The Big Picture


THE BIG PICTURE: COMMODITIES FUELLING HEDGE FUND RETURNS Feb


Industry Benchmark Hedge Fund Aggregate


Bloomberg Barclays Global Aggregate S&P 500


MSCI World ex-US-GD


Primary Markets Commodities


Broad Financial Derivatives Broad Multi-Market


Broad Capital Structure


Volatility/Options Strategies FX/Currency


Fixed Income/Credit Equity


Primary Strategy Managed Futures Macro


Event Driven Multi-Strategy


Event Driven - Activist Insurance-Linked Distressed


Alternative Risk Premia Market Neutral Equity Long/Short Equity Credit Long/Short


Convertible Arbitrage Origination & Financing


YTD 2022


-0,17% -1,19% -2,99% -1,54%


Feb


4,32% 1,98% 1,56% 0,07% -0,53% -0,81% -0,90% -1,08%


Feb


2,39% 1,76% 0,96% 0,56% 0,44% 0,38% -0,04% -0,10% -0,66% -0,70% -0,83% -1,46% -4,54%


-1,91% -3,21% -8,01% -5,88%


YTD 2022


8,55% 3,34% 2,03% -2,06% -3,93% -0,02% -1,69% -4,32%


YTD 2022


3,58% 2,77% -0,78% -0,57% -4,69% 0,44% -0,85% 2,20% -0,65% -4,30% -1,39% -3,75% -6,81%


2021


9,89% -4,71% 28,71% 13,17%


2021


20,87% 6,80% 6,20%


10,78% 7,34% -1,12% 5,34%


12,33% 2021


6,92% 2,41%


12,28% 9,45%


26,28% -2,70% 15,24% 8,04%


12,07% 13,30% 6,58% 3,18% 9,15%


2020


11,05% 9,20%


18,40% 8,09%


2020


5,84% 5,09%


10,23% 11,44% -0,37% 1,39% 5,16%


14,91% 2020 5,71%


11,32% 9,51% 7,96%


16,40% 2,62% 6,94%


-10,93% 2,62%


15,17% 4,61%


15,12% 21,78%


2019


9,98% 6,84%


31,49% 23,16%


2019


5,00% 6,83% 7,41% 9,93% 4,15% 2,32% 6,19%


13,13% 2019


7,80% 6,18% 6,09% 9,92%


17,77% 3,74% 2,96% 0,78% 2,09%


13,91% 6,21% 8,80% 6,77%


2018


-4,95% -1,20% -4,38%


-13,64% 2018


-5,68% -5,38% -3,78% -3,33% -2,40% 0,81% 0,06% -7,36%


2018


-5,55% -3,82% -1,98% -1,82%


-10,28% -1,83% -0,18% -5,45% -3,30% -6,60% 0,35% -2,20% 4,78%


2017


8,98% 7,40%


21,83% 24,81%


2017


0,54% 2,61% 4,40% 9,13% 5,04% -3,41% 6,09%


13,48% 2017


2,85% 3,73% 7,75% 7,16%


11,30% -2,59% 6,71% 7,61% 3,33%


12,12% 5,84% 5,51% 7,23%


2016


5,74% 2,09%


11,96% 3,29%


2016


5,79% 0,65% 3,35%


10,04% 6,87% 2,74% 7,64% 5,78%


2016


0,35% 2,88% 9,65% 4,04%


11,02% 5,11%


13,27% 3,56% 2,32% 5,92% 7,18% 5,73% 4,57%


Source: eVestment


Hedge funds have endured a difficult start to the year, but there are rays of light. Andrew Holt reports.


Given the multi-faceted and frenetic picture of what is hap- pening in commodities, it is unsurprising that hedge funds focused on the asset class were the strongest performers in February, with an aggregate return of +4.32%. They also take first place in the year to date at +8.55%. This followed a strong 2021, where commodity-focused hedge funds were among the highest yielders with an aggregate return of +20.87%, according to eVestment. This is within the context of the S&P500 Energy index hav- ing outperformed the broader S&P500 by the largest mar- gin on record, according to Dow Jones Market Data. Other hedge funds have also benefited. Managed futures, which use algorithms to exploit market trends across a range of asset classes, were strong performers in February, with aggregate returns of +2.39%, bringing the total to


+3.58% since the start of January. Macro hedge funds were also solid performers in February returning +1.76%, slightly ahead of the +1.47% they made a month earlier. The 2.77% earned in the opening two months of the year is a strong turnaround for these funds, which returned an average of just +2.45% in 2021. At the other end of the spectrum, origination and financing hedge funds were the worst performers among primary strategies, coming in at -4.54%. This helped their aggregate returns to end the first two months of the year at -6.81%. Interestingly, equity-focused funds have had something of a rough start to the year, too. Among the primary hedge fund markets, they came bottom of the performance table at -1.08%, with performance so far in 2022 at -4.32%. Looking at the data overall, only about a third of hedge funds are producing positive results so far this year, although industry performance relative to broader equity or fixed income indices is favourable.


Issue 112 | April 2022 | portfolio institutional | 9


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