Hedge Fund Data
Hedge fund industry performance review – December 2024
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In summary
Hedge fund performance was moderately positive in December amidst a backdrop of weakness in US equities and a divergent picture globally. Hedge fund strategy performance varied. The average asset weighted hedge fund net return across all strategies was 0.24%. The strongest performing strategy was multi-strategy. Hedge fund performance dispersion was narrower than that observed in November.
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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 moderately positive in December. Hedge fund strategy performance varied. The average asset weighted hedge fund net return across all strategies was 0.24%. The strongest performing strategy was multi-strategy. Hedge fund performance dispersion was narrower than that observed in November. |
| Long-biased |  | Long biased funds monitored by Aurum’s Hedge Fund Data Engine returned an average of -2.07%, the weakest master strategy group during the month. Sub-strategy returns were all negative – the weakest was long biased – equity, down 2.16%. |
| Quant | | Quant funds monitored by Aurum’s Hedge Fund Data Engine returned 1.44% on average in December. Sub-strategy returns were generally positive but varied; the strongest performer was quant macro/GAA up 2.64%, the weakest performer was risk premia, down 0.10%. |
| Equity long/short | | Equity long/short funds returned an average of -0.87% in December. Despite the negative return for the master strategy, sub-strategies had generally (modest) positive returns, the strongest of which was fundamental equity MN long/short – up 0.75%. The weakest sub-strategy was sector focused funds, down 2.76%. |
| Macro | | Macro funds monitored by Aurum’s Hedge Fund Data Engine generated an average net return of 0.64% in December. Sub-strategy returns were mostly positive, ranging from macro emerging markets, up 1.13%, to commodities, the only sub-strategy with negative returns, down 0.53%. |
| Multi-strategy | | Multi-strategy funds monitored by Aurum’s Hedge Fund Data Engine returned an average of 1.91% in December, the strongest performing strategy during the month and in 2024. The largest funds (AUM >$5bn) were the strongest performing, while small funds (AUM <$1bn) were the weakest performers. |
| MARKETS | ||
|---|---|---|
| Major events | Despite December’s 25bp rate cut in the US, the release of the Fed’s Summary of Economic Predictions indicated a slower pace of US interest rate cuts going forward. The ECB also cut benchmark rates by 25bps. | |
| Equities | | US equities were volatile during December, giving back some of the strong year-to-date gains at year-end as markets adjusted to the Fed’s messaging about the path of rate cuts. European, Chinese and Japanese equity markets outperformed the US. |
| Government bonds | | Developed government bond yields generally rose during December. US bond yields increased by more than European yields. The historically long US 10y/3m yield curve inversion ended. Chinese bonds rallied. |
| Corporate bonds | | Credit indices were mostly negative in December. US investment grade credit and local currency emerging market credit underperformed. High yield and leveraged credit outperformed. |
| Currencies | The US dollar strengthened against most major currencies in December – benefiting from the Fed’s data release indicating a potential slower path of rate cuts. The Russian ruble experienced notable intra-month volatility. | |
| Commodities | | Commodity indices ended December with generally positive performance; however, the US dollar’s strength weighed heavily on many commodities – notably precious metals. Natural gas prices experienced volatility after Ukraine announced that it wouldn’t permit the transit of Russian gas in pipelines running across Ukrainian land. |
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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