Insight

Aurum’s quarterly review – Q3 2024

Sinéad Farmer | Investor Relations Team Leader
18/10/2024
2 min read
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In summary…

Aurum’s commingled and bespoke fund of hedge funds $US classes delivered positive returns over Q3 2024, with performance ranging from +0.5% to +2.0%. Macro and multi-strategy funds were the main contributors to performance, while systematic and event driven strategies were more modest contributors to performance. Equity strategies detracted from performance in funds with an allocation to the strategy. Interest rate decisions, geopolitical tensions and inflation data releases caused volatility across the quarter.

About Aurum

Aurum is an investment management firm focused on selecting hedge funds and managing fund of hedge fund portfolios for some of the world’s most sophisticated investors. Aurum also offers a range of single manager feeder funds.

Aurum’s portfolios are designed to grow and protect clients’ capital, while providing consistent uncorrelated returns. With 30 years of hedge fund investment experience, Aurum’s objective is to lower the barriers to entry enabling investors to access the world’s best hedge funds.

Aurum conducts extensive research and analysis on hedge funds and hedge fund industry trends.  This research paper is designed to provide data and insights with the objective of helping investors to better understand hedge funds and their benefits.

Multi-strategy

Allocations to multi-strategy funds were accretive to performance with nearly all underlying funds performing positively during Q3. In July, multi-strategy allocations produced mixed results, with funds with significant exposure to equity long/short strategies underperforming due to de-grossing. August and September saw improvements, with allocations to fixed income, equities trading, and statistical arbitrage contributing positively. Macro and equities trading, especially during the Bank of Japan’s rate hike and US yield curve steepening, supported performance.

Macro

Macro strategies were a standout performer in Q3 2024. July saw strong gains from discretionary global macro funds, particularly in long fixed income and yield curve steepening positioning, with additional support from the Japanese yen and long gold positions. August, however, was more challenging, especially in Asia-focused funds, which were impacted by the unwind of the Japanese carry trade and Chinese currency positioning. By September, macro strategies rebounded, with positive returns driven by US rates trading and metals, alongside curve steepening trades in the US.

Systematic

Systematic strategies contributed positively to performance, but there was some dispersion in underlying fund performance. In July, funds with more factor exposures, particularly in systematic futures, struggled due to a growth-to-value factor rotation. August saw a recovery amid heightened volatility. Systematic strategies generally detracted in September, with US statistical arbitrage exposures weighing on performance.

Event driven

Event driven strategies had a mixed quarter, but generally made a modest contribution to fund performance. July was a strong month for the strategy, supported by positive developments in key transactions in the cybersecurity, software and energy sectors and a general narrowing of merger spreads. However, in August and September, the strategy struggled due to spread widening in a high-profile oil deal and ongoing regulatory interventions in a deal in the US fashion sector. Despite this, some deals in Asia, particularly in China, were buoyed by the announcement of government stimulus measures, mitigating losses from other areas.

Equity strategies

Equity strategies detracted from performance over the quarter. July and August were particularly difficult months. Japanese equities experienced intra-month volatility, notably in the wake of the BoJ’s surprise rate hike in July, and US/European markets faced rate-driven headwinds. Despite the Chinese stimulus package announced in September, equity strategies continued to struggle as managers were caught off guard by the subsequent surge in Chinese equities, though Japan-focused funds recovered somewhat. Positions in IT and semi-conductor stocks faced headwinds.

Disclaimer
This Post represents the views of the author and their own economic research and analysis. These views do not necessarily reflect the views of Aurum Fund Management Ltd.. This Post does not constitute an offer to sell or a solicitation of an offer to buy or an endorsement of any interest in an Aurum Fund or any other fund, or an endorsement for any particular trade, trading strategy or market. This Post is directed at persons having professional experience in matters relating to investments in unregulated collective investment schemes, and should only be used by such persons or investment professionals. Hedge Funds may employ trading methods which risk substantial or complete loss of any amounts invested. The value of your investment and the income you get may go down as well as up. Any performance figures quoted refer to the past and past performance is not a guarantee of future performance or a reliable indicator of future results. Returns may also increase or decrease as a result of currency fluctuations. An investment such as those described in this Post should be regarded as speculative and should not be used as a complete investment programme. This Post is for informational purposes only and not to be relied upon as investment, legal, tax, or financial advice. Whilst the information contained in this Post (including any expression of opinion or forecast) has been obtained from, or is based on, sources believed by Aurum to be reliable, it is not guaranteed as to its accuracy or completeness. This Post is current only at the date it was first published and may no longer be true or complete when viewed by the reader. This Post is provided without obligation on the part of Aurum and its associated companies and on the understanding that any persons who acting upon it or changes their investment position in reliance on it does so entirely at their own risk. In no event will Aurum or any of its associated companies be liable to any person for any direct, indirect, special or consequential damages arising out of any use or reliance on this Post, even if Aurum is expressly advised of the possibility or likelihood of such damages.

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