Hedge Fund Data

Monthly hedge fund performance review – August 2023

22/09/2023
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Hedge fund performance was moderately positive in August; the average hedge fund net return across all strategies was 0.16%. Most hedge fund strategy groups had positive asset weighted average returns. Strategies with a lower beta to equities outperformed. Equity markets declined as the possibility of persistent high interest rates became more likely. Hedge fund performance dispersion was similar to that observed in July.

HEDGE FUNDS
Hedge fund compositeHedge fund performance was moderately positive in August; the average hedge fund net return across all strategies was 0.16%.
The strongest performing strategy during the month was multi-strategy. Most underlying strategies had positive average net asset weighted returns, with the exception of strategies with a higher beta to equities. Hedge fund performance dispersion was similar to that observed in July.
Long-biasedLong biased funds monitored by Aurum’s Hedge Fund Data Engine returned an average of -2.19% in August, the weakest-performing strategy during the month. Sub-strategy returns were all negative. The worst-performing sub-strategy was long biased – equity, down 2.81%.
QuantQuant funds monitored by Aurum’s Hedge Fund Data Engine returned 0.87% on average in August. All sub-strategy returns were positive, with the exception of CTAs. Quant macro/GAA was the best-performing sub-strategy, up 2.20%.
Equity long/shortEquity long/short funds returned an average of -0.53% in August, amidst weakness in equity markets. Sub-strategy returns varied, from fundamental equity market neutral, up 0.56% to Asia Pacific long/short equity, down 1.89%.
MacroMacro funds monitored by Aurum’s Hedge Fund Data Engine generated an average net return of 0.37% in August. All sub-strategy returns were positive with the exception of macro emerging markets. The best performing sub-strategy was fixed income relative value, which was up 0.85%.
Multi-strategyMulti-strategy funds monitored by Aurum’s Hedge Fund Data Engine returned an average of 1.37% in August, the strongest performing master strategy group. The largest funds were the strongest performers.

MARKETS
Major eventsFed Chairman, Jerome Powell’s speech at the Jackson Hole symposium noted that there was “a long way to go” in reducing inflation readings. Markets responded negatively to the possibility of longer-than-expected elevated interest rates, with equity markets having their worst month since February.
EquitiesAll major equity indices lost ground in August, in the second worst month YTD. Chinese equities performed particularly poorly, amidst wider economic weakness and specific issues in the property and financial sectors. After losses earlier in the month, US equities staged a partial recovery towards the month-end. European equity indices were negatively impacted by the Italian government’s decision to levy a windfall tax on banks.
Government bondsThe ratings agency, Fitch, downgraded US long-term debt, citing an ‘erosion of governance’, after the January 6 US Capitol attacks in 2021. US 2 and 10-year Treasury yields experienced significant intra-month volatility, at points reaching pre-2008 financial crisis levels. European bonds followed a similar path of intra-month volatility but with limited changes month-to-date.
Corporate bondsUS credit indices across the quality spectrum responded negatively to the US credit rating downgrade by Fitch, but mostly recovered later in the month. Lower quality corporate credit outperformed investment grade. All major credit indices have positive performance year-to-date.
CurrenciesThe US dollar strengthened against all major currencies in August, benefiting from equity market weakness and the possibility of a longer-than-expected period of elevated interest rates.
CommoditiesWeak Chinese economic data counterbalanced the impact of production cuts to result in slight increases in oil prices during the month. Grain prices increased after a drone attack on a grain silo in Ukraine. Sugar prices continued to rise on news that India is considering an export ban.

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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