Hedge Fund Data

Hedge fund industry performance review – January 2024

26/02/2024
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Hedge fund performance was generally positive in January; the average asset weighted hedge fund net return across all strategies was 0.99%. All hedge fund strategy groups had positive average returns, with the exception of long biased. Hedge fund performance dispersion was narrower than observed in December.

HEDGE FUNDS
Hedge fund compositeHedge fund performance was generally positive in January; the average hedge fund net return across all strategies was 0.99%. The strongest performing strategy for a was quant. Most underlying strategies had positive average net asset weighted returns, although long biased made losses. Hedge fund performance dispersion was slightly narrower than observed in December.
Long-biasedLong biased funds monitored by Aurum’s Hedge Fund Data Engine returned an average of -0.96%, the weakest master strategy group in January. Most sub-strategies had negative returns, with the exception of long biased – commodities.
QuantQuant funds monitored by Aurum’s Hedge Fund Data Engine returned 2.18% on average in January, the strongest performing master strategy group. Volatility in equity markets created a fertile trading environment for quant strategies. All sub-strategies had positive returns.
Equity long/shortEquity long/short funds returned an average of 1.53% in January, the second-strongest strategy during the month. Sub-strategy returns were all positive but gains in Asia/Pacific-focused funds weren’t as strong as other sub-strategies.
MacroMacro funds monitored by Aurum’s Hedge Fund Data Engine generated an average net return of 0.61% in January. All sub-strategy had positive returns, with the exception of macro emerging markets, which experienced moderately negative performance, down 0.25%.
Multi-strategyMulti-strategy funds monitored by Aurum’s Hedge Fund Data Engine returned an average of 1.41% in January. Mid-size and larger funds (with AUMs of $1-2bn and >$5bn respectively) generally outperformed their counterparts.

MARKETS
Major eventsJanuary started and ended with market volatility. The Chinese state intervened in equity markets to try and contain losses. The conflict in Gaza persisted throughout the month. Houthi rebels continued to target international commercial shipping in the Suez Canal. Iran seized an oil tanker in the Gulf of Oman.
EquitiesGlobal equities generally appreciated slightly during January, however this modestly positive number masked significant volatility at the start and end of the month. EM equities experienced significant weakness, most notably in China. The Chinese state made a 2tn yuan intervention in markets after Chinese equity indices reached five-year lows.
Government bondsAll major economies’ 10-year bond yields increased during January. US yields rose as expectations of upcoming rate cuts were pushed out to late in the year. The US 2/10y curve remained inverted, but the degree of inversion eased.
Corporate bondsDespite intra-month volatility, credit index returns were muted in January. US investment grade and high yield credit index returns ranged from moderately positive to moderately negative, amidst a resurgence in inflationary concerns. Emerging market, particularly Chinese, credit indices experienced more significant weakness.
CurrenciesThe US dollar strengthened against all major currencies in January, as expectations of US rate cuts fell. Risk-off sentiment – a consequence of wider geopolitical issues – made the US dollar’s safe haven status more appealing. The Bank of Japan maintained its ultra-accommodative yield curve control policy, and consequently the Japanese yen weakened the most against the US dollar of any major currency.
CommoditiesOil prices increased in January, as tensions escalated in the region of the Red Sea. Natural gas prices were down, as US supply was high and on expectations of unseasonably mild weather. Precious metals prices were generally down, but gold recovered somewhat in the broader market volatility at month end.

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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