Hedge Fund Data
Hedge fund industry performance review – June 2024
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In summary
Hedge fund performance was generally positive in June. Strategy performance was mixed. The average asset weighted hedge fund net return across all strategies was 0.47%. The strongest performing strategy was equity l/s. Hedge fund performance dispersion was similar to that observed in May.
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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 June. Strategy performance was mixed. The average asset weighted hedge fund net return across all strategies was 0.47%. Hedge fund performance dispersion was similar to that observed in May. |
| Long-biased | | Long biased funds monitored by Aurum’s Hedge Fund Data Engine returned an average of 0.62%, in a broadly positive month for risk assets. All sub-strategies had positive returns, with the exception of long biased – commodities. |
| Quant |  | Quant funds monitored by Aurum’s Hedge Fund Data Engine returned -0.15% on average in June. Despite being the second-weakest performing master strategy group during the month, quant remains the strongest performing master strategy year-to-date. Sub-strategy returns were mixed; quant macro/GAA and CTA underperformed. |
| Equity long/short | | Equity long/short funds returned an average of 1.14% in June. It was the strongest performing strategy during the month and is the second-best performing strategy year-to-date. All sub-strategy returns were positive; the best performing was Asia/Pacific long/short equity. |
| Macro | | Macro funds monitored by Aurum’s Hedge Fund Data Engine generated an average net return of -0.20% in June. Sub-strategy returns were mixed, the weakest performance came from macro – commodities funds. |
| Multi-strategy | | Multi-strategy funds monitored by Aurum’s Hedge Fund Data Engine returned an average of 0.89% in June. The largest funds funds (AUM over $5bn) and mid-sized funds (AUM $1-2bn) generally outperformed other sized funds. |
| MARKETS | ||
|---|---|---|
| Major events | The Fed kept US interest rates unchanged at the FOMC meeting in June. Expectations fell to just one for rate cut for the rest of 2024; after the Fed’s March meeting three were anticipated. The success of the hard-right in European Parliamentary elections adversely impacted the performance of European equities. | |
| Equities | | Global equities were generally positive in June. US equities – led by tech stocks – generally outperformed those in Europe. EM equities were generally strong – lead by strong performance in Indian markets as the post-election volatility subsided with the formation of a coalition government. Chinese equities continued to underperform. |
| Government bonds | | Most major economies’ 10-year bond yields fell during June. Notable exceptions to this picture were French government bonds – yields rose when President Macron called a surprise general election. Peripheral European bond yields. |
| Corporate bonds | | Credit indices were generally positive in June with positive performance concentrated at the start of the month. US economic data releases were a determinant of performance. Local currency EM credit underperformed. |
| Currencies | The US dollar strengthened against most major currencies in June, impacted by the stronger-than-expected payroll data in the US. The Japanese finance minister expressed concern about the yen’s ongoing weakness, and didn’t rule out intervention to support the currency. | |
| Commodities | | Across the board, most commodities weakened in June, with the exception of energy markets – which meant broad commodity indices were marginally positive. Oil prices were supported by OPEC+ supply cuts and healthy demand outlook. There were notable increase in sugar prices – supported by increasing oil prices and supply concerns. |
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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