Monday, May 27, 2024

Macro leads hedge fund returns in volatile October

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Macro strategies led hedge fund performance in October, as geopolitics and interest rate risk drove an uptick in volatility.

The HFRI Macro (Asset Weighted) Index gained 0.7% in October, putting it up 2.6% for the year, but most strategies in the sector declined.

The relative value equivalent was flat, but up 4.6% YTD. Equity and event-driven asset-weighted indices were negative 0.7% and 1.3% on the month, respectively. That puts them up 4.1% and 3.1% for the year.

“Top macro hedge funds posted strong gains led by fundamental and trading focused strategies, with the industry’s largest funds driving gains in asset weighted composites for the month,” stated Ken Heinz, president of HFR.

Brevan Howard’s AS Macro Master Fund, which manages $2.7bn, was one big-name to gain, making 0.6% in the month to 27 October, putting it up 0.5% for the year.

Hedge fund performance overall last month was mixed in the volatile month of October, with HFR’s asset-weighted index flat for the month and its core fund-weighted tracker down 1.4%. They are up 3.5% and 2.4% for the year so far.

“For hedge fund managers, we have seen weak alpha generation in 2023, and managers are looking to capitalise on greater dispersion and possible high volatility to reverse this in 2024,” observed Man Group’s investment unit in a recent note.