Hedge Funds Weekly: October 31, 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 projections estimate that hedge funds fell 0.26% last week as equity beta exposure fueled losses
  • Hedge funds are now down 0.21% for the month and up 2.93% for the year
  • Only three of the 30 hedge fund strategies we track earned positive returns
  • Most major markets declined, leaving investors with little room to avoid losses
  • Equities fell in most regions and sectors as only consumer staples and utilities eked out gains
  • Bonds declined globally, losing even more than equities on a risk-adjusted basis
  • Commodities fell, but term structure, trend following and medium-term momentum strategies all rose
  • Currency carry, momentum and value strategies all declined
  • All of our short volatility factors fell, but our short variance factors gained mildly
  • Trend following and momentum strategies tended to gain within commodities and decline elsewhere
  • We currently estimate that hedge funds returned 0.46% in September, 0.18% less than our initial projection of 0.64%

Read more

News Worth Reading: October 28, 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 hedge fund game is getting much harder, and managers are worried (bloomberg)
  • Hedge fund managers are seriously underestimating the potential of quant strategies (pionline)
  • The three most important differentiators between managed futures strategies (hedgeweek)

Read more

Hedge Funds Weekly: October 24, 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 projections estimate that hedge funds added 0.39% last week as equity factor gains overcame alpha losses
  • Hedge funds are now up 0.02% for the month and 3.22% for the year
  • All but one of the 30 hedge fund strategies we track earned positive returns
  • Most of our global benchmarks rose, trimming month-to-date losses in most asset classes
  • Equities gained in all major regions and across most sectors
  • Developed market government bonds posted losses, but most other fixed income benchmarks notched gains
  • Alternative commodity factors posted mixed, but mostly negative performance
  • Currency carry, momentum and value strategies all rose
  • All of our short volatility and variance factors rose, led by our short VIX futures strategy
  • Trend following and momentum strategies fell in commodities and developed market equities but rose elsewhere
  • We currently estimate that hedge funds returned 0.51% in September, 0.13% less than our initial projection of 0.64%

Read more

News Worth Reading: October 21, 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

Read more

Hedge Funds Weekly: October 17, 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 projections estimate that hedge funds fell 0.31% last week as global equity declines fueled losses
  • Hedge funds are now down 0.27% for the month and up 3.06% for the year
  • Only six of the 30 hedge fund strategies we track earned positive returns
  • Commodities eked out minor gains, but most asset classes declined amid global security weakness
  • Equities fell in all major regions and across most sectors
  • Bonds fell globally, but losses were most pronounced in developed foreign markets
  • Alternative commodity factors posted mixed, but mostly negative performance
  • Currency carry strategies rallied, while momentum and value factors earned modest profits
  • Most of our short volatility and variance factors fell, but performance was muted
  • Trend following and momentum strategies tended to decline both within and across asset classes
  • We currently estimate that hedge funds returned 0.65% in September, 0.01% more than our initial projection of 0.64%

Read more

News Worth Reading: October 14, 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

  • In praise of quantamental hedge fund managers (businessinsider)
  • Renaissance Technologies has brought in more than $7 billion in new money over the last year (wsj)

Read more

Hedge Funds Weekly: October 10, 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 projections estimate that hedge funds added 0.03% last week as gains from high yield offset equity losses
  • Hedge funds are now up 0.03% for the month and 3.35% for the year
  • 23 of the 30 hedge fund strategies we track earned positive returns
  • Most asset classes posted losses, as only emerging equities, US high yield and energy commodities managed to profit
  • Equities declined in developed markets, with defensive sectors taking the largest hits
  • Government bonds struggled both in the US and abroad
  • Most alternative commodity factors declined, including term structure, trend following and medium-term momentum
  • Currency carry strategies rose, but momentum and value factors declined
  • Most of our short volatility and variance factors rose, but performance was muted
  • Trend following and momentum strategies tended to gain among equities, but fall elsewhere
  • We currently estimate that hedge funds returned 0.64% in September, which is equal to our initial projection

Read more

News Worth Reading: October 7, 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

  • Preqin has released a special report on the US hedge fund industry (preqin)
  • An interview with Point72’s head of big data (businessinsider)

Read more

Hedge Funds Monthly: September 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 projections estimate that hedge funds added 0.64% in September as foreign equity strength overcame negative alpha
  • Hedge funds are now up 3.35% for the year
  • All but four of the 30 hedge fund strategies we track earned positive returns
  • Most asset classes posted gains, but intra-asset class performance was mixed, particularly in fixed income and U.S. equities
  • Equities gained only modestly in the U.S., but performed well overseas
  • Foreign developed market government bonds and U.S. corporate bonds pushed global bond indexes upwards
  • Most alternative commodity factors gained, including term structure, trend following and medium-term momentum
  • Currency carry and momentum factors rose, but value underperformed
  • Our short volatility and variance factors generated mixed, but relatively muted results
  • Trend following and momentum performance varied by asset class, but was generally positive
  • Hedge funds returned 0.46% in August, 0.41% more than our initial projection of 0.05%

Read more