News Worth Reading: April 29, 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

  • Investors are okay with lower hedge fund returns if those returns are uncorrelated (preqin)
  • CTAs haven’t been doing so well as of late (priceactionlab)
  • Commodity funds are becoming popular again (wsj)
  • Merger arb AUM is approaching an all-time high (bloomberg)
  • Managed futures strategies have had much smaller drawdowns than stocks (attaincapital)

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Hedge Funds Weekly: April 25, 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 0.31% last week as rising equities once again propelled returns
  • Hedge funds are now up 0.87% for the month and 0.04% for the year
  • All but four of the 30 hedge fund strategies we track earned positive returns
  • We currently project that hedge funds returned 1.53% in March, 0.09% less than our initial estimate of 1.62%
  • Poor government bond performance limited returns to diversified portfolios
  • Developed market equities posted modest gains while MLPs rallied
  • Credit risk generated healthy risk-adjusted returns
  • Energy and base metals lifted our broad commodity index to a strong return
  • Foreign currencies appreciated modestly against the U.S. dollar
  • Most of our short volatility and variance strategies earned positive returns
  • Medium-term momentum strategies performed very poorly in and across most asset classes

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News Worth Reading: April 22, 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

  • The number of billion dollar hedge funds dropped slightly in 2015 (reuters)
  • Hedge funds had their largest quarterly outflows since 2009 (finalternatives)
  • How NOT to approach allocators (cfainstitute)
  • Man AHL is fully embracing machine learning (ft)

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Hedge Funds Weekly: April 18, 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 0.65% last week as rising equities lifted returns
  • Hedge funds are now up 0.55% for the month and down 0.39% for the year
  • All but two of the 30 hedge fund strategies we track earned positive returns
  • We currently project that hedge funds returned 1.40% in March, 0.22% less than our initial estimate of 1.62%
  • Gains from equities and commodities helped balanced investors overcome bond losses
  • Nearly all of our equity benchmarks rose, with only our U.S. consumer staples index failing to post a gain
  • Developed market government bonds struggled worldwide
  • Commodity beta generated a positive return, but performance from other commodity factors was mixed
  • Developed market currencies depreciated against the dollar, but emerging market currencies appreciated
  • All of our short volatility and variance strategies earned positive returns
  • Medium-term momentum strategies declined in most asset classes

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News Worth Reading: April 15, 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

  • Most hedge funds fail to effectively manage both systematic risk and asset selection (cambridgenetwork)
  • Hedge funds are the new venture firms (nytimes)
  • NYCERS had trouble picking good hedge funds so they just gave up altogether (pionline)

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Hedge Funds Weekly: April 11, 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 0.01% last week as mixed factor performance muted returns
  • Hedge funds are now flat for the month and down 0.91% for the year
  • 15 of the 30 hedge fund strategies we track earned positive returns
  • We currently project that hedge funds returned 1.42% in March, 0.20% less than our initial estimate of 1.62%
  • Returns to diversified investors were modest as equities declined and bonds rose
  • Equities gained in developed foreign markets, but struggled elsewhere
  • All of our bond benchmarks rose, with developed market government bonds leading the way
  • Energy commodities had a very strong week, but base metals and agricultural commodities lagged
  • Developed market currencies appreciated against the dollar, but emerging market currencies depreciated
  • Short volatility strategies produced losses, but short variance strategies produced gains
  • Trend following and momentum were losing strategies in most asset classes besides equities

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News Worth Reading: April 8, 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

  • You don’t necessarily need hedge funds to get hedge fund-like exposures (wsj)
  • Citi reviews February hedge fund performance (dailyalts)
  • Sovereign wealth funds are pushing for higher hedge fund standards (ft)
  • Managed futures funds had a rough March (businessinsider)
  • Fund of Funds AUM has been increasing in the U.S. but declining globally (dailyalts)
  • Insurers are increasing their hedge fund allocations (efinancialnews)

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Hedge Funds Monthly: March 2016

The following is an excerpt from our Hedge Funds Monthly report, which is available in the clients section.

Highlights

  • Our factor-based estimates project that hedge funds added 1.62% in March as a strong month from equities fueled returns
  • Hedge funds are now down 0.71% for the year
  • All but four of the 30 hedge fund strategies we track earned positive returns
  • Hedge funds returned -0.26% in February, 0.16% less than our initial estimate of -0.10%
  • Of our entire global benchmark universe, only our 10-year U.S. Treasury index failed to produce gains
  • Equity beta, size and value factors rose, both in the U.S. and internationally
  • Foreign and corporate bonds produced very strong risk-adjusted returns
  • Commodities trailed other asset classes, but managed to rise nevertheless
  • Foreign currencies soared relative to the U.S. dollar
  • Option writing, short volatility and short variance strategies accumulated gains as equities rallied
  • Momentum and trend following strategies notched heavy losses in and across most asset classes

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Hedge Funds Weekly: April 04, 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 0.32% last week as equity and short volatility exposures lifted returns
  • Hedge funds are now down 0.18% for the month and down 0.69% for the year
  • All but four of the 30 hedge fund strategies we track earned positive returns
  • We currently project that hedge funds returned 1.82% in March, 0.20% more than our initial estimate of 1.62%
  • Oil extended its losses, but most risk assets worldwide posted gains
  • Equity beta and size factors rose, but value strategies lagged
  • All of our bond benchmarks rose, led by 5-year Treasuries and inflation-linked securities
  • Commodity betas fell, but momentum, trend following and term structure strategies rose
  • Foreign currencies rallied against the dollar
  • Option writing and short volatility strategies produced healthy gains
  • Trend following and momentum were losing strategies in most asset classes

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News Worth Reading: April 1, 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 make markets more efficient (etf)
  • Here are the strategies where fund of funds managers are looking to put money to work (preqin)

Factor Investing

  • There are many ways to define value and growth, and the differences matter (thinknewfound)
  • Smart beta strategy returns have been 30%-71% below expectations (dailyalts)

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