Hedge Fund Data
Hedge fund industry performance review – May 2024
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In summary
Hedge fund performance was generally positive in May; most strategies, particularly those with a higher beta to equities, had positive performance. The average asset weighted hedge fund net return across all strategies was 0.73%. Hedge fund performance dispersion was similar to that observed in April.
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 May; most strategies, particularly those with a higher beta to equities, had positive performance. The average asset weighted hedge fund net return across all strategies was 0.73%. Hedge fund performance dispersion was similar to that observed in April. |
| Long-biased | | Long biased funds monitored by Aurum’s Hedge Fund Data Engine returned an average of 1.48%, the best performing master strategy group during the month. All sub-strategies had positive returns; the best performing was long biased – Equity. |
| Quant |  | Quant funds monitored by Aurum’s Hedge Fund Data Engine returned -0.80% on average in May. Despite being the weakest performing master strategy group during the month, quant remains the strongest performing master strategy year-to-date. Sub-strategy returns were mixed. |
| Equity long/short | | Equity long/short funds returned an average of 1.35% in May. It is the second-best performing master 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 0.64% in May. All sub-strategies had positive returns, the strongest performing of which was macro emerging markets. |
| Multi-strategy | | Multi-strategy funds monitored by Aurum’s Hedge Fund Data Engine returned an average of 0.46% in May. Smaller funds (AUM up to $2bn) generally outperformed larger multi-strategy funds (AUM >$2bn). |
| MARKETS | ||
|---|---|---|
| Major events | Despite weaker US jobs and a small fall in US inflation, the FOMC indicated that they wouldn’t reduce rates until they have further confidence that inflation is moving towards the 2% target. Markets rose in the first part of the month and retained most of the gains following the release of the FOMC minutes. | |
| Equities | | Global equities were generally positive in May. US equities – led by tech stocks – generally outperformed European and emerging markets. There was meaningful intra-month volatility in Chinese equities – impacted by US/China relations. |
| Government bonds | | Most major economies’ 10-year bond yields fell during the first half of May and then rose thereafter. In the US, they rose following the release of FOMC minutes, and in Europe, they rose after higher-than-expected German inflation data. |
| Corporate bonds | | Credit indices were generally positive in the first part of May, benefiting from the increased expectations of impending rate cuts. However, the release of the FOMC minutes negatively impacted market sentiment, tempering the gains of earlier in the month. |
| Currencies | The US dollar weakened against most major currencies in May, impacted by the weaker jobs data in the US. The BoJ spent >$60bn to prop up the Japanese yen after it reached a 34-year low against the US dollar in April. | |
| Commodities | | Across the board, most commodities appreciated in May, however weakness in energy markets (due to a build-up in US stockpiles) caused broad commodity indices into negative territory. There were notable decreases in sugar prices – as ethanol demand fell as fuel prices declined. Wheat prices spiked in response to weather 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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