Aurum’s quarterly review – Q1 2024

Multi-strategy

Multi-strategy funds made a positive contribution to performance across the Aurum fund range in the first quarter. Quant, fixed income, and fundamental equity market neutral contributed positively across the quarter. Macro strategies detracted in February, but generated positive performance in January and March.

Macro

Despite positive performance in January and March, losses in February meant that allocations to macro funds detracted slightly from performance in Q1.

Losses were concentrated in February, following the release of FOMC minutes which indicated that rate cuts would not take place in March. Long fixed income positions in the US and Europe detracted as long-term yields rose, while net short Japanese fixed income also detracted. Short equity positioning in the US and Europe, across consumer discretionary, financials and IT sectors, and energy trading also detracted from performance.

Positive attribution came from rates trading and short Japanese fixed income positions in January and March. Long precious metals positions and long materials and short consumer discretionary positioning were also additive in March while metals trading delivered positive attribution across the quarter.

Systematic

Systematic allocations generated positive attribution to the Aurum funds across the quarter. Most underlying funds experienced positive performance, but there was some significant dispersion. At the start of the year, it was encouraging to see that those funds which performed particularly well were those that experienced weaker performance in December. Some of the strongest performance was in March, where funds focused on machine learning and systematic futures strategies outperformed. Stat arb funds generally underperformed other systematic sub-strategies.

Event driven

Event driven funds contributed positively to performance during Q1 for those Aurum funds that have an allocation to the strategy.
Performance ranged from flat to marginally positive in January. Negative attribution primarily came from US political backlash against the acquisition of a US steel-maker. Performance improved in February where the closure of a deal in the e-invoicing sector was accretive to performance, as was broader risk-on sentiment in equity markets. This continued into March, when a number of notable deals closed, including those in the neuroscience and biopharmaceutical sectors. Opposition from President Biden to the acquisition of a US steel-maker detracted from performance. New deal flow picked up during the quarter, after the low levels seen at the end of 2023.

Equity long/short

For funds invested in the strategy, equity long/short allocations made strong positive contributions during Q1. In January, positive performance was driven by allocations to net long healthcare and financials sectors. Industrials and consumer discretionary sectors detracted. In February, gains came were driven by long positioning in tech and semi-conductor companies. In March, all underlying funds had positive returns, driven by long exposure to materials and financials sectors.