HEDGE FUND RESEARCH 23/03/2020

Hedge Fund Performance by Size – February 2020

Hedge Fund Performance by Size – February 2020

Coverage Indicator of Eligible Funds Having Reported (as at 23 Mar-20). By fund assets (Feb): 77%.  By no. of funds (Feb): 66%.
Source: Aurum’s proprietary Strategy Engine database containing data on over 4,000 hedge funds representing in excess of $2.9 trillion of assets as at December 2019. Information in the database is derived from multiple sources including Aurum’s own research, regulatory filing, public registers and other database providers. Performance in the above chart is asset weighted. Box size reflects the AUM of the hedge fund industry, as tracked by Aurum. See the disclaimer and strategy definition for further details.

In February, most hedge fund strategies observed by Aurum’s Strategy Engine had negative performance across most AUM buckets in the unfolding market turbulence triggered by COVID-19.

February saw losses in equity markets globally, so, unsurprisingly, Long Biased funds were the poorest performing strategy on average. All AUM buckets monitored by the Strategy Engine had negative performance, but the very weakest performance was generally seen in smaller funds. This was a continuation of the trend observed by the Strategy Engine over the past 12 months, where larger Long Biased funds on average outperformed their smaller counterparts.

Event driven funds on average had negative performance across all AUM buckets, but the worst losses were concentrated in smaller funds. Large and medium-sized Multi-Strategy funds on average generated positive performance in February, whereas Multi-Strategy funds smaller than $1bn on average had negative performance.

This was in contrast to those Macro, Quant and Credit funds monitored by the Strategy Engine, where the worst losses on average were made in the largest funds.

Over the 12 months to February 2020 Strategy Engine data suggests that, on average, the largest funds were the strongest performers. This observation did not hold up in February when the largest funds, with AUM of over $5bn, were, on average, the poorest performers. Losses in the $1-2bn and $2-5bn buckets were, on average, more contained than in the largest and smallest funds.

Hedge Fund Performance by Size – 12 Months to February 2020

Coverage Indicator of Eligible Funds Having Reported (as at 16 Mar-20). By fund assets (Feb): 77%.  By no. of funds (Feb): 66% . Total Monthly Fund Returns Received (12m to Feb-20): 89%.
Source: Aurum’s proprietary Strategy Engine database containing data on over 4,000 hedge funds representing in excess of $2.9 trillion of assets as at December 2019. Information in the database is derived from multiple sources including Aurum’s own research, regulatory filing, public registers and other database providers. Performance in the above chart is asset weighted. Box size reflects the AUM of the hedge fund industry, as tracked by Aurum. See the disclaimer and strategy definition for further details.