Hedge Fund Data
Hedge fund industry performance review – September 2024
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In summary
Hedge fund performance was generally positive in September amidst a backdrop of mixed performance in global equities and falling government bond yields. All hedge fund strategies had positive performance. The average asset weighted hedge fund net return across all strategies was 1.25%. The strongest performing strategy was long biased. Hedge fund performance dispersion was broader than that observed in August.
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 September. All hedge fund strategies had positive performance. The average asset weighted hedge fund net return across all strategies was 1.25%. The strongest performing strategy was long biased. Hedge fund performance dispersion was broader than that observed in August. |
| Long-biased | | Long biased funds monitored by Aurum’s Hedge Fund Data Engine returned an average of 2.37%, in what ended as a broadly positive month for risk assets. Sub-strategy returns were all positive, with the strongest performance from long biased – equity. |
| Quant | | Quant funds monitored by Aurum’s Hedge Fund Data Engine returned 0.30% on average in September. Sub-strategy returns were mixed, ranging from CTA, up 1.01%, to quantitative equity market neutral, -0.23%. |
| Equity long/short | | Equity long/short funds returned an average of 1.34% in September. All sub-strategies had positive returns, the strongest of which was Asia Pacific long/short funds, following the huge surge in Chinese equities during the month. |
| Macro | | Macro funds monitored by Aurum’s Hedge Fund Data Engine generated an average net return of 1.77% in September. Sub-strategy returns were all positive, the strongest of which was global macro, up 2.19%. |
| Multi-strategy | | Multi-strategy funds monitored by Aurum’s Hedge Fund Data Engine returned an average of 0.64% in September. Small to mid-sized funds (AUM $0.5 – $1bn) were the strongest performers. The largest funds (AUM >$5bn) notably underperformed. |
| MARKETS | ||
|---|---|---|
| Major events | The US Federal Reserve announced a larger-than-expected 50bp interest rate cut on the back of concern about the slow pace of job growth and five months of lower inflation readings. The ECB cut rates by 25bp. The Chinese government launched a package of surprise stimulus measures which were hugely supportive of Chinese equity indices. | |
| Equities | | Global equities finished September in generally positive territory, but it was a mixed picture. Chinese equities rocketed following the announcement of a surprise stimulus package by the Chinese government. US equities benefited from the expectations of the Fed’s rate cut. Japanese equities remained volatile. |
| Government bonds | | Most government bond yields fell during September, as most central banks reduced interest rates. After a record-breaking period of inversion, the US 2/10y yield curve un-inverted. |
| Corporate bonds | | Credit indices were positive in September. Performance was supported by the 50bp rate cut by the Fed. Lower quality credit outperformed investment grade. |
| Currencies | The US dollar weakened against most major currencies in September as US employment data releases indicated weakening inflationary pressures – further entrenching market expectations of the 50bp rate cut which came on 19 September. The Russian ruble was an exception and weakened against the US dollar despite a 100bp interest rate hike by the Russian central bank. | |
| Commodities | | Gold prices continued to be supported by the weaker US dollar and geopolitical concerns. Oil prices fell as demand remained low. Natural gas prices surged amidst wider supply concerns as a category 4 hurricane hit Florida. Agricultural commodity prices generally increased. |
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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