Hedge Fund Data
Hedge fund industry performance review – October 2024
Download full report
In summary
Hedge fund performance was generally positive in October amidst a backdrop of generally negative performance in global equities and increasing government bond yields. Most hedge fund strategies had positive performance. The average asset weighted hedge fund net return across all strategies was 0.23%. The strongest performing strategy was multi-strategy. Hedge fund performance dispersion was similar to that observed in September.
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 October. Most hedge fund strategies had positive performance. The average asset weighted hedge fund net return across all strategies was 0.23%. The strongest performing strategy was multi-strategy. Hedge fund performance dispersion was similar to that observed in September. |
| Long-biased |  | Long biased funds monitored by Aurum’s Hedge Fund Data Engine returned an average of -1.98%, the weakest performing master strategy group in October in a generally negative month for risk assets. Sub-strategy returns were all negative. |
| Quant | | Quant funds monitored by Aurum’s Hedge Fund Data Engine returned -0.25% on average in October. Sub-strategy returns were mixed, ranging from CTAs, -3.43% (CTAs are the second weakest of all sub-strategies YTD, -1.70%, only underperformed by arbitrage tail protection funds), to quant macro/GAA, up 2.63%. |
| Equity long/short | | Equity long/short funds returned an average of 0.83% in October. Most sub-strategies had positive returns, the strongest of which were sector focused funds, up 1.55%, supported by sector-specific strong performance (e.g. US banks) in the run-up to the US elections. |
| Macro | | Macro funds monitored by Aurum’s Hedge Fund Data Engine generated an average net return of 0.18% in October. Sub-strategy returns were mixed, ranging from macro emerging markets, up 0.70%, to global macro, -0.12%. |
| Multi-strategy | | Multi-strategy funds monitored by Aurum’s Hedge Fund Data Engine returned an average of 1.11% in October, the strongest performing master strategy group. The largest funds (AUM >$5bn) were the strongest performing, and the smallest funds (AUM <$1bn) were the weakest performers. |
| MARKETS | ||
|---|---|---|
| Major events | The S&P 500 reached all-time highs mid-month, but these gains fell back at month-end. Government bonds sold off globally, led by the US. There were generally positive US economic and employment data releases. The ECB cut rates by 25bp. Iran launched missile attacks on Israel. | |
| Equities | | Global equities finished October in generally negative territory. US equities reached all-time highs during the month, but a number of specific issues in tech stocks brought down market sentiment at month-end. Japanese equities outperformed as the yen weakened. Emerging markets notably underperformed, impacted by a lack of guidance on upcoming stimulus in Chinese markets. |
| Government bonds | | Government bond yields rose during October. US Treasuries sold off during the month, in part triggered by an increase in the US budget deficit. UK Gilt yields rose after the release of the Labour government’s first Budget. Japanese yen weakness increased market expectations of a rate increase. |
| Corporate bonds | | Credit indices were mostly negative in October. Lower quality US credit continued to outperform investment grade. Local currency emerging market credit markedly underperformed amidst weakness in EM currencies vs US dollar. |
| Currencies | The US dollar strengthened against most major currencies in October on positive US economic data releases, which triggered market expectations of a more gradual pace of monetary policy easing. The Japanese yen weakened significantly as market expectations of a rate hike fell. Despite a 200bp central bank rate hike, the Russian ruble fell markedly against the US dollar. | |
| Commodities | | Oil prices were volatile throughout the month – rising after Iran launched a missile attack on Israel, but partially fell back as an Israeli retaliation on Iran’s oil facilities looked less probable. Natural gas prices fell as inventory levels rose. Gold prices continued to be supported by geopolitical concerns. Agricultural commodity prices generally decreased. |
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/
Share this article with your network
Share with your network
