HEDGE FUND DATA 20/08/2021

Monthly hedge fund performance review – July 2021


Hedge fund performance was, on average, flat in July, but this masked dispersion among strategies and sub-strategies. July was a mixed month for markets, defined by COVID-related intra-month developed equity market volatility and the fallout from Chinese regulatory action.

Hedge fund compositePerformance was mixed across strategies monitored by Aurum’s Hedge Fund Data Engine in July. The average hedge fund return in July across all strategies was 0.18%, bringing year-to-date performance to 6.05%. Performance dispersion was slightly tighter than that observed in June.
Long biasedLong Biased funds monitored by Aurum’s Hedge Fund Data Engine generated positive returns in July of 0.59%. All sub-strategies, except for Long Biased Equity, generated positive performance. The strongest performing sub-strategy was Long Biased Diversified Growth, returning 2.90.
QuantQuant funds monitored by Aurum’s Hedge Fund Data Engine generated 1.75% in July, a very strong month in the context of recent performance for the strategy. All sub-strategies delivered positive performance. Quantitative Equity Market Neutral performed particularly well, up 4.42%, benefiting from intra-month volatility in equity markets.
Equity long/shortEquity Long/Short funds monitored by Aurum’s Hedge Fund Data Engine returned an average of -0.46% in July as equity market performance was volatile throughout July. Performance was mixed among sub-strategies. Asia Pacific and Sector focused funds performed particularly poorly, whilst European L/S funds held up well.
MacroMacro was the weakest performing master strategy monitored by Aurum’s Hedge Fund Data Engine for a second month; the average return in July was -0.90%. Most sub-strategies had a negative or flat average return, with the exception of Macro Commodities, which returned 1.05%, another strong month for the sub-strategy.
Multi-strategyMulti-strategy funds monitored by Aurum’s Hedge Fund Data Engine returned an average of 0.39% in July. Performance was mixed by fund size; the smallest funds (<$0.5bn) and large funds ($2-5bn) had negative returns, but all other sizes delivered positive returns.
Major eventsThe Taliban takeover of Afghanistan advanced throughout the month, as progress failed to be made in talks between the Taliban and the Afghan government. The US announced new sanctions on Cuba. Tunisia faced its biggest political crisis in years, when the president ousted the government and froze parliament. The WHO warned that the world is entering another wave of COVID-19. A number of Chinese industries were hit with interventions from competition regulators.
EquitiesDespite intra-month volatility, developed market equity indices broadly delivered positive performance in July; weakness in Asian and emerging markets persisted. Chinese equities experienced a huge sell-off at month end after multiple regulatory changes impacting the education, tech and property sectors.
Government bondsGovernment bond yields fell across the US, UK and Europe, as investors sought safe haven assets in the face of equity market volatility. The US Treasury yield curve continued to flatten. Irish 10-year bond yields went into negative territory.
Corporate bondsCorporate bond performance was mixed in July. Riskier high yield bonds made losses, although despite this they remain the outperformer year to date. Local currency emerging market credit indices were outperformed by hard currency equivalents.
CurrenciesThe US dollar reversed intra-month gains in the face of dovish Fed comments. The Japanese yen benefited from its safe haven reputation in the face of equity market volatility. Sterling made gains against the US dollar after “Freedom Day”, when remaining COVID restrictions were lifted in England. The Australian dollar made losses as further regional lockdowns were announced.
CommoditiesJuly was, overall, another strong month for commodities. Gold, a traditional safe haven asset, made gains amidst equity volatility. An increase in OPEC+ production limits resulted in falls in oil prices mid-month, but these recovered quickly closing the month up.

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