Insight
Aurum’s quarterly review – Q2 2024
In summary…
Aurum’s commingled and bespoke fund of hedge funds $US classes delivered returns ranging from +0.8% to +1.8% in Q2 2024, driven by robust performances in multi-strategy and systematic strategies. Despite higher-than-expected inflation data and postponed interest rate cuts, market conditions were generally favourable, particularly for AI/tech stocks, which supported equity indices.
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.
Multi-strategy
Allocations to multi-strategy funds consistently generated positive returns throughout the second quarter of 2024. Managers demonstrated robust performance across various market conditions, driven by diversified exposures to quant, macro, and equity strategies. Fixed income and equities trading within these multi-strategy funds contributed significantly to positive performance.
Macro
Macro strategies exhibited varied performance over the quarter. In April, macro strategies had mixed impacts, with positive contributions from short US equities, short Japanese fixed income, and long precious metals positions. However, by June, macro strategies detracted from overall performance, particularly due to weaker returns from discretionary funds involved in metals and rates trading.
Systematic
Systematic strategies contributed positively overall, with significant dispersion. April saw strong performance from faster machine learning models and systematic futures strategies, while statistical arbitrage funds underperformed. In May, systematic allocations generally detracted from performance, despite some dispersion, with statistical arbitrage funds outperforming other systematic sub-strategies. June saw a reversal; systematic strategies contributed positively to performance across all funds.
Event driven
Event-driven strategies faced a challenging quarter marked by volatility and event-specific disruptions. April started positively with contributions from deal closures in the semiconductor and credit card payments sectors, but regulatory interventions caused setbacks. May was particularly difficult, marked by the collapse of a high-profile mining sector deal and an unsuccessful bid in the pulp and paper sector, leading to widened spreads and negative performance. Performance stabilised by June, albeit with flat attribution as merger spreads remained wide. The announcement of new deals in sectors such as medical waste and beverage manufacturing created a fertile opportunity set for the strategy.
Equity strategies
Equity strategies contributed positively over the quarter. April was challenging, with all underlying funds posting negative returns, particularly those focused on Japanese markets. May saw a rebound driven by net short positions in Chinese equities and net long positions in industrials, financials, healthcare, and technology sectors, continuing the positive momentum into June. US, European, and Chinese funds outperformed their Japan-focused counterparts.
Disclaimer
This Post represents the views of the author and their own economic research and analysis. These views do not necessarily reflect the views of Aurum Fund Management Ltd.. This Post does not constitute an offer to sell or a solicitation of an offer to buy or an endorsement of any interest in an Aurum Fund or any other fund, or an endorsement for any particular trade, trading strategy or market. This Post is directed at persons having professional experience in matters relating to investments in unregulated collective investment schemes, and should only be used by such persons or investment professionals. Hedge Funds may employ trading methods which risk substantial or complete loss of any amounts invested. The value of your investment and the income you get may go down as well as up. Any performance figures quoted refer to the past and past performance is not a guarantee of future performance or a reliable indicator of future results. Returns may also increase or decrease as a result of currency fluctuations. An investment such as those described in this Post should be regarded as speculative and should not be used as a complete investment programme. This Post is for informational purposes only and not to be relied upon as investment, legal, tax, or financial advice. Whilst the information contained in this Post (including any expression of opinion or forecast) has been obtained from, or is based on, sources believed by Aurum to be reliable, it is not guaranteed as to its accuracy or completeness. This Post is current only at the date it was first published and may no longer be true or complete when viewed by the reader. This Post is provided without obligation on the part of Aurum and its associated companies and on the understanding that any persons who acting upon it or changes their investment position in reliance on it does so entirely at their own risk. In no event will Aurum or any of its associated companies be liable to any person for any direct, indirect, special or consequential damages arising out of any use or reliance on this Post, even if Aurum is expressly advised of the possibility or likelihood of such damages.
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