Hedge Fund Performance
Our factor-based estimates project that hedge funds lost 0.76% last week while our factor-attribution analysis indicates that long equity exposure, both foreign and domestic, was the primary return driver. US equity beta contributed 0.42% towards the loss and the spread between foreign and domestic equities contributed another 0.23%. The losses overpowered gains of 0.06% from foreign developed currencies and 0.11% from alpha. Hedge funds’ aggregate month-to-date and year-to-date performance now stands at -0.87% and -0.34%, respectively.