Hedge Funds Weekly: May 30, 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 0.67% last week as rising U.S. equities fueled returns
  • Hedge funds are now up 0.22% for the month and 0.12% for the year
  • All but two of the 30 hedge fund strategies we track earned positive returns
  • We currently project that hedge funds returned 0.72% in April, 0.01% less than our initial estimate of 0.73%
  • Global equity strength rewarded investors and helped trim month-to-date losses in well-diversified portfolios
  • Nearly every one of our equity style, sector and regional indexes gained
  • Government bond returns were muted, but corporate bonds profited from investor demand for credit risk
  • Gold and other precious metals fell, but all of the other major commodity sectors earned positive returns
  • Foreign currencies appreciated modestly against the U.S. dollar
  • Almost all of our short volatility and variance factors posted gains
  • Momentum strategies produced losses in most asset classes

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News Worth Reading: May 27, 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 may need to get back to their roots to regain their glory (ft)
  • Having the right call may not matter if your timing is wrong (bloomberg)
  • Liquid alts have underperformed hedge funds over the last 3 and 5 years (ft)
  • The number of listed UK hedge funds has dropped dramatically over the past few years (ft)

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Hedge Funds Weekly: May 23, 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 0.21% last week as rising U.S. equities produced profits
  • Hedge funds are now down 0.43% for the month and 0.57% for the year
  • All but six of the 30 hedge fund strategies we track earned positive returns
  • We currently project that hedge funds returned 0.68% in April, 0.05% less than our initial estimate of 0.73%
  • Modest equity gains were not enough to offset losses in other asset classes as balanced portfolios declined globally
  • Stocks tended to rise in developed economies and fall in emerging markets
  • Fixed income products performed poorly worldwide
  • Commodity beta rose, but most of our alternative factors fell
  • Both developed and emerging market currencies depreciated against the U.S. dollar
  • All of our short volatility and variance factors posted gains
  • Trend following and medium-term momentum strategies produced losses in most asset classes

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News Worth Reading: May 20, 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

  • Cliff Asness believes that hedge funds should hedge more and charge less (bloomberg)
  • Get ready for another round of anti-hedge fund sentiment (nytimes)

Investing

  • How portfolio construction affects value funds (alphaarchitect)
  • Low volatility investing may only be attractive when value stocks are cheap (alphaarchitect)
  • How economists turned economics into a highly lucrative pseudoscience (aeon)
  • Man AHL and Oxford are partnering on a center for machine learning and data analytics (hedgeweek)
  • CalSTRS is increasing the percentage of assets it manages internally (pionline)
  • Jack Treynor, a major contributor to the CAPM model, died last week (bloomberg)

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Hedge Funds Weekly: May 16, 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 0.07% last week as equity declines fueled losses
  • Hedge funds are now down 0.74% for the month and 0.83% for the year
  • 11 of the 30 hedge fund strategies we track earned positive returns
  • We currently project that hedge funds returned 0.73% in April, which is equal to our initial estimate
  • Commodities rose, but most other risky assets fell as investors favored fixed income securities
  • Most equity sectors, regions and styles fell as stocks declined globally
  • U.S. and emerging market bonds gained, but developed market bonds struggled
  • Commodity term structure was the week’s worst performing strategy
  • Both developed and emerging market currencies depreciated against the U.S. dollar
  • Most of our short volatility and variance factors posted modest gains
  • Trend following strategies produced weak returns in most asset classes, while momentum generated mixed results

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News Worth Reading: May 13, 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

  • Investor preference for brand name hedge funds is creating a herding effect (efinancialnews)
  • According to Citi, investors prefer hedge funds for risk-factor based investing (finalternatives)
  • Paradoxically, poor hedge fund performance may be a result of increased skill (etf)
  • A few big investors have abandoned hedge funds, but overall AUM is still expected to increase (hedgeweek)
  • Hedge funds almost doubled their algorithmic currency trading last year (bloomberg)
  • Quant funds are targeting Silicon Valley talent (institutionalinvestor)
  • Point72 has made its first #FinTech investment (reuters)

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Hedge Funds Weekly: May 9, 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 0.61% last week as losses from foreign equities dominated performance
  • Hedge funds are now down 0.61% for the month and 0.64% for the year
  • Only one of the 30 hedge fund strategies we track earned positive returns
  • We currently project that hedge funds returned 0.79% in April, 0.06% more than our initial estimate of 0.73%
  • Most global assets fell, with foreign securities typically underperforming U.S. securities due to currency losses
  • Most equity sectors, regions and styles fell
  • U.S. Treasuries gained, but inflation-linked securities and high yield bonds declined
  • Base metals and energy commodities gave back a large portion of last week’s rally
  • Foreign currencies depreciated against the U.S. dollar, declining materially on a risk-adjusted basis
  • All of our short volatility and variance factors gained
  • Medium-term momentum strategies continued to rebound from last month’s steep drawdowns

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News Worth Reading: May 6, 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

  • How the hedge fund industry might evolve over the next several years (awealthofcommonsense)
  • Secretive hedge funds outperform in good times, underperform in bad times (wsj)
  • Trading at a bank and trading at a hedge fund are two very different things (efinancialnews)
  • AIG is pulling $4.1 billion from hedge funds (yahoo)
  • MetLife is giving up on hedge funds too (wsj)

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Hedge Funds Monthly: April 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

  • Our factor-based estimates project that hedge funds added 0.73% in April as equity gains, particularly among foreign stocks, fueled returns
  • Hedge funds are now down 0.10% for the year
  • All but three of the 30 hedge fund strategies we track earned positive returns
  • Hedge funds returned 1.54% in March, 0.08% less than our initial estimate of 1.62%
  • Momentum strategies struggled as numerous assets reversed their medium-term trends
  • Every major commodity sector posted strong returns, led by a massive rebound in oil futures
  • Energy stocks and MLPs rallied in the U.S., but foreign equity outpaced domestic equity
  • Investment grade and high yield credit exposure earned very strong risk-adjusted returns
  • Foreign currencies, particularly those in developed markets, appreciated against the U.S. dollar
  • Real estate securities underperformed equities both domestically and internationally
  • All of our short volatility and variance factors rose

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Hedge Funds Weekly: May 2, 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 0.08% last week as domestic equity losses offset foreign equity gains
  • Hedge funds are now up 0.80% for the month and down 0.02% for the year
  • 15 of the 30 hedge fund strategies we track earned positive returns
  • We currently project that hedge funds returned 1.54% in March, 0.08% less than our initial estimate of 1.62%
  • Bond, foreign currency and commodity strength helped to stem global equity losses
  • Most equity sectors, regions and styles fell
  • Bonds, particularly those of foreign governments, gained worldwide
  • All major commodity sectors rallied, with oil and gold leading the way
  • Foreign currencies appreciated against the U.S. dollar, gaining materially on a risk-adjusted basis
  • Most of our short volatility and variance factors posted modest losses
  • Although momentum strategies tended to gain they are still down heavily for the month

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