Hedge fund industry observers said the first quarter of 2020 was a litmus test for managers, producing distinct winners and losers and many funds loitering in between.
"There was huge dispersion of returns between strategies and managers, including outliers with big returns as well as those near the bottom with sharply negative returns," said James A. Neumann, the New York-based CIO of hedge fund consultant Sussex Partners U.K. Ltd., in an interview.
Hedge Fund Research Inc. data found that performance losses of $333.2 billion were the primary culprit behind the 11% decline in hedge fund industry assets to $2.957 trillion in the quarter ended March 31 with the balance coming from $33.5 billion of net outflow.
The HFRI Composite index was down 9.4% in the quarter ended March 31.
Pensions & Investments looked into the performance of some of the most institutional hedge fund managers to see how they fared in the rough-and-tumble first quarter. Unless otherwise noted, the firms declined to comment on the record about their performance.
Among P&I's small universe of institutionally oriented firms, Brevan Howard Asset Management LP, London, produced the highest return in its flagship hedge fund.
The Brevan Howard Master Fund, a discretionary macro fund, returned 18.3% in March and 22.95% in the first quarter.
CEO Aron Landy said in an interview that the firm's "deep macro thinking," a portfolio structure that includes more than 40 portfolio managers who use derivatives to express their views, and "obsessive" firmwide risk management is "a combination of art and science."
In addition to the Master Fund, Brevan Howard runs 10 other strategies on its investment platform and Mr. Landy said "the pleasant thing about our secret sauce in this very volatile environment is that all of our funds are up this year. We made money even when the market was going down."
Brevan Howard manages $9.4 billion across its strategies.
Bridgewater Associates LP's flagship hedge fund, Pure Alpha, was down about 20% in the quarter ended March 31, the largest decline among the institutional hedge fund managers P&I looked at.