Hedge Fund Data
Hedge fund industry performance review – April 2024
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In summary
Hedge fund performance was generally flat in April, however this masked dispersion between underlying strategies; the average asset weighted hedge fund net return across all strategies was -0.09%. Hedge fund performance dispersion was similar to that observed in March.
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 flat in April, however this masked dispersion between underlying strategies; the average asset weighted hedge fund net return across all strategies was -0.09%. Hedge fund performance dispersion was similar to that observed in March. |
| Long-biased |  | Long biased funds monitored by Aurum’s Hedge Fund Data Engine returned an average of -1.79%, the worst performing master strategy group during the month. Most sub-strategies had negative returns, with the exception of long biased – commodities. |
| Quant |  | Quant funds monitored by Aurum’s Hedge Fund Data Engine returned 1.45% on average in April, the strongest performing master strategy group both during the month and year-to-date. Sub-strategy returns were mixed; the strongest performing sub-strategy was quant macro/GAA. |
| Equity long/short | | Equity long/short funds returned an average of -1.26% in April, the second-weakest master strategy during the month. Most sub-strategy returns were negative; with the exception of FEMN and Asia/Pacific long/short equity. |
| Macro | | Macro funds monitored by Aurum’s Hedge Fund Data Engine generated an average net return of 0.35% in April. Most sub-strategies had positive returns, with the exception of macro emerging markets. |
| Multi-strategy | | Multi-strategy funds monitored by Aurum’s Hedge Fund Data Engine returned an average of 0.72% in April. Mid-size (AUM $1-2bn) and the largest funds (AUM >$5bn) generally outperformed other size multi-strategy funds. |
| MARKETS | ||
|---|---|---|
| Major events | Geopolitical tensions negatively impacted market sentiment in April. Persistently high US inflation readings were released mid-month. Consequently, expectations of the timing of US interest rate cuts moved out to later in the year, exacerbating negativity. This environment weighed on risk assets. | |
| Equities | | Global equities were generally negative in April. Losses were worse in US than European equities. Chinese stocks were a notable outperformer, supported by positive economic data releases. |
| Government bonds | | Most major economies’ 10-year bond yields increased during April. US and UK government bond yields rose by more than those in Europe – following comments from ECB President, Christine Lagard’s, which were supportive about June interest rate cuts. |
| Corporate bonds | | Credit was generally negative in April, amidst risk-off sentiment in markets. Most credit indices across the quality spectrum ended the month in negative territory, however higher-quality US credit underperformed US high yield. |
| Currencies | The US dollar strengthened against most major currencies again in April. The only exception was the South African rand, which strengthened against the US dollar. There was notable weakness in the Japanese yen, which at one point in the month reached 1990-level lows. | |
| Commodities | | Precious metals continued to appreciate in April, benefiting from the risk-off climate. Base metal prices rose as the UK/US imposed new sanctions on Russian exports. Oil prices were largely unchanged during the month. The recent run of extreme cocoa price rises 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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