Hedge Fund Data
Hedge fund industry performance review – February 2024
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In summary
Hedge fund performance was generally positive in February; the average asset weighted hedge fund net return across all strategies was 1.80%. All hedge fund strategy groups had positive average returns. Hedge fund performance dispersion was broader than observed in January.
About Aurum
Aurum is an investment management firm focused on selecting hedge funds and managing fund of hedge fund portfolios for some of the world’s most sophisticated investors. Aurum also offers a range of single manager feeder funds.
Aurum’s portfolios are designed to grow and protect clients’ capital, while providing consistent uncorrelated returns. With 30 years of hedge fund investment experience, Aurum’s objective is to lower the barriers to entry enabling investors to access the world’s best hedge funds.
Aurum conducts extensive research and analysis on hedge funds and hedge fund industry trends. This research paper is designed to provide data and insights with the objective of helping investors to better understand hedge funds and their benefits.
| HEDGE FUNDS | ||
|---|---|---|
| Hedge fund composite |  | Hedge fund performance was generally positive in February; the average hedge fund net return across all strategies was 1.80%. The strongest performing strategy was equity long/short. All underlying strategies had positive average net asset weighted returns. Hedge fund performance dispersion was broader than observed in January. |
| Long-biased | | Long biased funds monitored by Aurum’s Hedge Fund Data Engine returned an average of 2.38%, supported by surging equity markets and broader risk-on sentiment in markets. All sub-strategies had positive returns. |
| Quant | | Quant funds monitored by Aurum’s Hedge Fund Data Engine returned 3.04% on average in February, the strongest performing master strategy group year-to-date. Intra-month volatility in equity markets created a fertile trading environment for quant strategies. All sub-strategies had positive returns. |
| Equity long/short | | Equity long/short funds returned an average of 3.34% in February, the strongest strategy during the month. Sub-strategy returns were all positive; sector-focused funds were the strongest. |
| Macro |
| Macro funds monitored by Aurum’s Hedge Fund Data Engine generated an average net return of 0.10% in February. Sub-strategy returns were mixed, ranging from macro – emerging markets, up 1.19%, to global macro, down 0.40%. |
| Multi-strategy | | Multi-strategy funds monitored by Aurum’s Hedge Fund Data Engine returned an average of 0.83% in February. Mid-size funds (with AUMs of $0.5-$2bn) generally outperformed their smaller and larger counterparts. |
| MARKETS | ||
|---|---|---|
| Major events | February saw surging equity markets, albeit with some intra-month volatility. The Chinese government made a number of interventions which resulted in a partial recovery in Chinese equity markets. FOMC minutes indicated that the likelihood of a US interest rate cut in March was diminishing. | |
| Equities | | Global equities appreciated significantly during February, although there was some volatility during the month. This was largely driven by strong performance in AI/tech stocks. After an extended period of weakness, Chinese equities rebounded significantly, after market interventions from state-backed investors. |
| Government bonds |  | Most major economies’ 10-year bond yields increased significantly during February. The release of the FOMC minutes pushed out expectations of rate cuts later into the year, consequently US yields rose. The US 2/10y curve inverted further. |
| Corporate bonds |
| High yield bonds outperformed higher-quality credit. Losses for US investment grade credit were concentrated at the beginning of the month in response to a better-than-expected US jobs data release. Lower-quality credit performed well amidst broader risk-on sentiment in markets. |
| Currencies | The US dollar strengthened against most major currencies in February, as expectations of US rate cuts fell. The Japanese yen weakened against the US dollar as inflation fell to within the BoJ’s target range and Japan moved into a technical recession. Cryptocurrency, Bitcoin, increased in price following increased ETF demand. | |
| Commodities | | Oil prices increased in February as tensions escalated between Venezuela and Guyana and Russia instituted a six-month ban on petroleum exports. Natural gas prices were down, as supply was high and unseasonably mild weather continued. Precious metals prices were generally down amidst broader risk-on sentiment. |
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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