The investable HFRI 500 Macro Index has surged +14.3 per cent YTD through August, with gains driven by long commodity and US dollar positions as the US Federal Reserve continued to raise interest rates to slow the generational inflation market environment.
After producing a strong +9.9 per cent return in 2021, the HFRI 500 Fund Weighted Composite Index has exhibited strong defensive capital preservation over the volatile start to 2022, topping equity market losses by over 2500 basis points (bps) despite posting a narrow YTD decline of -2.65 per cent through August.
The performance dispersion of the HFRI Fund Weighted Composite Index narrowed slightly over the prior quarter, as the top decile of index constituents returned an average of +10.6 per cent in 2Q22, falling from +19.85 per cent in the prior quarter, while the bottom decile declined by an average of -23.15 per cent in 2Q, falling from -18.6 per cent in the prior quarter, and representing a top/bottom decile dispersion of 33.8 per cent. Over the trailing four quarters, the top decile of index constituents returned an average of +29.7 per cent, while the bottom decile declined by an average of -35.5 per cent, representing a top/bottom decile dispersion of 65.2 per cent.
Hedge fund fees remained steady in 2Q22, as the average industry-wide management fee was unchanged from the prior quarter at an estimated 1.36 per cent, while the average incentive fee increased narrowly by 2 bps to 16.05 per cent. The estimated average management fee represents the lowest level since HFR began publishing these estimates in 2008.
For funds launched in 2Q22, average management fees declined 11 bps from the prior quarter to an estimated 1.32 per cent. Average incentive fees for funds launched in 2Q22 was estimated at 17.9 percent, representing a decline of 8 bps from the prior quarter though remaining above the overall industry-wide average.
