Hedge Fund Data
Monthly hedge fund performance review – January 2023
21/02/2023
1 min read
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Hedge fund performance was generally positive in January, the average hedge fund net return across all strategies was 1.83%. Strategies with a higher beta to equities typically outperformed other strategies, as risk assets rallied in January. The strongest performing strategy during the month was long biased. The weakest-performing strategy was quant, which was the only master strategy group with negative returns during January. Hedge fund performance dispersion was wider than observed in December.
| HEDGE FUNDS | ||
|---|---|---|
| Hedge fund composite |  | Hedge fund returns were generally positive in January. The average hedge fund net return across all strategies was 1.83%. Strategy performance was generally positive, only one of the master strategies had negative returns. Strategies with a higher beta to equities outperformed. Hedge fund performance dispersion was wider than observed in December. |
| Long-biased | | Long biased funds monitored by Aurum’s Hedge Fund Data Engine returned an average of 4.89% in January, the best performing strategy during the month. Sub-strategy returns were all positive in January, the strongest performing sub-strategy was long biased – equity, up 6.45%. |
| Quant |  | Quant funds monitored by Aurum’s Hedge Fund Data Engine returned -1.34% on average in January, the weakest performing strategy during the month. Quant macro/GAA was the weakest performing sub-strategy, down 4.29%. All sub-strategies had negative performance, with the exception of risk premia, which was up 3.05%. |
| Equity long/short | | Equity long/short funds returned an average of 3.35% in January, benefiting from the broadly risk-on sentiment in the market and rallying global equities. All sub-strategies had positive performance, ranging from Asia Pacific long/short, up 5.58%, to fundamental equity market neutral, up 0.63%. |
| Macro | | Macro funds monitored by Aurum’s Hedge Fund Data Engine generated an average net return of 1.58% in January. All sub-strategy returns were positive. Macro emerging markets was the strongest performing sub-strategy, up 3.53%, benefiting, in part, from indications that China is past the peak of its COVID-19 surge following the lift of COVID-zero policies. |
| Multi-strategy | | Multi-strategy funds monitored by Aurum’s Hedge Fund Data Engine returned an average of 0.51% in January. Medium-sized funds, with an AUM of over $0.5bn – $2bn, outperformed smaller and larger counterparts. |
| MARKETS | ||
|---|---|---|
| Major events | Inflationary pressures appeared to abate somewhat in January in the US and Europe. Markets responded to this positively, and risk-on sentiment returned. Global growth projections for 2023 were revised down by most forecasters. The ECB reiterated its commitment to raising rates. Amidst this faltering economic backdrop, some market participants questioned the fundamental basis for the positive market sentiment. Ukraine’s major allies agreed to supply tanks and an expanded military aid package. | |
| Equities | | January was a positive month for global equities, supported by lower-than-expected inflation data in the US and Europe, and a positive US jobs report. Global equity indices returned to levels last seen in August 2022, before the Jackson Hole summit. Higher beta, more volatile stocks outperformed. Emerging market equities were supported by the risk-on sentiment. |
| Government bonds | | Government bond yields generally fell in January. The US 2/10-year yield curve inverted further; an indication that markets are pricing in a recession. Japanese government bonds were an exception, with bond yields rising. |
| Corporate bonds | | The shift to risk-on sentiment in January was supportive for corporate bonds. All major credit indices had positive performance in January. US high yield bonds were the best performers. Emerging market bond indices also performed strongly. |
| Currencies | The US dollar weakened in January. The Russian ruble was the strongest-performing major currency against the US dollar, as the Russian central bank made a number of interventions into FX markets. The South African rand was the only major currency to weaken against the US dollar, as South Africa’s failing energy infrastructure dampened the country’s economic outlook. Croatia adopted the euro on the 1st of January, the 20th country to do so. | |
| Commodities |
| Gold continued to benefit from the weaker US dollar. Natural gas prices continued to fall through January as demand fell in response to milder US weather. Industrial metals benefited from increased demand, driven by China’s reopening. Sugar prices surged on supply concerns. |
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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