Hedge Funds Weekly: February 27, 2017

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 losses in foreign stocks and energy-related equities stifled returns
  • Hedge funds are now up 1.00% for the month and 2.03% for the year
  • 11 of the 30 hedge fund strategies we track earned positive returns
  • Aside from European equities, most asset classes worldwide posted modest gains
  • Equities gained in most sectors and non-European regions
  • Bonds rose globally, but the largest risk-adjusted gains came in the US
  • Gold gained, but agricultural sector underperformance caused commodities as a whole to lag
  • Both developed and emerging market currencies appreciated against the dollar
  • Most of our short volatility and variance factors rose
  • Outside of commodities, momentum and trend following strategies tended to decline
  • We currently estimate that hedge funds returned 1.02% in January, 0.13% more than our initial projection of 0.89%

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Hedge Funds Weekly: February 20, 2017

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 0.30% last week as rising equities once again lifted returns
  • Hedge funds are now up 1.09% for the month and 2.02% for the year
  • All but four of the 30 hedge fund strategies we track earned positive returns
  • Equity strength overcame tepid performance in other asset classes, leading to healthy returns for diversified investors
  • Equities gained in every major region and in most sectors
  • Government bonds declined modestly in the US, but corporate bonds and foreign assets rose
  • Commodities stumbled as every sector except precious metals fell
  • Emerging market currencies appreciated against the dollar while developed currencies depreciated slightly
  • Most of our short volatility and variance factors rose
  • Momentum and trend following strategies tended to decline within asset classes but rise across asset classes
  • We currently estimate that hedge funds returned 0.92% in January, 0.03% more than our initial projection of 0.89%

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Hedge Funds Weekly: February 13, 2017

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 0.29% last week as rising equities lifted returns
  • Hedge funds are now up 0.72% for the month and 1.66% for the year
  • All but two of the 30 hedge fund strategies we track earned positive returns
  • Domestic securities outperformed their foreign equivalents in most asset classes
  • Equities lagged in Europe, but gained in most other regions and sectors
  • Fixed income securities were up broadly in the US
  • Most commodity sectors gained, led by base metals
  • Developed market currencies depreciated against the dollar while emerging currencies held even
  • All of our short volatility and variance factors rose
  • Momentum and trend following strategies tended to gain both within and across asset classes
  • We currently estimate that hedge funds returned 0.93% in January, 0.04% more than our initial projection of 0.89%

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Hedge Funds Weekly: February 6, 2017

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 0.09% last week as equity size and beta exposures lifted returns
  • Hedge funds are now up 0.43% for the month and 1.45% for the year
  • 23 of the 30 hedge fund strategies we track earned positive returns
  • Gains were modest but widespread as most asset classes rose globally
  • Equities gained worldwide, but sector performance was mixed in the US
  • Fixed income securities were mostly flat in the US
  • Precious metals led the way as all commodity sectors notched gains
  • Developed and emerging market currencies both appreciated significantly against the dollar
  • Almost all of our short volatility and variance factors rose, but the gains were small
  • Short-term momentum and trend following strategies tended to decline both within and across asset classes

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Hedge Funds Monthly: January 2017

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 0.89% in January as rising equities lifted returns
  • All but two of the 30 hedge fund strategies we track earned positive returns
  • Equities rose globally and foreign assets benefited from a depreciating dollar
  • Equities gained in all regions and styles and in most sectors
  • Bonds posted modest gains in the US, but rose materially overseas
  • Most commodity sectors notched healthy gains, but energy losses drove our broad index downward
  • Developed and emerging market currencies both appreciated significantly against the dollar
  • All of our short volatility and variance factors rose
  • Short-term momentum and trend following strategies struggled both within and across asset classes
  • Hedge funds returned 0.98% in December, 0.31% more than our initial projection of 0.67%

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