Hedge Fund Data

Monthly hedge fund performance review – March 2022

20/04/2022
1 min read

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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.

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