Hedge Funds Weekly: March 28, 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 fell 0.05% last week as equity losses trimmed month-to-date gains
  • Hedge funds are now up 1.25% for the month and down 1.04% for the year
  • 14 of the 30 hedge fund strategies we track earned positive returns
  • We currently project that hedge funds returned -0.23% in February, 0.13% less than our initial estimate of -0.10%
  • Almost all of our global benchmarks suffered losses as markets declined worldwide
  • Equities of nearly every region, sector and style fell
  • Most bond benchmarks finished the week down, but corporates notched modest gains
  • Energy commodities reversed course, suffering losses along with the other commodity sectors
  • Both developed and emerging currencies depreciated materially against the U.S. dollar
  • Short volatility and variance strategies earned small positive returns
  • Trend following strategies tended to earn positive returns regardless of asset class

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News Worth Reading: March 25, 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

  • Long-term hedge fund returns have been in steady decline for a while now (bloomberg)
  • Hedge fund AUM fell in February as new investment failed to offset negative returns (hedgeweek)
  • Citadel is struggling this year (finalternatives)

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Hedge Funds Weekly: March 21, 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 added 0.41% last week as gains from equities again fueled returns
  • Hedge funds are now up 1.29% for the month and down 0.93% for the year
  • All but two of the 30 hedge fund strategies we track earned positive returns
  • It was almost impossible for a well-diversified investor to lose money as nearly every major asset class benchmark posted positive returns
  • Other than healthcare, every one of our equity region, sector and style benchmarks posted gains
  • Bonds performed strongly as risk-adjusted returns outpaced equities worldwide
  • Investment grade credit risk was again highly rewarded, but high yield was not
  • Energy commodities continued to rise, while base and precious metals continued to fall
  • All of our short volatility and variance factors produced positive returns
  • Momentum and trend following strategies struggled once again
  • We currently estimate that hedge funds returned -0.16% in February, 0.06% less than our initial estimate of ‐0.10%

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News Worth Reading: March 18, 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

  • More hedge funds closed in 2015 than opened (fortune)
  • A breakdown of hedge fund investment preferences by investor type (preqin)
  • Bridgewater is not having an easy time transitioning power from Ray Dalio (efinancialnews)
  • Is Bill Ackman repeating the same mistakes he made at Gotham Partners? (businessinsider)

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Hedge Funds Weekly: March 14, 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 0.22% last week as rising equities again lifted returns
  • Hedge funds are now up 0.93% for the month and down 1.04% for the year
  • All but four of the 30 hedge fund strategies we track earned positive returns
  • Other than MLPs, every one of our equity region, sector and style benchmarks posted gains
  • U.S. Treasuries were the worst performing major asset class on a risk-adjusted basis
  • Credit risk was again highly rewarded
  • Energy commodities soared for the third consecutive week, but base and precious metals were among our worst performing benchmarks
  • All of our short volatility and variance factors produced positive returns
  • Momentum and trend following strategies again struggled
  • We currently estimate that hedge funds returned 0.06% in February, 0.16% more than our initial estimate of ‐0.10%

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News Worth Reading: March 11, 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 have backed off the yuan devaluation trade (reuters)
  • The University of California endowment is trimming its number of hedge funds (pionline)
  • Bridgewater has a new co-CEO (finalternatives)

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Hedge Funds Weekly: March 7, 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 0.75% last week as equities continued to rally
  • Hedge funds are now up 0.76% for the month and down 2.23% for the year
  • All but four of the 30 hedge fund strategies we track earned positive returns
  • All of our regional, sector and style equity benchmarks posted gains
  • U.S. Treasuries were the only major asset class to decline
  • Credit risk was highly rewarded
  • Commodities, particularly in the energy sector, accumulated large gains
  • Our short volatility and variance factors posted mixed, but muted performance
  • Momentum and trend following strategies displayed weakness in and across most asset classes
  • We will begin analyzing our February hedge fund index projections next week

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News Worth Reading: March 4, 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 fund investors expect liquidity even when the fund’s underlying investments are illiquid (bloomberg)
  • Roughly 80% of the hedge funds launched in 2015 employed equity-based strategies (pionline)
  • Pension funds are increasing their alternatives allocations (ft)
  • Highlights from Credit Suisse’s annual hedge fund investor survey (prnewswire)
  • The 2016 Hedgeweek Award winners (hedgeweek)
  • Paul Marshall (of Marshall Wace) opines on “unfair” European hedge fund regulations (ft)
  • UK fund managers are increasingly pro-Brexit (ft)
  • Liquid alts have been huge for AQR (barrons)

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Hedge Funds Monthly: February 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 0.10% in February amid mixed factor performance
  • 13 of the 30 strategies we track posted positive returns
  • Macro strategies, including Managed Futures, were the best performers, while Asia-focused strategies suffered
  • Gold continued its torrid start to the year, fueled in part by a dollar decline, which also helped foreign bonds
  • Equities were flat in the U.S. and down in developed markets
  • Government bonds fared well both domestically and abroad
  • Credit risk generated losses in most markets
  • Risk parity strategies outperformed 60/40, with the international risk parity strategy benefiting from its levered foreign currency exposure
  • Our broad hedge fund index returned -1.99% in January, 0.19% more than our initial estimate of -2.18%

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