Hedge Funds Weekly: December 28, 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 0.40% last week as rising equities fueled returns
  • Hedge funds are now down 1.05% for the month and 0.07% for the year
  • 26 of the 30 hedge fund strategies we track earned positive returns
  • Aside from US government and investment grade bonds, most asset classes provided positive returns for the week
  • Equities rallied globally, but most regions underperformed US equities
  • Small caps and value stocks outperformed
  • Government and investment grade bonds fell in the US, but gained overseas
  • Oil and other non-agricultural commodities rebounded moderately
  • Both developed and emerging currencies appreciated relative to the US dollar
  • Our current November hedge fund index return projection of 0.32% is 0.32% greater than our initial estimate of 0.00%

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News Worth Reading: December 25, 2015

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

  • There are some bright spots in an otherwise mediocre year for hedge funds (bloomberg)
  • Get used to low hedge fund returns (finalternatives)
  • Why have long/short funds performed so poorly? (awealthofcommonsense)
  • European pensions are net sellers of hedge funds for the third straight year (efinancialnews)
  • Which banks have provided the most hedge fund analysts? (businessinsider)

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Hedge Funds Weekly: December 21, 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 mixed factor performance led to modest returns
  • Hedge funds are now down 1.38% for the month and 0.40% for the year
  • 17 of the 30 hedge fund strategies we track earned positive returns
  • Aside from emerging equities and real estate securities, most asset classes provided negative returns for the week
  • Bonds fell globally as the Fed raised rates for the first time since before the 2008 financial crisis
  • Developed currencies depreciated significantly relative to the US dollar
  • US equities declined modestly, while small caps, value stocks and country momentum strategies fell
  • Our current November hedge fund index return projection of 0.32% is 0.32% greater than our initial estimate of 0.00%

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News Worth Reading: December 18, 2015

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

  • Hedge funds are working hard to keep AUM up despite poor performance (nytimes)
  • Hedge fund fees are falling, and investors are valuing liquidity (valuewalk)
  • Hedge funds haven’t been too good at stock picking this year (valuewalk)
  • Citi reviews October hedge fund performance (dailyalts)
  • 44% of hedge fund managers plan on launching a new fund in 2016 (reuters)
  • Investors are fed up with commodity hedge funds (businessinsider)
  • Public pensions tend to make above average hedge fund investments (pionline)
  • Two Sigma is getting into direct lending (finalternatives)
  • Combining liquid alternatives with hedge funds (dailyalts)

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Hedge Funds Weekly: December 14, 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 1.19% last week as worldwide equity declines crippled most strategies
  • Hedge funds are now down 1.46% for the month and 0.47% for the year
  • Only two of the 30 hedge fund strategies we track earned positive returns
  • Emerging EMEA equities suffered massive declines, while US energy stocks and MLPs also plummeted
  • Oil continued its protracted decline with another loss in excess of 10%
  • Emerging currencies and FX carry strategies posted large losses, while FX momentum and value strategies gained
  • Momentum and trend following strategies gained in and across most asset classes
  • Although many indexes have yet to report performance, our current November hedge fund index return projection of 0.33% differs from our initial estimate of 0.00% by 0.33%, a larger difference than normal

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Hedge Funds Weekly: December 7, 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 0.13% last week from mixed factor performance
  • Hedge funds are now down 0.10% for the month and up 0.96% for the year
  • Only nine of the 30 hedge fund strategies we track earned positive returns
  • Poor equity performance drove down most equity sensitive strategies
  • Non-energy commodities rebounded from last week’s declines
  • MLPs were crushed amidst mediocre worldwide equity performance
  • Developed currencies appreciated meaningfully relative to the US dollar, boosting the returns of non-dollar assets
  • Momentum strategies gained in commodities and equities, but declined in FX and across asset classes
  • We will begin evaluating our end-of-month hedge fund return estimates next week once enough indexes have reported November returns

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News Worth Reading: December 4, 2015

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

  • It’s tough to be a start-up hedge fund these days (pionline)
  • Smaller hedge funds have outperformed over the long run (barrons)
  • Global macro funds continue to attract capital despite recent closures in the space (reuters)
  • Hedge funds had their lowest Q3 net inflows in six years (bloomberg)
  • The challenges in hedge fund investing (thereformedbroker)
  • Has the rise of indexing made alpha generation more difficult for hedge funds? (awealthofcommonsense)

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Hedge Funds Monthly: November 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 were flat last month as foreign equity underperformance and negative alpha wiped out returns from other factors
  • Hedge funds are now up 0.69% for the year
  • Less than half of the hedge fund strategies we index posted positive performance; 21 of 30 produced negative alpha
  • Commodities continued their downward spiral with yet another very bad month
  • Foreign assets struggled primarily as a result of currency depreciation
  • Risk parity strategies underperformed 60/40 as bonds lagged equities
  • Momentum and trend following strategies benefited from trending markets
  • Last month’s hedge fund performance estimate of 1.61% differed from the actual index return of 1.49% by 0.12%, a smaller difference than normal

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