News Worth Reading: July 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

  • Institutional investors with larger private investment allocations have outperformed (finalternatives)
  • If an investment seems too good to be true, it probably is (awealthofcommonsense)
  • Steve Cohen is betting on quants (efinancialnews)
  • With Brexit gains now long gone, Crispin Odey’s flagship is down 30% for the year (efinancialnews)

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Hedge Funds Weekly: July 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 0.15% last week as U.S. equity gains overcome foreign equity losses
  • Hedge funds are now up 1.05% for the month and 1.71% for the year
  • All but five of the 30 hedge fund strategies we track earned positive returns
  • Equities posted modest gains, but losses in commodities and foreign bonds limited diversified portfolio performance
  • Most equity sectors and regions worldwide earned positive returns
  • U.S. bonds rebounded from last week’s losses, and corporate credit modestly outperformed
  • Commodity betas declined, but alternative betas such as momentum and term structure profited
  • All of our major currency factors declined, with carry and momentum posting the largest losses
  • All of our short volatility and variance strategies rose
  • Trend following returns were mixed, but muted
  • We currently estimate that hedge funds returned 0.35% in June, 0.34% more than our initial projection of 0.01%

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News Worth Reading: July 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

  • Managed futures vs. multi-strategy funds for portfolio diversification (advisorperspectives)
  • Hedge funds are trying to become more transparent (ft)
  • Small, young hedge funds are better than large funds at timing factor exposures (ssrn)
  • Investors are abandoning funds of funds (bloomberg)
  • Citadel hired 17 portfolio managers from the now defunct Visium Asset Management (efinancialnews)

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Hedge Funds Weekly: July 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 0.39% last week as equity gains exceeded alpha losses
  • Hedge funds are now up 0.93% for the month and 1.44% for the year
  • All but four of the 30 hedge fund strategies we track earned positive returns
  • Equities gained, but losses in U.S. fixed income depressed returns to multi-asset class portfolios
  • Nearly every one of our equity benchmarks rose, but foreign stocks outperformed U.S. equities
  • U.S. government and investment grade bonds declined substantially on a risk-adjusted basis
  • Commodities gained modestly, led by base metals
  • Foreign currencies rose, but carry, momentum and value factors all declined
  • Our buy write factor declined, but short volatility and variance strategies earned profits
  • Trend following strategies tended to gain, but momentum strategies declined in most asset classes
  • We currently estimate that hedge funds returned 0.24% in June, 0.23% more than our initial projection of 0.01%

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News Worth Reading: July 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

  • Hedge fund managers think that crowding is the primary reason for poor performance (bloomberg)
  • 84% of surveyed allocators have redeemed a hedge fund investment this year (bloomberg)
  • Renaissance wants to use atomic clocks to beat high frequency traders (bloomberg)

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Hedge Funds Weekly: July 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 0.27% last week as widespread factor gains overcame foreign equity losses
  • Hedge funds are now up 0.56% for the month and 1.17% for the year
  • All but six of the 30 hedge fund strategies we track earned positive returns
  • We currently estimate that hedge funds returned 0.33% in June, 0.32% more than our initial projection of 0.01%
  • Commodities and foreign stocks struggled last week, but U.S. equities and bonds displayed continued strength
  • Most U.S. equity indexes rose, while most foreign equity indexes fell
  • Nearly all of our major bond indexes increased, with only short-term U.S. Treasuries losing value
  • Aside from precious metals, most major commodity sectors fell as oil plummeted 7.3%
  • Foreign currencies fell, but currency carry, momentum and value factors all recorded strong risk-adjusted returns
  • All of our U.S. short volatility and variance strategies rose for the second straight week
  • Trend following strategies produced mediocre results, but momentum strategies tended to fare well

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News Worth Reading: July 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

  • We’re probably not going to witness a post-Brexit mass exodus of hedge funds from the UK (reuters)
  • More hedge funds expect Brexit to benefit their portfolios than hurt (finalternatives)
  • The Osaka Exchange’s CEO calls for increased transparency around high frequency trading (bloomberg)
  • Bridgewater’s Pure Alpha is taking it on the chin (efinancialnews)

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Hedge Funds Weekly: July 4, 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 0.97% last week as rising equities fueled performance
  • Hedge funds are now up 0.19% for the month and 0.55% for the year
  • All but two of the 30 hedge fund strategies we track earned positive returns
  • We currently estimate that hedge funds returned 0.07% in June, 0.06% more than our initial projection of 0.01%
  • Almost all of our global benchmarks gained as markets rebounded from last week’s Brexit-related losses
  • Equity indexes of every major region, sector and style rose
  • All of our major bond indexes increased
  • Commodity beta, term structure, momentum and trend following factors all gained
  • Emerging currencies joined carry and momentum strategies in earning strong risk-adjusted returns
  • All of our U.S. short volatility and variance strategies rose
  • Trend following strategies gained in most asset classes, but momentum strategies were inconsistent

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Hedge Funds Monthly: June 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 0.01% in June as alpha gains offset equity losses
  • Hedge funds are now up 0.29% for the year
  • 16 of the 30 hedge fund strategies we track earned positive returns
  • Hedge funds returned 0.41% in May, 0.10% more than our initial projection of 0.31%
  • Brexit initially roiled markets, but wound up being a small blip in an otherwise good month for balanced portfolios
  • Developed market losses drove down global equity indexes, but emerging market equities fared well
  • Government bond performance was very strong worldwide, particularly on a risk-adjusted basis
  • Gold and other precious metals were among the week’s best performing assets
  • Currency carry, value and momentum strategies all notched strong risk-adjusted returns as foreign currencies appreciated against the dollar
  • Most of our short volatility and variance strategies declined, but U.S. option writing strategies rose
  • Trend following and medium-term momentum strategies gained in most asset classes

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News Worth Reading: July 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

  • Selecting funds by filtering and screening is hurting your portfolio’s performance (thinknewfound)
  • Three questions to ask before investing in a hedge fund (charlessizemore)
  • Investors are pulling assets AND talent from funds of funds (ai-cio)

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