Hedge Funds Weekly: June 27, 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 0.94% last week as global equity losses crippled returns
  • Hedge funds are now down 1.20% for the month and 0.91% for the year
  • Only one of the 30 hedge fund strategies we track earned positive returns
  • We currently estimate that hedge funds returned 0.42% in May, 0.11% more than our initial projection of 0.31%
  • Investors worldwide fled risky assets after the UK voted to leave the European Union
  • After surging earlier in the week, equities plummeted on Friday after the vote
  • U.S. fixed income securities rose, but foreign corporates fell along with stocks
  • Energy and agriculture losses led our broad commodity index downward
  • Developed market currencies depreciated substantially against the dollar
  • All of our short volatility and variance strategies declined
  • Trend following strategies struggled, but medium-term momentum strategies rose in most asset classes

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News Worth Reading: June 24, 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

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Hedge Funds Weekly: June 20, 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 0.42% last week as declining equities precipitated losses
  • Hedge funds are now down 0.12% for the month and up 0.24% for the year
  • Only two of the 30 hedge fund strategies we track earned positive returns
  • We currently estimate that hedge funds returned 0.46% in May, 0.15% more than our initial projection of 0.31%
  • Risky assets declined worldwide as investors gravitated towards the safety of U.S. Treasuries
  • Equities fell globally, but were hit hardest in developed foreign markets
  • U.S. Treasuries rose, but corporate securities and foreign bonds declined
  • Most commodity sectors gained, but declining oil prices drove our broad market index down
  • Currency value produced a strong profit, but returns to other currency factors were modest
  • Most of our short volatility and variance strategies declined
  • Equity momentum and trend following strategies struggled

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Hedge Funds Weekly: June 13, 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 0.14% last week as foreign equity and short volatility losses stifled returns
  • Hedge funds are now up 0.18% for the month and 0.51% for the year
  • Only six of the 30 hedge fund strategies we track earned positive returns
  • We currently estimate that hedge funds returned 0.43% in May, 0.12% more than our initial projection of 0.31%
  • Commodities and bonds led the way, as equities lagged globally
  • Developed market equities fell worldwide, but emerging equities notched gains
  • Fixed income securities posted healthy risk-adjusted returns globally
  • Strong performance by precious metals and agricultural commodities pushed our broad commodity index higher
  • FX carry, momentum and value strategies all produced gains as emerging currencies surged against the dollar
  • Most of our short volatility and variance strategies declined
  • Momentum and trend following strategies tended to struggle both within and across asset classes

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News Worth Reading: June 10, 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

  • Institutional investors have unrealistic expectations for hedge fund returns (mebfaber)
  • Investors have been flocking to CTAs, even as hedge funds experience outflows (preqin)
  • Macro returns had varied widely by asset class and style (hvst)
  • Inside an options-based scheme to artificially inflate performance fees (macro-ops)
  • Mutual funds run by hedge fund managers underperform their peers (stltoday)
  • Citi reviews hedge fund performance in April (dailyalts)
  • Activist investors are targeting REITs (nytimes)
  • AMG is on a hedge fund buying spree (bloomberg)
  • Quantopian’s crowdsourced hedge fund is ramping up (ft)
  • An update on the shipping cargo quant fund, CargoMetrics (ft)

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Hedge Funds Weekly: June 6, 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 0.46% last week as as several equity factors contributed small gains
  • Hedge funds are now up 0.42% for the month and 0.70% for the year
  • All but one of the 30 hedge fund strategies we track earned positive returns
  • We currently estimate that hedge funds returned 0.37% in May, 0.06% more than our initial projection of 0.31%
  • Equities rose globally, but were outgained by government and investment grade bonds
  • Most equity sectors, styles and regions posted profits
  • Credit factors were among our worst performing strategies as corporate bonds materially underperformed government bonds
  • Oil fell, but gains in metals and agricultural commodities lifted our broad commodity index
  • FX carry, momentum and value strategies produced modest gains
  • All of our short volatility and variance strategies earned mild profits
  • Momentum and trend following strategy performance varied by asset class and region

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News Worth Reading: June 3, 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 668 hedge funds with $1bn under management control 88% of all hedge fund investments (preqin)
  • For hedge funds, human capital is still as important as new machine learning technologies (institutionalinvestor)
  • Big data is changing the way that quant funds find trading opportunities (pionline)
  • UBS argues that investors should be increasing, not decreasing, hedge fund allocations (bloomberg)

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Hedge Funds Monthly: May 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 0.31% in May as as modest, but broadly diversified factor gains fueled returns
  • Hedge funds are now up 0.21% for the year
  • 22 of the 30 hedge fund strategies we track earned positive returns
  • Hedge funds returned 0.73% in April, which is equal to our initial projection
  • Equities gained in the U.S., but foreign currency losses stifled the U.S. dollar returns of foreign assets
  • Most equity sectors and styles rose in the U.S., but declined internationally after adjusting for currency losses
  • Fixed income performance was tepid worldwide
  • Gains in the energy complex lifted our broad commodity index despite above average losses in base and precious metals
  • Foreign currencies depreciated substantially against the U.S. dollar
  • All of our short volatility and variance strategies earned profits
  • Momentum and trend following strategies displayed extreme weakness in and across most asset classes

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