Hedge Fund Data

Monthly hedge fund performance review – March 2022

20/04/2022
1 min read

Download full report

Download Article Download Article

Hedge fund performance was generally positive in March; dispersion was slightly wider than in February. Strategies with a higher beta to equities remained weaker than other strategies, as in January and February.

HEDGE FUNDS
Hedge fund compositeHedge fund strategies monitored by Aurum’s Hedge Fund Data Engine delivered generally positive returns in March. The average hedge fund net return in March across all strategies was 0.90%. Performance dispersion was slightly wider than in February.
MacroMacro funds monitored by Aurum’s Hedge Fund Data Engine performed strongly in March, generating an average net return of 2.12%. Sub-strategy returns were generally positive; with the exception of macro emerging markets, which returned -0.60%, continuing the sub-strategy’s weak start to the year.
Equity long/shortEquity long/short funds monitored by Aurum’s Hedge Fund Data Engine returned an average of -0.66% in March, amidst significant equity market volatility during the month. Most sub-strategies were negative the month. The worst performing sub-strategy was Asia Pacific long/short.
Multi-strategyMulti-strategy funds monitored by Aurum’s Hedge Fund Data Engine returned an average of 0.72% in March. The largest funds ($5bn+) delivered the strongest performance of 0.98%. However, the second largest grouping ($2-5bn) delivered the weakest performance, -1.05%.
Long biasedLong biased funds monitored by Aurum’s Hedge Fund Data Engine returned an average of 0.08% in March. Sub-strategy performance was mixed. Long biased commodities was a notable outlier, it returned 5.96%. The worst performing sub-strategy, as in February, was long biased fixed income.
QuantQuant funds monitored by Aurum’s Hedge Fund Data Engine returned 3.78% on average in March, continuing the strategy’s recent run of positive performance. The best performing sub-strategy for a second consecutive month was CTA, benefiting from further rising commodity prices. The worst performing sub-strategy was risk premia, which returned 0.25%.

MARKETS
Major eventsGeopolitical issues continued to dominate the news in March, as the Russian invasion of Ukraine continued. Inflation continued to rise, driven partly by energy price pressures resulting from the conflict in Ukraine. A resurgence of COVID-19 cases in Shanghai, a manufacturing centre, triggered concerns about supply chains and the associated inflationary pressures.
EquitiesMost global equity indices ended March in positive territory, despite significant volatility during the month. Emerging markets and Chinese equities were notable exceptions, failing to recover fully from mid-month losses. Chinese equity market losses were partly related to President Biden’s warnings about secondary sanctions if China provides support to the Russian invasion of Ukraine.
Government bondsGovernment bond yields rose in March. US 10yr bond yields increased by over 50bp during the month, surpassing 2% at month end. The US yield curve flattened; 2/10yr and 5/30yr spreads narrowed, and briefly inverted. The US Federal Reserve’s asset purchase programme ended early in March. German bund yields also increased dramatically, over 40bp during the month.
Corporate bondsCorporate bonds continued to sell off in March, reflecting general risk-off sentiment. US investment grade credit was the worst performer, followed by hard currency EM credit. Lower quality, high yield bonds experienced losses of a smaller magnitude.
CurrenciesThe US dollar continued to strengthen in March as investors sought a safe haven amidst geopolitical tensions. The Japanese yen was the weakest major currency, as the Bank of Japan maintained negative interest rates. The Russian government insisted on payments for gas being made in rubles; this supported a partial recovery of the ruble after a massive decline in February.
CommoditiesCommodity performance was generally positive in March. The factors that drove performance in February persisted: the Ukrainian conflict and sanctions on Russian producers continued to impact agricultural commodities and oil prices. Precious metals continued to perform strongly as investors fled to safety.

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/

You may also like

Arbitrage deep dive – Oct 22

07/12/2022

The period under review includes ‘the worst cross asset selloff since 1981’ with simultaneous declines across equities, commodities, corporate and…

Monthly hedge fund performance review – October 2022

21/11/2022

Hedge fund performance was largely positive in October. Strategies with a higher beta to equities outperformed other strategies, as most equity markets…

Macro deep dive – Sep 22

28/10/2022

Macro funds generated an average return of 2.2% in the 12 months through September 2022. Strategy AUM has fallen by $11.1bn, due to net outflows of $16.3bn…

Aurum’s quarterly review – Q3 2022

25/10/2022

All of Aurum’s managed funds and bespoke accounts delivered positive returns in the third quarter of 2022. Performance for Aurum’s commingled fund…

Monthly hedge fund performance review – September 2022

18/10/2022

Hedge fund performance was mixed in September, whilst equities and bonds sold off, particularly in the latter part of the month. Hedge fund performance…

Quant deep dive – Aug 22

06/10/2022

Quant funds generated an average return of 12.8% in the 12 months to August 2022 Strategy AUM has grown by $42.8bn, net profits contributed $47.8bn of…

Monthly hedge fund performance review – August 2022

22/09/2022

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…

Monthly hedge fund performance review – July 2022

18/08/2022

Hedge fund performance was generally positive in July, albeit with some exceptions, with narrower dispersion than in June. Strategies with a higher beta…

Does structure matter? Hedge funds v alternative UCITS – H1 2022 update

08/08/2022

Earlier this year we wrote about the growing performance gap that has emerged between hedge funds and their alternative UCITS (“alt UCITS”) counterparts…

Hedge fund industry deep dive – H1 22

01/08/2022

Hedge fund performance was down 4.0% YTD. H1 2022 has been an extraordinarily challenging time period, not only for financial markets, but also for the…

Aurum’s quarterly review – Q2 2022

26/07/2022

All of Aurum’s managed funds and bespoke accounts delivered positive returns in the second quarter of 2022. Performance for Aurum’s commingled fund…

Why manager selection is critical when building a hedge fund portfolio

21/07/2022

Manager selection is critical when it comes to investing in hedge funds or fund of hedge funds. In the latter part of 2021, we did a short note looking…