Hedge Funds Weekly: August 29, 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 0.06% last week as declining U.S. equities hampered returns
  • Hedge funds are now up 0.49% for the month and 2.71% for the year
  • 12 of the 30 hedge fund strategies we track earned positive returns
  • Most of our global benchmarks suffered modest declines as all major asset classes finished the week in the red
  • U.S. financial stocks eked out a slight gain, but all other sectors posted losses
  • Foreign corporate bonds showed a profit, but U.S. Treasuries struggled, particularly at shorter maturities
  • Commodity momentum, trend following and term structure strategies rebounded from multiple weeks of losses
  • Currency carry strategies generated healthy risk-adjusted returns
  • All of our short volatility factors fell, but our short variance strategies rose, led by our short global equity variance factor
  • Trend following and momentum strategies posted mixed, but relatively muted, performance
  • We currently estimate that hedge funds returned 1.59% in July, 0.02% more than our initial projection of 1.57%

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News Worth Reading: August 26, 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

  • Funds of funds are increasingly structuring portfolios based on factor exposures (pionline)
  • Investors pulled another $25 billion from hedge funds in July (finalternatives)
  • “Hedge” funds are no longer named appropriately (businessinsider)
  • The interests of hedge fund managers and investors are not aligned (reuters)
  • Merger arb assets have grown from $100 million in 1990 to $21 billion today (bloomberg)
  • Compensation at Asian hedge funds is likely to be way down this year (efinancialcareers)
  • Citigroup has lost its last prop trader (wsj)
  • A few interpretations of the recent shake-ups at Tudor Investment Corp. (awealthofcommonsense)

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Hedge Funds Weekly: August 22, 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 0.04% last week as muted factor performance limited returns
  • Hedge funds are now up 0.57% for the month and 2.80% for the year
  • All but five of the 30 hedge fund strategies we track earned positive returns
  • Modest returns in most major asset classes led to muted performance in each of our multi-asset class portfolio benchmarks
  • Telecom stocks underperformed in the U.S., but most other equity sectors, styles and regions produced unremarkable returns
  • Bonds dipped in the U.S., but rose globally due to stronger overseas performance
  • Commodities gained, but momentum, trend following and term structure strategies again notched heavy losses
  • Currency carry and momentum strategies fell as the dollar underperformed foreign currencies
  • Nearly all of our short volatility and variance strategies rose, led by our VIX term structure factor
  • Trend following and momentum strategies tended to underperform in and across most asset classes
  • We currently estimate that hedge funds returned 1.59% in July, 0.02% more than our initial projection of 1.57%

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News Worth Reading: August 19, 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

  • Why investors are, in theory, better off with smaller hedge funds (mrzepczynski)
  • There are at least 8 distinct strategies pursued by managed futures funds (mrzepczynski)
  • A NEPC survey shows pensions and endowments have been slashing their hedge fund exposure (yahoo)
  • Small hedge funds are outperforming large hedge funds year-to-date (preqin)
  • A profile of the whistle-blower that brought down Visium (bloomberg)
  • A look at the personality testing Bridgewater conducts on interviewees (businessinsider)

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Hedge Funds Weekly: August 15, 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 foreign equity strength fueled profits
  • Hedge funds are now up 0.53% for the month and 2.67% for the year
  • All but three of the 30 hedge fund strategies we track earned positive returns
  • Foreign equities and fixed income securities again led diversified portfolios to strong gains
  • U.S. equity returns were modest, but foreign equities generated healthy profits
  • Bonds extended their year-to-date rallies in most major markets
  • Commodities as a whole gained, but momentum, trend following and term structure strategies all notched heavy losses
  • Our currency value factor declined, but FX carry and momentum strategies were nearly flat
  • All of our short volatility and variance strategies rose, led by our global short equity variance factor
  • Trend following strategies tended to gain in most asset classes while medium-term momentum strategies tended to decline
  • We currently estimate that hedge funds returned 1.51% in July, 0.06% less than our initial projection of 1.57%

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News Worth Reading: August 12, 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

  • Barclays says supersized hedge funds are causing the industry as a whole to underperform (bloomberg)
  • Over the last several years growth in hedge fund assets has substantially outpaced returns (hedgeweek)
  • Reuters expects the number of active hedge funds to shrink for the first time since 2009 (reuters)

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Hedge Funds Weekly: August 8, 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. and emerging market equity gains offset developed market equity losses
  • Hedge funds are now up 0.15% for the month and 2.27% for the year
  • All but six of the 30 hedge fund strategies we track earned positive returns
  • Global equities and bonds both posted losses, leading balanced portfolios to declines
  • Equity losses were concentrated in foreign developed markets
  • U.S. bonds fell, with the largest losses coming from longer-dated Treasuries and inflation-linked securities
  • Our broad commodities index finished down modestly as energy gains helped to offset losses in base and precious metals
  • Currency carry and momentum factors each gained more than 1%, risk-adjusted
  • All of our short volatility and variance strategies rose, led by our VIX term structure factor
  • Trend following and momentum strategies tended to decline in most asset classes
  • We currently estimate that hedge funds returned 1.49% in July, 0.08% less than our initial projection of 1.57%

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News Worth Reading: August 5, 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 aren’t using hedge funds as effectively as they could be (econompicdata)
  • The Harvard Endowment intends to rely more heavily on external managers (bloomberg)
  • Jack Meyer’s Convexity, which spun out of the Harvard Endowment, is bleeding assets (bloomberg)

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Hedge Funds Monthly: July 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 1.57% in July as global equity gains fueled profits
  • Hedge funds are now up 2.22% for the year
  • All but two of the 30 hedge fund strategies we track earned positive returns
  • Although fixed income returns were modest, rising equities lifted diversified portfolios to healthy returns
  • Equities had a strong month worldwide, but international stocks outpaced U.S. stocks
  • Real estate securities trailed small caps, but gained in excess of 4% both domestically and abroad
  • Commodity betas declined, but momentum and term structure strategies enjoyed large profits
  • Currency factor returns were very modest in both developed and emerging markets
  • All of our short volatility and variance strategies rose, led by our VIX term structure factor
  • Trend following and momentum strategies underperformed among equities, but gained elsewhere
  • Hedge funds returned 0.33% in June, 0.32% more than our initial projection of 0.01%

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Hedge Funds Weekly: August 1, 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 foreign equity gains fueled profits
  • Hedge funds are now up 1.57% for the month and 2.22% for the year
  • All but two of the 30 hedge fund strategies we track earned positive returns
  • Strong government bond performance lifted balanced portfolios to healthy returns
  • U.S. equities were flat, but developed market stocks led global equities to gains
  • Real estate securities rose worldwide, but U.S. REITs underperformed foreign assets
  • Commodity betas declined, but alternative betas such as momentum and term structure profited
  • Developed market currencies appreciated against the dollar but emerging currencies depreciated
  • All of our short volatility and variance strategies rose
  • Trend following and momentum strategies tended to gain in non-equity asset classes
  • We currently estimate that hedge funds returned 0.33% in June, 0.32% more than our initial projection of 0.01%

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