Hedge Fund Data
Hedge fund industry performance review – March 2024
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In summary
Hedge fund performance was generally positive in March; the average asset weighted hedge fund net return across all strategies was 2.06%. For a second month, all hedge fund strategy groups had positive average returns. Hedge fund performance dispersion was narrower than observed in February.
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.
| HEDGE FUNDS | ||
|---|---|---|
| Hedge fund composite |  | Hedge fund performance was generally positive in March; the average asset weighted hedge fund net return across all strategies was 2.06%. For a second month, all hedge fund strategy groups had positive average returns. Hedge fund performance dispersion was narrower than observed in February. |
| Long-biased | | Long biased funds monitored by Aurum’s Hedge Fund Data Engine returned an average of 2.58%, supported by continuing strength in equity markets and broader risk-on sentiment in markets. All sub-strategies had positive returns, the strongest performing sub-strategy was long biased – commodities. |
| Quant | | Quant funds monitored by Aurum’s Hedge Fund Data Engine returned 3.02% on average in March, the strongest performing master strategy group during the month and year-to-date. All sub-strategies had positive returns; the strongest performing sub-strategy was risk premia. |
| Equity long/short | | Equity long/short funds returned an average of 2.15% in March, the second-strongest master strategy year-to-date. Once again, all sub-strategy returns were positive; Asia/Pacific long/short equity funds were the strongest. |
| Macro | | Macro funds monitored by Aurum’s Hedge Fund Data Engine generated an average net return of 1.73% in March. All sub-strategies had positive returns; the strongest performing sub-strategy was macro emerging markets. |
| Multi-strategy | | Multi-strategy funds monitored by Aurum’s Hedge Fund Data Engine returned an average of 1.84% in March. Smaller funds (with AUMs of <$1bn) generally outperformed their larger counterparts. |
| MARKETS | ||
|---|---|---|
| Major events | In the US and the Eurozone, interest rates were kept the same. Market expectations remain at three interest rate cuts in the US for the rest of 2024. The US CPI inflation print indicated slightly higher inflation in February than January. The US House of Congress passed a bill to compel ByteDance to sell their app TikTok to a US company or face a ban on the app in the US. | |
| Equities | | Most equity markets had positive performance in March. Although still positive, US tech stocks underperformed broader US equity market indices. Japanese equities outperformed on the back of the move away from negative interest rates. Chinese equity markets remained weak. |
| Government bonds | | Most major economies’ 10-year bond yields decreased during March. In the US, yields fell significantly at the start of the month but then rose after the CPI inflation print. Japanese 10y bond yields were the exception and increased. |
| Corporate bonds | | Credit was generally positive in March, supported by the broader risk-on environment. There was some mid-month weakness, but most credit indices across the quality spectrum ended the month in positive territory. |
| Currencies | The US dollar strengthened moderately against most major currencies. Exceptions were the Australian dollar, South African rand and Mexican peso which strengthened against the US dollar. After being the last country with negative interest rates, the BoJ moved to a 0-0.1% policy rate. | |
| Commodities | | Precious metals appreciated significantly in March – supported by demand and uncertainty in the wake of the Moscow terror attack. Oil prices increased on the announcement of Russian production cuts and continuing tensions between Venezuela and Guyana. Natural gas prices continued to fall as supply was high and unseasonably mild weather in the US continued. |
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/
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