Hedge Fund Data
Hedge fund industry performance review – July 2024
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In summary
Hedge fund performance was generally positive in July. Most hedge fund strategies had positive performance, with the exception of quant. The average asset weighted hedge fund net return across all strategies was 0.51%. The strongest performing strategy was long biased. Hedge fund performance dispersion was slightly broader than that observed in June.
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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 July. Most hedge fund strategies had positive performance, with the exception of quant. The average asset weighted hedge fund net return across all strategies was 0.51%. Hedge fund performance dispersion was slightly broader than that observed in June. |
| Long-biased | | Long biased funds monitored by Aurum’s Hedge Fund Data Engine returned an average of 1.36%, in a broadly positive month for risk assets. Sub-strategy returns were mixed – those with more of an equities focus like diversified growth or equity had positive returns. |
| Quant |  | Quant funds monitored by Aurum’s Hedge Fund Data Engine returned -0.77% on average in July. Sub-strategy returns were mixed; those which are less tightly factor hedged experienced larger drawdowns amidst the factor rotation from growth to value. |
| Equity long/short | | Equity long/short funds returned an average of 0.43% in July. It is now the best performing strategy year-to-date. Sub-strategy returns varied – from the strongest – sector-focused funds, to the weakest – Asia/Pacific long/short equity. |
| Macro | | Macro funds monitored by Aurum’s Hedge Fund Data Engine generated an average net return of 1.06% in July. All sub-strategy had positive performance, the strongest of which was global macro. |
| Multi-strategy | | Multi-strategy funds monitored by Aurum’s Hedge Fund Data Engine returned an average of 0.33% in July. Smaller funds (AUM up to $1bn) were the strongest performers. Mid-sized funds (AUM $1-2bn) notably underperformed. |
| MARKETS | ||
|---|---|---|
| Major events | The Fed kept US interest rates unchanged at the FOMC meeting at the end of the month; the minutes supported expectations of a September rate cut. US unemployment data rates increased slightly. Despite generally positive performance, global equities experienced high volatility. | |
| Equities | | Global equities were generally positive in July, despite elevated volatility. There was a factor rotation from growth to value which followed worse-than-expected earnings releases from the tech sector. Japanese equities underperformed as the yen strengthened. |
| Government bonds | | Most major economies’ 10-year bond yields fell significantly during July. European bond yields fell across the board; peripheral Europe bond yields experienced the greatest falls. The BoJ announced cuts to its bond buying programme. |
| Corporate bonds | | Credit indices were positive in July. Performance was supported by increasing market conviction of a US rate cut in September. The strongest performance came from high yield US credit. |
| Currencies | The Japanese yen strengthened considerably on expectations of a rate hike by the BoJ. This impacted a number of currencies used in yen carry trades (Mexican peso, Australian dollar etc.). The US dollar weakened against a number of major currencies in anticipation of a rate cut in September and on cooling US inflation data. | |
| Commodities | | Across the board, most commodities weakened in July, with the exception of gold. Gold prices were supported by the weaker US dollar and geopolitical turbulence in the Middle East. Natural gas prices fell dramatically on a supply surplus and high inventory levels in the US. |
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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