Hedge Funds Weekly: December 26, 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 0.04% last week as emerging equity losses negated gains from other factors
  • Hedge funds are now up 0.62% for the month and 4.19% for the year
  • 12 of the 30 hedge fund strategies we track earned positive returns
  • Commodities fell, but most other global asset classes notched modest positive returns
  • Equities gained in developed markets but stumbled in emerging markets
  • Bonds gained globally and across the credit spectrum
  • Losses by agricultural commodities and base metals pushed our broad commodity index downward
  • Developed market currencies depreciated modestly while emerging market currencies held flat
  • All of our short volatility and variance factors rose
  • Trend following and momentum strategies declined in and across most asset classes
  • We currently estimate that hedge funds returned 0.61% in November, 0.07% more than our initial projection of 0.54%

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News Worth Reading: December 23, 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 state of the hedge fund industry as 2016 draws to a close (valuewalk)
  • Seven executives at Platinum Partners were charged over a $1 billion fraud (businessinsider)
  • Bridgewater wants to use algos to perform day-to-day management of its business (wsj)
  • An interview with the CEO of Quantopian (thefinancialrevolutionist)

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Hedge Funds Weekly: December 19, 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 0.11% last week as equity losses offset alpha gains
  • Hedge funds are now up 0.63% for the month and 4.21% for the year
  • Only nine of the 30 hedge fund strategies we track earned positive returns
  • All major asset classes declined amid global weakness
  • Equities fell in cyclical sectors and in most regions worldwide
  • Bonds stumbled globally, with only foreign high yield posting gains
  • Our broad commodity index declined even though oil rose modestly
  • Both developed and emerging market currencies depreciated against the dollar
  • Most of our short volatility and variance factors rose
  • Trend following and momentum strategies posted mixed performance
  • We currently estimate that hedge funds returned 0.63% in November, 0.09% more than our initial projection of 0.54%

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News Worth Reading: December 16, 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

  • Crowdsourced hedge funds have been attracting more capital (nytimes)
  • Public pension have been underperforming their hedge fund benchmarks (pionline)
  • How some of the bigger names in the hedge fund world have fared this year (efinancialnews)
  • A NYC pension fund just sold its hedge fund stakes… to another NYC pension (ft)
  • A profile of MANA Partners, which launches on Jan 3 with about $1 billion (businessinsider)
  • Inside Numerai, a hedge fund built on outsourced data science (wired)

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Hedge Funds Weekly: December 12, 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 0.87% last week as rising equities fueled gains
  • Hedge funds are now up 0.70% for the month and 4.35% for the year
  • All but one of the 30 hedge fund strategies we track earned positive returns
  • Global equity strength led risky assets upward while defensive assets stumbled
  • Equities gained in every major region and sector
  • Developed market government and investment grade bonds struggled, but high yield rose worldwide
  • Our broad commodity index notched gains despite modest declines in oil and gold
  • Developed market currencies depreciated against the dollar, but emerging market currencies appreciated
  • All of our short volatility and variance strategies rose
  • Trend following and momentum strategies struggled in most asset classes
  • We currently estimate that hedge funds returned 0.69% in November, 0.15% more than our initial projection of 0.54%

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News Worth Reading: December 9, 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

  • Systematic macro funds outperform discretionary macro funds both before and after risk adjusting (ssrn)
  • Almost all of the new money going to hedge funds is going to big funds (bloomberg)
  • Michigan State’s endowment is shifting $100 million to quant managers (finalternatives)
  • MassPRIM is looking to invest with smaller hedge fund managers (reuters)

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Hedge Funds Weekly: December 5, 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 0.14% last week as domestic equity losses stifled performance
  • Hedge funds are now down 0.10% for the month and up 3.51% for the year
  • 10 of the 30 hedge fund strategies we track earned positive returns
  • Aside from oil, which skyrocketed, most asset classes posted modest, mixed returns
  • Stocks were down worldwide, but losses were most pronounced in the US
  • Fixed income securities were mostly up, led by developed market government bonds and high yield
  • Oil soared to double digit gains, leading our broad commodity index upward
  • Both developed and emerging market currencies appreciated against the dollar
  • Most of our short volatility and variance strategies declined
  • Trend following strategies gained in most asset classes

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News Worth Reading: December 2, 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

  • Mediocre returns have yet to squash investor demand for hedge funds (reuters)
  • Hedge funds are skilled at identifying overvalued growth stocks (allaboutalpha)
  • Two Sigma is putting up a $100,000 prize for a Kaggle machine learning competition (bloomberg)
  • The co-CTO of AHL tells you what you need to do to become a hedge fund Python coder (efinancialcareers)

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Hedge Funds Monthly: November 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 0.54% in November as domestic equity beta and manager alpha lifted returns
  • Hedge funds are now up 3.47% for the year
  • 21 of the 30 hedge fund strategies we track earned positive returns
  • US equities rallied, but losses in other regions and asset classes were material
  • All of our fixed income benchmarks fell, with the largest losses among foreign government bonds
  • Real estate securities substantially underperformed small cap equities in the US
  • Gold plummeted, but base metals and oil helped keep our broad commodity index in the black
  • Both developed and emerging market currencies depreciated significantly against the dollar
  • All of our short volatility and variance strategies produced gains
  • Medium-term momentum strategies struggled, even as trend following strategies gained
  • Hedge funds returned -0.28% in October, 0.32% less than our initial projection of 0.04%

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