All sub-strategies apart from risk premia had positive performance over the review period. In terms of performance, quant was the best performer of all the hedge fund strategies observed in the 12 months to August 2022. Net assets increased by $42.8bn over the 12 months to August 2022. At a sub-strategy level, the variance in observable funds were -6 funds across CTA, -5 in risk premia, -3 in quant equity market neutral and +7 in statistical arbitrage. The quant master strategy AUM over the period grew by $42.8bn the growth was primarily due to net profits of $47.8bn with net outflows of $5.0bn, while the total number of quant funds monitored decreased by seven funds from 483 funds to 476 funds. The second largest strategy monitored by Aurum’s Hedge Fund Data Engine by AUM is quant, accounting for $445bn out of $3,143bn combined AUM monitored as at August 2022. The best monthly return for the period was 3.9% followed closely by 3.7% in March 2022 and April 2022 respectively. The strategy was positive for 9 of those 12 months, with the worst monthly drawdown in July 2022 when the master strategy was down 2.1%. Quant has exhibited exceptional positive performance over the 12 months to August 2022, delivering an average return of 12.8%.
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