Hedge Funds Weekly: November 30, 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.

Highlights

  • Our factor-based estimates project that hedge funds gained 0.04% last week, as foreign equity underperformance suppressed returns
  • Hedge funds are now up 0.06% for the month and 0.75% for the year
  • 21 of the 30 hedge fund strategies we track earned positive returns
  • Foreign securities underperformed their domestic equivalents as foreign currencies fell relative to the US dollar
  • Emerging market equities were particularly hard hit
  • All commodity sectors except base metals declined, with precious metals experiencing a particularly difficult week
  • Fixed income term structure strategies posted healthy risk-adjusted returns, but non-government securities underperformed
  • Our initial October hedge fund return estimate of 1.61% differs from the current estimate of 1.48% by 0.13%, a slightly smaller difference than normal

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News Worth Reading: November 27, 2015

News is overrated. We recommend reducing your daily intake and concentrating instead on hard data and data-rich analysis. That said, there’s always great information out there if you know where to look. The following comprises our list of news worth reading from the past week.

Hedge Funds

  • Highlights from EY’s Global Hedge Fund and Investor Survey (dailyalts)
  • Hedge fund exit requests rose in November (reuters)
  • Separating hedge fund strategies into substitutes and diversifiers (dailyalts)
  • Hedge funds have been terrible stock pickers as of late (bloomberg)

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Hedge Funds Weekly: November 23, 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.

Highlights

  • Our factor-based estimates project that hedge funds gained 0.59% last week, as surging equities lifted returns
  • Hedge funds are now up 0.03% for the month and 0.66% for the year
  • 28 of the 30 hedge fund strategies we track earned positive returns
  • Equities soared globally, while fixed income and commodities underperformed
  • Beta was the primary driver of equity returns worldwide; small caps, growth stocks, and several sectors underperformed the broad indexes
  • Each of our short volatility and variance Market Factors notched healthy returns
  • Although some indexes have yet to report performance, our initial October hedge fund return estimate of 1.61% differs from the current estimate of 1.42% by 0.19%, a slightly larger difference than normal

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News Worth Reading: November 20, 2015

News is overrated. We recommend reducing your daily intake and concentrating instead on hard data and data-rich analysis. That said, there’s always great information out there if you know where to look. The following comprises our list of news worth reading from the past week.

Hedge Funds

  • Some big name hedge funds have had a very rough quarter (nytimes)
  • Large hedge funds have outperformed small ones over the past 5 years (preqin)
  • Hedge fund investors appear to prefer relative value strategies (preqin)
  • A look at hedge fund sector crowding (valuewalk)
  • BlackRock is closing a formerly $4.6 billion macro fund (bloomberg)
  • AQR’s very consistent “free lunch” (ft)
  • A profile of AQR’s Cliff Asness (efinancialnews)
  • Why managed futures strategies love bond futures (attaincapital)

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Hedge Funds Weekly: November 16, 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.

Highlights

  • Our factor-based estimates project that hedge funds lost 0.98% last week, as declining global equities overwhelmed other risk factors
  • Hedge funds are now down 0.60% for the month and up only 0.22% for the year
  • Only 2 of the 30 strategies we track earned positive returns
  • Risky assets worldwide plunged, while fixed income products posted modest gains
  • Commodity beta and crude oil factors declined significantly, but term structure, momentum, and trend following strategies prospered
  • US and developed market government bond spreads gained, while riskier bond and credit strategies fell
  • Although many indexes have yet to report performance, our initial October hedge fund return estimate of 1.61% differs from the current estimate of 1.57% by only 0.04%, a smaller difference than normal

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News Worth Reading: November 13, 2015

News is overrated. We recommend reducing your daily intake and concentrating instead on hard data and data-rich analysis. That said, there’s always great information out there if you know where to look. The following comprises our list of news worth reading from the past week.

Hedge Funds

  • Billion dollar hedge funds manage 92% of institutional hedge fund investments (preqin)
  • Funds of funds are struggling to maintain AUM (reuters)
  • Hedge funds list growing assets as their #1 goal (ai-cio)
  • Funds of funds are disproportionately large investors in emerging managers (preqin)
  • Hedge funds aggressively sold their most liquid holdings during the 2008 crisis (ssrn)

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Hedge Funds Weekly: November 9, 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.

Highlights

  • Our factor-based estimates project that hedge funds gained 0.29% last week, as profits from US and emerging equities negated losses from developed equities
  • Hedge funds are now up 1.12% for the year
  • 27 of the 30 strategies we follow posted positive performance
  • US equities rallied but most other asset class benchmark indexes experienced large declines
  • Commodities, particularly oil and precious metals, experienced heavy losses
  • US fixed income term structure strategies posted meaningful declines, and foreign government bond spreads did even worse
  • Although many indexes have yet to report performance, our initial October hedge fund return estimate of 1.61% differs from the current estimate of 1.57% by only 0.04%, a smaller difference than normal

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News Worth Reading: November 6, 2015

News is overrated. We recommend reducing your daily intake and concentrating instead on hard data and data-rich analysis. That said, there’s always great information out there if you know where to look. The following comprises our list of news worth reading from the past week.

Hedge Funds

  • 20% of hedge funds are not even taking enough active risk to recapture their fees (valuewalk)
  • Highlights from Citi’s Hedge Fund Industry Snapshot for October (dailyalts)
  • A review of Q3’s alternative fund performance (dailyalts)
  • Macro strategies represented 30% of hedge fund launches in Q3 (preqin)
  • Ken Griffin looks back on 25 years of Citadel (nytimes)
  • Investors have pulled $3 billion from Brevan Howard this year (finalternatives)

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Hedge Funds Monthly: October 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.

Highlights

  • Our factor-based estimates project that hedge funds gained 1.61% last month, almost entirely from equity beta
  • Hedge funds are now up 0.88% for the year
  • Our models project positive performance in 27 of the 30 strategies we follow, even though we forecast negative alpha in 19 of them
  • Equities had a huge month, gaining 7.62% globally while helping to propel other risky assets towards profits
  • Our 60/40 and risk parity benchmarks earned between 4.6% and 5.0%
  • Although equities soared, small caps materially underperformed large caps and momentum and trend following strategies struggled
  • Last month’s hedge fund performance estimate of -1.63% differed from the actual index return of -1.17% by 0.46%, a larger difference than normal as most strategies earned better than expected returns

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Hedge Funds Weekly: November 2, 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.

Highlights

  • Our factor-based estimates project that hedge funds gained 0.41% last week, primarily from alpha
  • Hedge funds are now up 1.70% for the month and 0.98% for the year
  • 22 of the 30 strategies we follow posted positive performance
  • Poor foreign equity returns crippled each of our emerging market indexes while growth stock performance aided domestic equity strategies
  • Our oil, MLP, agricultural commodity, and healthcare Global Benchmarks rallied while emerging equities, precious metals, and US bonds suffered
  • Equity momentum strategies, particularly at the country and sector level, performed very well
  • Although index returns are still preliminary, our September end-of-month hedge fund projections appear to have underestimated performance in most strategies

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