Hedge Funds Weekly: February 29, 2016

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 0.43% last week as rising equities once again bolstered returns
  • Hedge funds are now down 0.16% for the month and 2.12% for the year
  • All but two of the 30 hedge fund strategies we track earned positive returns
  • Almost all of our U.S. equity benchmarks posted gains, but foreign benchmarks did not fare as well
  • High yield and emerging bonds rallied along with equities for the second straight week
  • Commodities were among the top movers, as energy products rallied while base metals and agricultural commodities fell
  • Most of our U.S. short volatility and variance factors notched gains
  • Momentum and trend following strategies tended to struggle once again
  • Our current January hedge fund index return projection of ‐1.96% differs from our initial estimate of ‐2.18% by 0.22%

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News Worth Reading: February 26, 2016

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

  • Many hedge fund investors have unrealistic expectations (researchpuzzle)
  • Hedge fund AUM is expected to grow by 5% this year to more than $3 trillion (hedgeweek)
  • Investors expect long/short and global macro to be the best performing strategies this year (reuters)
  • Hedge funds are very good at handling the non-investment aspects of the business (awealthofcommonsense)
  • Traders that can code are in demand (nytimes)
  • Ex-Harvard endowment duo to start commodity and fixed income hedge fund (pionline)

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Hedge Funds Weekly: February 22, 2016

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 model projects that hedge funds gained 0.86% last week as rising equities bolstered returns
  • Hedge funds are now down 0.26% for the month and 2.15% for the year
  • All but three of the 30 hedge fund strategies we track earned positive returns
  • All of our equity Global Benchmarks posted gains, led by MLPs
  • High yield and emerging bonds rallied along with equities
  • Despite strong returns to base metals, commodities continued to fall
  • All of our short volatility and variance factors profited
  • Momentum and trend following strategies struggled as most markets rebounded from recent losses
  • Our current January hedge fund index return projection of ‐1.90% differs from our initial estimate of ‐2.18% by 0.28%

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News Worth Reading: February 19, 2016

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 and mutual funds are becoming more alike (dailyalts)
  • A summary of some of the larger Q4 2015 hedge funds stock buys and sells (finalternatives)
  • A profile of the hedge fund preferences of Asia-Pacific pension funds (preqin)
  • Bill Miller’s new hedge fund will use earthquake probabilities to trade markets (bloomberg)

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Hedge Funds Weekly: February 15, 2016

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 0.92% last week amid continued equity declines
  • Hedge funds are now down 3.34% for the year
  • Only three of the 30 hedge fund strategies we track earned positive returns
  • Of our equity Global Benchmarks, only U.S. Consumer Staples gained
  • Government bonds performed well both domestically and abroad, but corporate securities lagged
  • Precious metals soared, but oil and other commodities fell once again
  • Foreign exchange momentum and value strategies profited, while carry declined
  • Momentum and trend following strategies tended to produce outsized profits regardless of asset class
  • Our current January hedge fund index return projection of ‐1.83% differs from our initial estimate of ‐2.18% by 0.35%

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News Worth Reading: February 12, 2016

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

  • January was tough for several brand name hedge funds (businessinsider)
  • Quant funds are dominating year-to-date performance (businessinsider)
  • Citi reviews December hedge fund performance (dailyalts)
  • Speed dating for hedge funds and investors is a real thing now (wsj)
  • AIG is cutting its hedge fund allocations (finalternatives)
  • Two big funds of funds managers are merging (dailyalts)
  • Is Bridgewater’s Ray Dalio feuding with his heir apparent? (wsj)
  • Virtu is letting some outsiders use its trading technology (bloomberg)
  • Rosebrook Capital is buying up illiquid stakes in distressed hedge funds (bloomberg)
  • Your portfolio is probably having a better year than Bill Ackman’s (finalternatives)

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Hedge Funds Weekly: February 8, 2016

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 0.71% last week as equities continued to fall
  • Hedge funds are now down 2.35% for the year
  • Only six of the 30 hedge fund strategies we track earned positive returns
  • Equities declined globally, but U.S. investors with unhedged currency exposure saw foreign losses lessened by a declining dollar
  • Government bonds performed well both domestically and abroad, but corporate bonds lagged
  • Oil and other energy commodities continued to slide
  • Developed currencies rallied significantly against the U.S. dollar, but emerging currencies gained only modestly
  • Momentum and trend following strategies posted mixed performance across different asset classes
  • We will begin analyzing our January hedge fund index return estimates next week

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News Worth Reading: February 5, 2016

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

  • Is artificial intelligence the future of hedge fund investing? (technologyreview)
  • Poor performance is leading to more favorable terms for hedge fund investors (businessinsider)
  • Hedge funds have shortened redemption periods without reducing illiquid asset allocations (businessinsider)
  • 80% of hedge fund allocations have gone to $1bn+ firms over the last 4 years (businessinsider)
  • Investors are most optimistic about global macro strategies (finalternatives)
  • Hedge funds in the Asia-Pacific region are disproportionately focused on equities (preqin)
  • Credit market illiquidity is one of reasons Orange Capital is closing down (businessinsider)
  • CargoMetrics is using satellite shipping data to trade the market (institutionalinvestor)
  • An interesting profile of Nancy Zimmerman’s Bracebridge Capital (bloomberg)

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Hedge Funds Monthly: January 2016

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

  • We project that hedge funds lost 2.18% in January as plummeting equities crippled returns
  • Only three of the 30 strategies we track posted positive returns
  • Energy commodities and equities had a horrible start to the year as investors fled risky assets for the safety of U.S. Treasuries
  • Equities fell in every major region, but a few defensive sectors managed to profit
  • Government bonds served as safe havens in both the U.S. and Europe
  • Credit risk produced strongly negative returns both domestically and abroad
  • Gold and other precious metals rallied, but most commodities were down as oil racked up a sizeable loss
  • Both developed and emerging market currencies depreciated materially relative to the U.S. dollar
  • Our broad hedge fund index returned -0.87% in December, 0.08% more than our initial estimate of -0.95%

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Hedge Funds Weekly: February 1, 2016

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 equities rallied but other factor exposures suppressed gains
  • Hedge funds are now down 2.26% for the month and year
  • 18 of the 30 hedge fund strategies we track earned positive returns
  • Every major asset class, and nearly every sub-index gained value as all but three of our 54 global benchmark indexes rose
  • Equities were up globally, and in all sectors except healthcare
  • Investment grade bonds underperformed Treasuries, but high yield spreads and term structure strategies profited
  • Momentum and trend following strategies lost value in most asset classes as markets reversed their recent trends
  • Our current December hedge fund index return projection of ‐0.69% differs from our initial estimate of ‐0.95% by 0.26%

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