HEDGE FUND DATA 20/10/2021

Monthly hedge fund performance review – September 2021


Hedge fund performance was mixed in September, with wider performance dispersion than was observed in August. Strategies with higher beta to equities struggled in volatile equity markets. Multi-strategy funds were a notable exception, which generally delivered a very strong month of performance. Three big stories dominated the news agenda: the US Federal Reserve’s announcement that it would begin tapering its asset purchase programme, the Evergrande debt crisis, and spiking energy prices.

Hedge fund compositeHedge fund strategies monitored by Aurum’s Hedge Fund Data Engine delivered mixed returns in September. The average hedge fund return in September across all strategies was -0.17%, bringing year-to-date performance to 6.65%. Performance dispersion was wider than that observed in August.
Long biasedLong Biased funds monitored by Aurum’s Hedge Fund Data Engine returned an average of -2.36% in September, the weakest performing master strategy during the month. All sub-strategies were negative for the month, with the exception of Long Biased – Commodities, which was up 0.02%.
QuantQuant funds monitored by Aurum’s Hedge Fund Data Engine generated 0.32% in September. Sub-strategies delivered mixed performance. Quant Macro/GAA, the largest sub-strategy, was the strongest performing. Quantitative Equity Market Neutral and Risk Premia were the weakest performing.
Equity long/shortEquity Long/Short funds monitored by Aurum’s Hedge Fund Data Engine returned an average of -0.81% in September as equity market volatility spiked during the month. Most sub-strategies had negative performance, with the exception of Global, Asia Pacific and Fundamental Equity Market Neutral. US and Sector focused funds were the worst performers.
MacroMacro funds monitored by Aurum’s Hedge Fund Data Engine had an average return in September of -0.17%. It is the weakest performing strategy year to date, with a return of 1.42%. Sub-strategy returns were varied, the poorest performing strategy was Macro Emerging Markets and the strongest performing was Commodities.
Multi-strategyMulti-strategy funds monitored by Aurum’s Hedge Fund Data Engine returned an average of 2.47% in September. All fund sizes delivered positive performance; however the largest funds delivered the strongest performance.
Major eventsThe US Federal Reserve’s announcement that it will begin tapering its asset purchase programme in November 2021 dominated global markets during September. A number of events in China aggravated volatility in global markets, as fear of contagion mounted. These included coal shortages, which triggered an energy crisis, and the near-default of Evergrande, a heavily-indebted Chinese property developer. Energy prices soared, contributing to concerns about inflation.
EquitiesEquity indices were almost all negative in September, impacted by COVID concerns heading into winter and a slew of issues in China which created fear of contagion in global markets. Perhaps surprisingly, Chinese equities were one of the few markets (along with Japan) which closed the month up, supported by the Chinese central bank’s reassurances of support to property markets. Developed market equities performed worse than emerging markets.
Government bondsGovernment bond yields rose sharply in September, as central banks gave clarity on the time frame of asset purchase tapering and the increasing likelihood of imminent interest rate hikes. UK bond yields once again saw the largest increase, as concerns about inflation, and the impact it could have on the economic recovery, heightened.
Corporate bondsCorporate bond performance was mixed in September. Fear of contagion from the Evergrande saga unfolding in China negatively impacted high yield bonds mid and late month, however, for a second month high yield outperformed investment grade credit. Emerging market credit underperformed.
CurrenciesThe US dollar strengthened against most major currencies during September, as investors sought a safe haven from energy price volatility and concerns stemming from the embattled Evergrande. Sterling fell during the month as the fuel crisis deepened in the UK. Despite the issues surrounding Evergrande debt, the Chinese yuan ended September slightly stronger vs the US dollar.
CommoditiesThe news cycle in September was dominated by the fallout from huge increases in the price of energy, particularly natural gas, driven by surging demand and supply concerns. Both precious and (most) industrial metal prices fell. There was less volatility in agricultural commodities, with the exception of cotton prices which spiked as a result of supply concerns.


Download the full report here