Hedge Fund Data

Hedge fund industry performance review – November 2023

19/12/2023
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Hedge fund performance was generally positive in November; the average asset weighted hedge fund net return across all strategies was 1.73%. Most hedge fund strategy groups had positive average returns. Strategies with a higher beta to equities outperformed as equity markets rallied. Hedge fund performance dispersion was broader than observed in October.

HEDGE FUNDS
Hedge fund compositeHedge fund performance was generally positive in November; the average hedge fund net return across all strategies was 1.73%. The strongest performing strategy during the month was long biased. Most underlying strategies had positive average net asset weighted returns; strategies exhibiting a higher beta to equities were the strongest performers. Hedge fund performance dispersion was wider than observed in October.
Long-biasedLong biased funds monitored by Aurum’s Hedge Fund Data Engine returned an average of 5.19% in November, the strongest master strategy group in November and the strongest month for the strategy year-to-date.
QuantQuant funds monitored by Aurum’s Hedge Fund Data Engine returned -1.82% on average in November, the weakest performing master strategy group. Sub-strategy returns varied – the weakest performers were CTA and quant macro/GAA, but other sub-strategies had positive returns.
Equity long/shortEquity long/short funds returned an average of 4.15% in November, the second-strongest strategy during the month as equity markets rallied. Sub-strategy returns were all positive – with sector focused funds experiencing the strongest performance.
MacroMacro funds monitored by Aurum’s Hedge Fund Data Engine generated an average net return of 0.54% in November. Sub-strategy returns varied, from global macro, down 0.41% to macro emerging markets, up 3.11%.
Multi-strategyMulti-strategy funds monitored by Aurum’s Hedge Fund Data Engine returned an average of 0.65% in November. Smaller and mid-sized funds (with an AUM of up to $2bn) generally outperformed their larger counterparts.

MARKETS
Major eventsEquity markets staged a significant rally in November. Market sentiment was supported by lower inflationary pressures, and lower expectations of further interest rate rises. All 10-year major government bond yields fell.
EquitiesMost major equity indices staged a significant rally in November after positive inflation data releases in the US and Europe. US, Japanese and European equities, and tech stocks were notable strong performers. Chinese equities were an exception from the wider positive picture – as issues with the country’s property sector persist.
Government bondsAll major economies’ 10-year bond yields fell during November, responding to deflationary economic releases. Peripheral European government bond yields fell in response to improving credit ratings.
Corporate bondsCredit indices across the quality spectrum made gains in November, supported by risk-on market sentiment and weaker-than-expected US jobs data.
CurrenciesThe US dollar weakened against most major currencies in November and giving back all year-to-date gains. This was in spite of FOMC minutes suggesting that monetary policy would remain tight, but markets moved to more risk-on sentiment, the US dollar’s safe haven status became less appealing. The South African rand was the only major currency to weaken against the US dollar.
CommoditiesOil prices fell in November, as OPEC+ delayed production cuts and US oil inventories remained elevated. Natural gas prices fell on milder-than-expected weather forecasts. Precious metals prices benefited from US dollar weakness.

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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