HEDGE FUND DATA 18/12/2020

Monthly hedge fund performance review – November 2020

HEDGE FUNDS
Hedge Fund CompositeAll strategies monitored by Aurum’s Hedge Fund Data Engine generated positive returns during the uptick in market sentiment in November. The average hedge fund return in November across all strategies was 4.35%, bringing average YTD performance to 5.66%. Performance dispersion was much broader than that observed in October.
Long BiasedDuring the strong equity market performance in November, long biased funds monitored by Aurum’s Hedge Fund Data Engine generated an average return of 7.79%, bringing year-to-date gains to 8.78%. All sub-strategies were positive for the month, with the strongest performing sub-strategy being long biased equity, which was up 10.80% for the month.
QuantQuant funds monitored by Aurum’s Hedge Fund Data Engine returned an average of 0.31% in November. Despite the modestly positive performance it remained the worst performing strategy both in November and year-to-date. Quant equity market neutral strategies were the weakest performers, as has been the case year-to-date, down -3.97% on the month.
Equity Long/ShortThe Equity long/short strategy peer group monitored by Aurum’s Hedge Fund Data Engine returned 5.52% on average in November. Performance was strong across all sub-strategies. Despite the outperformance of European equity markets, US-focused funds delivered the strongest performance, up 7.11% for the month.
MacroMacro funds monitored by Aurum’s Hedge Fund Data Engine returned an average of 3.10% in November. All sub-strategies had positive performance for the month. In a reversal of October’s performance, the emerging markets macro sub-strategy was the strongest performer in November, up 5.05%. Despite moderately positive performance, fixed income relative value was the weakest performing sub-strategy, up 0.52% for the month.
Multi-StrategyMulti-Strategy funds monitored by Aurum’s Hedge Fund Data Engine returned an average of 2.35% in November. The largest multi-strategy funds were outperformed by smaller counterparts, in November funds with AUM >$5bn returned 1.85%, but the strongest performance came from funds with AUM <$0.5bn, which returned 3.92%. Multi-strategy continued to be the strongest performing master strategy monitored by Aurum’s Hedge Fund Data Engine this year, with year-to-date performance up 12.21% on average.
MARKETS
Major EventsDevelopment in the production of three COVID-19 vaccines and greater certainty around the result of the US election bolstered investor sentiment in November, even as COVID-19 cases continued to increase. US-China tensions were exacerbated by US banning 31 Chinese firms identified as “Communist Chinese military companies”. The UK and EU failed to make progress towards a Brexit agreement, despite the EU offering concessions on fishing rights, a key obstacle towards reaching an agreement.
EquitiesAll major equity indices delivered strong positive performance in November, with most adding double digits, the strongest month in 2020 to date. European equities in particular outperformed, more than offsetting the notable losses in October. US equities were supported by positive economic data.
Government BondsDespite the wider risk-on sentiment, US Treasury yields fell across a range of maturities. Demand for peripheral European bonds was healthy, and yields fell. The German parliamentary finance committee approved EUR 179.8bn of new debt to be issued in 2021, breaking Germany’s constitutional debt brake rule, Bund yields increased as a consequence.
Corporate BondsCorporate bond performance was largely positive during November. US high yield and emerging market bonds were the strongest performers; higher risk credit outperformed higher quality credit.
CurrenciesRisk on sentiment resulted in a weaker US dollar in November. Most major currencies made gains against the US dollar, but emerging market currencies’ gains were stronger than the developed market. As Brexit negotiations continued throughout the month there was some volatility in the Sterling/Euro rate, but ended the month almost flat.
CommoditiesAfter dropping significantly in October, oil prices more then recovered in November, with Brent Crude futures and WTI futures reflecting the anticipated increase in demand after positive vaccine news and OPEC+ production cuts. This was a similarly supportive market environment for industrial metal prices. Risk on sentiment hit precious metal prices.

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