% in April, a second consecutive month of strong performance after an extended poor run for the strategy. Quantitative Equity Market Neutral and CTAs were the strongest performing sub-strategies, returning 3.89% and 2.81% respectively in April.
Equity long/shortEquity Long/Short was the strongest performing master strategy monitored by Aurum’s Hedge Fund Data Engine; the average return in April was 2.83%. All sub-strategies generated positive performance, the strongest being Global L/S with an average return of 4.59%. Equity L/S was the master strategy with the widest dispersion in April.
MacroMacro funds monitored by Aurum’s Hedge Fund Data Engine returned an average of 1.00% in April. Macro is the poorest performing strategy year to date, with average performance of 1.88%. Macro Commodities was the strongest performing sub-strategy, up 9.03% in April.
Multi-strategyMulti-strategy funds monitored by Aurum’s Hedge Fund Data Engine returned an average of 1.52% in April. All sizes of funds delivered positive returns. Smaller funds (<$1bn) and the largest funds (>$5bn) delivered the strongest returns, whilst mid-sized funds ($1bn - $5bn) generated slightly more muted average returns.
Major eventsIndia’s coronavirus crisis worsened, with oxygen shortages across the country and the collapse of the hospital system. 45 people died and 150 were injured in a crush at the holy site Mount Meron in Israel. Egypt seized the Ever Given, the ship that grounded and blocked traffic in the Suez Canal, over a US$900m compensation bill. US interest rates were left unchanged, on Fed expectations that the recent rise in inflation is transitory. US Treasury Secretary Janet Yellen hinted at plans for a minimum global corporate tax rate. Separately, the US imposed sanctions on Russia for its alleged meddling in the US election and for continuing to escalate tensions in Ukraine.
EquitiesEquity indices broadly delivered strong positive performance in April. Positive economic data supported US equities, which predominantly made gains at the start of the month. Gains in European equities were more contained, on continuing concerns about a third wave in Europe. Japanese equities were one of the weaker performers globally, as parts of the country entered lockdown.
Government bondsGovernment bond yields fell in April, after a significant increase in March. Reports about a planned increase in capital gains tax for wealthy US individuals bolstered Treasuries’ demand, as did uncertainty mid-month as the Johnson and Johnson vaccine use was briefly suspended. Core and peripheral European bond yields increased, as successful vaccination programme roll outs led to more risk-on sentiment and less demand for safe haven assets.
Corporate bondsCorporate bond performance was positive in April. High yield continued to outperform investment grade for yet another month. Local currency emerging market credit indices led gains, supported by emerging market currency gains against the US dollar.
CurrenciesThe US dollar continued to weaken in April. Most currencies made gains against the dollar. As Brazil moved past the worst of the COVID-19 resurgence in March, the real made strong gains against the US dollar. Conversely, the Indian rupee weakened against the US dollar as the COVID-19 pandemic worsened across the country.
CommoditiesApril was a very strong month for commodities, bolstered by the general improvement in global economic outlook, but also due to supply chain disruptions. Agricultural commodities led gains, particularly those exported by Brazil, due to supply concerns and the Brazilian real’s strength against the US dollar. Oil prices closed the month up after volatility triggered by the OPEC+ decision to curb production cuts.

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