Hedge Fund Data

Monthly hedge fund performance review – August 2022

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Hedge fund performance was largely positive in August, whilst equities and bonds sold off, particularly in the latter part of the month. Hedge fund performance dispersion was narrower than in July. Strategies with a higher beta to equities underperformed other strategies, as equity markets experienced significant volatility.

Hedge fund compositeMost hedge fund strategies monitored by Aurum’s Hedge Fund Data Engine delivered positive returns in August. The average hedge fund net return across all strategies was 0.59%. Performance dispersion was narrower than in July.
Long biasedLong biased funds monitored by Aurum’s Hedge Fund Data Engine returned an average of -3.10% in August, the weakest performing strategy during the month and year-to-date. The poorest performing sub-strategy was long biased – diversified growth, which was down 4.81%.
QuantQuant funds monitored by Aurum’s Hedge Fund Data Engine returned 1.46% on average in August. It remains the strongest performing strategy year-to-date, where it is up 9.89%. There was significant variation in sub-strategy performance, ranging from quantitative equity market neutral, -3.08%, to quant macro/GAA which was up 3.47%.
Equity long/shortEquity long/short funds monitored by Aurum’s Hedge Fund Data Engine returned an average of 0.20% in August, in a month where global equities came under pressure. Most sub-strategies were flat or slightly positive for the month, with the exception of global and US long short, which made losses.
MacroMacro funds monitored by Aurum’s Hedge Fund Data Engine generated an average net return of 2.11% in August. Sub-strategies returns were positive, with the exception of commodities. Global macro, which returned 3.59%, was the best performing sub-strategy for the month, and remains the strongest performing macro sub-strategy year-to-date.
Multi-strategyMulti-strategy funds monitored by Aurum’s Hedge Fund Data Engine returned an average of 1.47% in August. It is the second-strongest performing strategy group year-to-date. Smaller funds, with an AUM of $0.5bn – $1bn, were the best performers, up 1.74%.

Major eventsThe mid-month release of Fed minutes and Jerome Powell’s speech at the Jackson Hole Symposium towards the end of August conveyed the Fed’s determination to bring inflation under control. Consequently, markets were volatile and bifurcated, in a reversal of July’s uptick in sentiment.
EquitiesAugust started with a continuation of the market recovery that kicked off in the later part of July. However, this ended when the Fed minutes were released mid-month, emphasising the commitment to bringing inflation back down to the target range. Most developed market equity indices finished the month down, further entrenching year-to-date losses. Emerging markets performed somewhat better.
Government bondsGlobal government bond yields continued to increase in August, amidst pressure from central banks’ increasingly hawkish stances. The US yield curve flattened. European bond yields increased significantly, particularly on the periphery.
Corporate bondsCorporate bonds performance was generally negative in August. Lower-quality credit outperformed investment grade. Prices of bonds at all credit qualities have fallen year-to-date.
CurrenciesThe US dollar strengthened in August after the Fed’s messaging about its commitment to lowering inflation. The euro hit a two-decade low in August, dipping below parity with the US dollar. Sterling also weakened against the US dollar in the face of concern about inflation and recession, and in the uncertainty of the final days of the Conservative Party leadership contest for the new prime minister. The Mexican peso and Russian ruble were the only exceptions, strengthening against the US dollar.
CommoditiesCommodity performance was largely negative in August, in the face of recessionary pressures. Natural gas was a notable exception, up over 10% on as uncertainty continued about the delivery of Russian gas to Europe. Precious metals prices were down, silver more so than gold. In agricultural commodities, cotton prices soared on supply concerns related to droughts in China and wheat prices fell as successful export shipments left Ukraine.

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