HEDGE FUND DATA 08/10/2021

Quant deep dive – 2021

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In summary

Whilst over the 12 months to August, quant funds saw positive performance, it has remained a challenging environment on a relative basis when benchmarked to the rest of the hedge fund universe as observed by Aurum Hedge Fund Data Engine; only macro funds have performed worse than Quant over the period.

Over the same time period equities have continued their exceptionally strong run of performance while bonds
were flat.

Although there are broad themes at the strategy and sub-strategy level, it should be noted that there remains some extremely high levels of performance dispersion between the top and bottom 10% of performing funds within the quant strategy.

It should be noted that there remains some extremely high levels of performance dispersion between the top and bottom 10% of performing funds within the quant strategy.

This measure of dispersion remains at elevated levels as at the report date, comparable in magnitude to Q1 2020 and prior to that the summer of 2015.

At the sub-strategy level, risk premia and CTAs outperformed, while quant equity market neutral (QEMN) and quant macro underperformed.

The quant master strategy assets under management (AUM) as observed by Aurum Hedge Fund Data Engine grew marginally by $5.5bn to $432bn; the rise was due to net positive P&L produced by the strategy (+$25.8bn), but was offset by corresponding net investor outflows (-$20.6bn). At the sub-strategy level QEMN saw by far the largest outflows (-$12bn).

Quant strategies accounted for 13.7% of the hedge fund universe as covered by the Aurum Hedge Fund Data Engine database as of the end of August 2021, which represents a small decrease (-0.3%) from 12 months ago, where it stood at 14.0%.

CHANGE IN FUND COUNT (1YR)

The number of reporting quant funds fell 16% from 520 to 446. The biggest fall in reporting funds was in the risk premia strategy (-22%) and the CTA strategy (-14%).

 

 

NET RETURN OF MASTER AND SUB STRATEGIES (1 YR)

*HF Composite = Aurum Hedge Fund Data Engine Asset Weighted Composite Index. *Bonds = S&P Global Developed Aggregate Ex Collateralized Bond (USD). *Equities = S&P Global BMI.

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