Hedge Fund Data

Hedge fund industry performance review – April 2024

21/05/2024
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Hedge fund performance was generally flat in April, however this masked dispersion between underlying strategies; the average asset weighted hedge fund net return across all strategies was -0.09%. Hedge fund performance dispersion was similar to that observed in March.

HEDGE FUNDS
Hedge fund composite


Hedge fund performance was generally flat in April, however this masked dispersion between underlying strategies; the average asset weighted hedge fund net return across all strategies was -0.09%. Hedge fund performance dispersion was similar to that observed in March.
Long-biasedLong biased funds monitored by Aurum’s Hedge Fund Data Engine returned an average of -1.79%, the worst performing master strategy group during the month. Most sub-strategies had negative returns, with the exception of long biased – commodities.
QuantQuant funds monitored by Aurum’s Hedge Fund Data Engine returned 1.45% on average in April, the strongest performing master strategy group both during the month and year-to-date. Sub-strategy returns were mixed; the strongest performing sub-strategy was quant macro/GAA.
Equity long/shortEquity long/short funds returned an average of -1.26% in April, the second-weakest master strategy during the month. Most sub-strategy returns were negative; with the exception of FEMN and Asia/Pacific long/short equity.
MacroMacro funds monitored by Aurum’s Hedge Fund Data Engine generated an average net return of 0.35% in April. Most sub-strategies had positive returns, with the exception of macro emerging markets.
Multi-strategyMulti-strategy funds monitored by Aurum’s Hedge Fund Data Engine returned an average of 0.72% in April. Mid-size (AUM $1-2bn) and the largest funds (AUM >$5bn) generally outperformed other size multi-strategy funds.

MARKETS
Major eventsGeopolitical tensions negatively impacted market sentiment in April. Persistently high US inflation readings were released mid-month. Consequently, expectations of the timing of US interest rate cuts moved out to later in the year, exacerbating negativity. This environment weighed on risk assets.
EquitiesGlobal equities were generally negative in April. Losses were worse in US than European equities. Chinese stocks were a notable outperformer, supported by positive economic data releases.
Government bondsMost major economies’ 10-year bond yields increased during April. US and UK government bond yields rose by more than those in Europe – following comments from ECB President, Christine Lagard’s, which were supportive about June interest rate cuts.
Corporate bondsCredit was generally negative in April, amidst risk-off sentiment in markets. Most credit indices across the quality spectrum ended the month in negative territory, however higher-quality US credit underperformed US high yield.
CurrenciesThe US dollar strengthened against most major currencies again in April. The only exception was the South African rand, which strengthened against the US dollar. There was notable weakness in the Japanese yen, which at one point in the month reached 1990-level lows.
CommoditiesPrecious metals continued to appreciate in April, benefiting from the risk-off climate. Base metal prices rose as the UK/US imposed new sanctions on Russian exports. Oil prices were largely unchanged during the month. The recent run of extreme cocoa price rises continued.

The Hedge Fund Data Engine is a proprietary database maintained by Aurum Research Limited (“ARL”).  For information on index methodology, weighting and composition please refer to https://www.aurum.com/aurum-strategy-engine/. For definitions on how the Strategies and Sub-Strategies are defined please refer to https://www.aurum.com/hedge-fund-strategy-definitions/

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