Hedge Fund Data
Hedge fund industry performance review – November 2024
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In summary
Hedge fund performance was generally positive in November amidst a backdrop of strong US equities and a more varied picture globally. All master hedge fund strategies had positive performance. The average asset weighted hedge fund net return across all strategies was 1.96%. The strongest performing strategy was equity long/short. Hedge fund performance dispersion was broader than that observed in October.
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 November. All hedge fund strategies had positive performance. The average asset weighted hedge fund net return across all strategies was 1.96%. The strongest performing strategy was equity long/short. Hedge fund performance dispersion was broader than that observed in October. |
| Long-biased | | Long biased funds monitored by Aurum’s Hedge Fund Data Engine returned an average of 1.97%. Sub-strategy returns were mixed – varying from long biased commodities at -1.11% to long biased equity at 2.60%. |
| Quant | | Quant funds monitored by Aurum’s Hedge Fund Data Engine returned 1.63% on average in November. Sub-strategy returns were all positive, ranging from quant macro/GAA at 0.63% to risk premia, up 2.56%. |
| Equity long/short | | Equity long/short funds returned an average of 2.45% in November, the strongest performing master strategy during the month and year-to-date. Sub-strategies had generally positive returns, the strongest of which was, once again, sector-focused funds, up 3.57% (also the best performing sub-strategy year-to-date). |
| Macro | | Macro funds monitored by Aurum’s Hedge Fund Data Engine generated an average net return of 2.20% in November. Sub-strategy returns were all positive, ranging from global macro, up 3.06%, to commodities, up 0.25%. |
| Multi-strategy | | Multi-strategy funds monitored by Aurum’s Hedge Fund Data Engine returned an average of 2.14% in November. The largest funds (AUM >$5bn) were the strongest performing, while mid-sized funds (AUM $1-2bn) were the weakest performers. |
| MARKETS | ||
|---|---|---|
| Major events | The decisive victory for President Trump in the US election created a supportive environment for cryptocurrencies, US equities (particularly small caps), and the US dollar. The Fed cut US interest rates by 0.25% during the month – the minutes released from the meeting suggested that rate cuts could be paused if inflation remains above the 2% target. | |
| Equities | | Global equities finished November in generally positive territory; however, there was notable divergence in the performance of US vs. emerging markets equities. European equities were adversely impacted by escalating tensions with Russia and the prospect of US tariffs. |
| Government bonds | | Government bond yields generally fell during November. In the US, this was in response to higher inflation readings, weak jobs data, and President Trump’s victory. Geopolitical and growth concerns in Europe weighed on sentiment, boosting demand for government bonds. Japanese bonds bucked the global trend; yields increased in anticipation of a potential upcoming rate hike. |
| Corporate bonds | | Credit indices were mostly positive in November. Local currency emerging market credit underperformed amidst weakness in EM currencies vs. the US dollar. |
| Currencies | The US dollar strengthened against most major currencies in November – benefiting from the likelihood of tariffs following the election of President Trump and minutes from the Fed’s meeting indicating a potential slower path of rate cuts. The Japanese yen was a notable exception, as markets priced in a potential rate hike by the BoJ. | |
| Commodities | | Commodity indices ended November with generally positive performance; however, the US dollar’s strength weighed heavily on many commodities. Natural gas prices increased on uncertainties about European supplies. Coffee and cocoa prices increased on weather-related 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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