Aurum’s quarterly review – Q3 2024

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.