Hedge Fund Data
Monthly hedge fund performance review – February 2023
21/03/2023
1 min read
Download full report
Hedge fund performance was mixed in February, the average hedge fund net return across all strategies was -0.19%. Strategies with a higher beta to equities underperformed other strategies, as risk-off sentiment prevailed in markets. In a reversal of January’s performance, the strongest performing strategy during the month was quant and the weakest-performing strategy was long biased. Hedge fund performance dispersion was narrower than observed in January.
| HEDGE FUNDS | ||
|---|---|---|
| Hedge fund composite |  | Hedge fund performance was mixed in February, the average hedge fund net return across all strategies was -0.19%. Strategies with a higher beta to equities underperformed other strategies, as risk-off sentiment prevailed in markets. Hedge fund performance dispersion was narrower than observed in January. |
| Long-biased | | Long biased funds monitored by Aurum’s Hedge Fund Data Engine returned an average of -3.20% in February, the worst performing strategy during the month. Sub-strategy returns were all negative. The weakest performing sub-strategy was long biased – commodities, down 4.31%. |
| Quant |  | Quant funds monitored by Aurum’s Hedge Fund Data Engine returned 2.25% on average in February, the strongest performing strategy during the month. Quant macro/GAA was the best performing sub-strategy, up 4.75%. |
| Equity long/short | | Equity long/short funds returned an average of -1.29% in February, suffering from the risk-off sentiment in equity markets. Most sub-strategies had negative performance. The worst performing sub-strategy was Asia Pacific long/short, down 3.32%. |
| Macro | | Macro funds monitored by Aurum’s Hedge Fund Data Engine generated an average net return of -0.19% in February. Sub-strategy returns were mixed, ranging from FIRV, up 0.79%, to macro – commodities, down 2.55%. |
| Multi-strategy | | Multi-strategy funds monitored by Aurum’s Hedge Fund Data Engine returned an average of 0.72% in February. Medium-sized funds, with an AUM of $0.5bn – $1bn, outperformed smaller and larger counterparts. |
| MARKETS | ||
|---|---|---|
| Major events | US economic data releases in February indicated that inflation may not have levelled off as much as the earlier market consensus had believed. Consequently, risk-off sentiment, prevailed. The US Federal Reserve hiked rates by a further 25bp. A further package of EU sanctions against Russia was announced in time for the first anniversary of Russia’s invasion of Ukraine. US/China diplomatic relations deteriorated after Chinese high-altitude balloons were shot down over US airspace. The US alleged that the balloons were used for surveillance, while China insisted they were civilian, weather-monitoring balloons. | |
| Equities | | US equities declined during February, amidst risk-off sentiment that was a fallout of indicators of inflation remaining elevated. European equities outperformed US counterparts as data showed falling European inflation. Emerging markets experienced the largest declines amidst broader risk-off sentiment and geopolitical tensions negatively impacting sentiment around China. |
| Government bonds | | Government bond yields increased in February. The US 2/10-year yield curve inverted further; an indication that markets are pricing in a recession. The announcement that the ECB would be hiking rates by 50bp in March, with further hikes planned for thereafter, pushed up bond yields across the Eurozone. |
| Corporate bonds | | Corporate bonds generally suffered from the risk-off market sentiment in February. Investment grade, higher quality high yield, and emerging market credit all declined. Leveraged loans and the lowest quality high yield bonds were the only major credit sectors with positive performance. |
| Currencies | The US dollar strengthened in February; most major currencies declined against the US dollar. The Russian ruble was the weakest performing major currency against the US dollar, in the face of US sanctions. The South African rand continued to weaken against the US dollar, as South Africa’s failing energy infrastructure combined with floods resulted in a state of emergency being declared. The Mexican peso was the only major currency to strengthen against the US dollar, as the Bank of Mexico made larger-than-expected rate hikes. | |
| Commodities | | Precious metals weakened as the US dollar strengthened. Natural gas prices were extremely volatile, but largely recovered after mid-month lows. Oil prices fell as investors’ rate hike projections were revised upwards. Industrial metals fell, but to varying degrees; nickel experienced the greatest decline. |
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/
Share this article with your network
Share with your network