Hedge Funds Weekly: August 10, 2015

The following is an excerpt from our Hedge Funds Weekly report, which is available in the clients section. If you are not yet a client, please request access.

Eqira’s factor-based projections estimate that hedge funds collectively dropped 0.38% last week as losses in equity markets dragged down returns. Their year-to-date total return now stands at 2.46%.

Global Benchmarks

Risk assets performed poorly as oil-related securities continued to plummet. September WTI crude oil futures fell 6.9%, prolonging their recent slide. They are down 27.6% since June 24, forcing the entire energy complex into a tailspin. Energy equities dropped 3.3% and now find themselves down 15.2% for the year. MLPs, typically less volatile than equities because of their steadier cash flows, bucked their normal behavior and declined a sizeable 8.9%, quickly approaching a 20% decline for the year.

Our US Utilities index was our only equity benchmark to finish the week in positive territory. While foreign developed equities managed to eke out smaller losses than their American cousins, emerging market equities were not so fortunate, losing 1.36% in aggregate. Latin American equities fared particularly poorly, giving up 3.95%.

Longer dated US Treasuries and investment grade bonds served as safe havens, gaining modestly. They were two of a very limited number of places to hide from market declines.

Our US 60/40 and risk parity indexes lost 0.73% and 0.78% for the week, respectively. The global versions fared even worse with the 60/40 index sagging 0.78% and the risk parity index slumping 1.29%.

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Understanding Eqira’s Factor-Based Projections

Abstract: It is very difficult to get reliable intra-month performance indications for alternatives such as hedge funds. Actual performance is typically reported monthly, often with considerable lag. The few daily indexes that do exist often exhibit enormous tracking error. This article examines the Eqira Factor-Based Projections and illustrates how they address these issues by providing reliable daily return estimates for 30 different hedge fund strategies and custom securities of our clients’ choosing.

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Hedge Funds Monthly: July 2015

The following is an excerpt from our Hedge Funds Monthly report, which is available in the clients section. If you are not yet a client, please request access.

Eqira’s factor-based estimates project that hedge funds collectively dropped 0.07% in July as sharp declines in emerging markets negated gains from domestic equities. Their year-to-date total return now stands at 2.78%.

Global Benchmarks

Defensive equities posted strong performance in July as emerging markets and commodities tumbled. US utilities, REITs and consumer staples stocks each notched total returns in excess of 5%. Broad commodities lost 12.69%, fueled by a 21.46% decline in oil futures and an 11.64% decline in agricultural futures. Losses in oil precipitated an 8.38% drop in US energy stocks. Emerging market equities fell 7.03%, with the largest losses in Latin America. Asian equities followed closely as concerns over China’s steep decline rippled through the region.

Bonds generally performed well as yields fell and curves flattened. The US dollar notched strong gains against foreign currencies, both developed and foreign. The moves were quite pronounced on a risk-adjusted basis. When scaled to an expected annual volatility of 10%, US Treasuries posted gains of 2.30% while foreign developed and emerging currencies lost 2.68% and 4.40%, respectively, relative to the dollar.

Our US 60/40 index gained 1.29% for the month and our US risk parity index increased 2.84%. The global versions were not so fortunate. The 60/40 index rose only 0.45% and the risk parity index added 0.83%.

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