According to eVestment, managed futures’ run continues into 2015 as does credit’s slide. Strong currency, commodity and rate moves a boon to systematic strategies.
Aggregate Hedge funds performance -0.03 for Janruary
Aggregate hedge fund performance was -0.03% in January, outperforming the S&P 500 by 297 basis points, the most since January 2014 and second most since the second flare of the European sovereign crisis in May 2012.
Managed futures funds gained an additional 3.04% in January and have returned 9.07% in the last six months. The magnitude of recent monthly returns is reminiscent of periods prior to global market volatility. Specifically, the rolling six month returns for the universe last accelerated to current levels in Q1 2011, just prior to the initial onset of the European sovereign crisis, and in Q4 2007.
Carlson Capital's Black Diamond Arbitrage Partners fund added 1.3% net fees in the first quarter of 2021, according to a copy of the firm's March 2021 investor update, which ValueWalk has been able to review. Q1 2021 hedge fund letters, conferences and more At the end of the quarter, merger arbitrage investments represented 89% of Read More
The largest managed futures funds, those with greater than $1 billion in AUM, continued to perform extremely well with returns near 6% in January and over 16% in the last six months.
Large macro hedge funds outperformed peers
Large macro funds also outperformed their smaller peers in January. Unlike the managed futures segment, larger macro funds’ last six-month performance has not been better than smaller macro funds. Both groups have reported returns roughly in-line with each other.
Credit funds posted an aggregate loss for the fifth consecutive month in January, -1.25%. The largest declines appear to be from funds focused on sovereign interest rates shifts and those with a focus on European markets.
During the span of five consecutive monthly losses for credit funds, the universe produced a median decline of -3.82%. To put the decline in perspective, for the current group of credit strategies, of which eVestment tracks 609 products, the last five-month median decline is the worst since the five month period ending January 2009. There has been no meaningful deviation between larger and smaller credit fund returns during this recent drawdown.
Activist hedge funds strategies declined -3.44% in January
Activist strategies had elevated losses to start the year, declining an average of -3.44% in January. The tendency of positions to be more concentrated within activist funds than other equity or corporate capital structure-focused funds can add to the volatility of the monthly returns.
Funds focused on European markets were among the hardest hit in January. Greek elections again put into question the nation’s standing in the Eurozone, along with Swiss Franc volatility and the ECB’s decision to begin its own policy of quantitative easing all impacted markets. Within this environment, European equity funds posted declines of -0.65%, but losses were greatest among Europe-focused credit strategies which lost -3.40% in January. This universe’s five-month drawdown is -8.55% and its string of losses extends to the last seven months and totals -10.65% in that time frame.