Hedge Funds Weekly: April 24, 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 0.15% last week as rising US equities lifted returns
  • Hedge funds are now down 0.09% for the month and up 2.25% for the year
  • All but five of the 30 hedge fund strategies we track earned positive returns
  • Commodities stumbled as oil futures dropped more than 7%, but US equity gains helped balanced portfolios sidestep losses
  • Most US equity sectors performed well, with industrials and consumer discretionary each earning more than 2%
  • Most of our fixed income benchmarks notched small profits, but our aggregate US bond index was flat
  • Every major commodity sector declined as commodities, as a whole, lost 3.70%
  • Both developed and emerging market currencies appreciated slightly against the dollar
  • Most of our short volatility and variance factors rose, led by our short global equity variance factor
  • Trend following and momentum strategy performance varied significantly by asset class
  • We now estimate that hedge funds returned 0.38% in March, 0.05% less than our initial projection of 0.43%

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Factor Spotlight: US Investment Grade Credit Spread

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Strategy Spotlight: Global Macro

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Hedge Funds Weekly: April 17, 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 0.24% last week as declining US equities stifled returns
  • Hedge funds are now down 0.23% for the month and up 2.04% for the year
  • Only five of the 30 hedge fund strategies we track earned positive returns
  • Equities struggled, while bonds, real estate, and commodities all rose
  • Equities fell globally, but the largest losses came in the US where they gave back 1.12%
  • All of our global bond benchmarks rose, led by a 1.42% gain by US 10-year Treasuries
  • Oil prices rose for the third straight week as our broad commodity index added 0.73%
  • Both developed and emerging market currencies appreciated against the dollar, reversing recent losses
  • Most of our short volatility and variance factors fell, with our VIX-based strategies suffering the largest declines
  • Trend following and momentum strategies stumbled both within and across asset classes
  • We now estimate that hedge funds returned 0.32% in March, 0.11% less than our initial projection of 0.43%

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Fund Spotlight: Wolverine Convertible Arb Trading

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Hedge Funds Weekly: April 10, 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 0.04% last week as mixed, but muted factor performance led to modest returns
  • Hedge funds are now up 2.17% for the year
  • 14 of the 30 hedge fund strategies we track earned positive returns
  • Oil, real estate, and fixed income securities rose while developed market equities slipped
  • Equities fell globally despite small gains in defensive sectors and emerging markets
  • Aside from our short-term US Treasury index, all of our bond benchmarks posted positive returns
  • Oil prices rallied once again, gaining 3.26% and leading our broad commodity index to a 1.09% profit
  • Both developed and emerging market currencies depreciated against the dollar for the second straight week
  • Most of our short volatility and variance factors fell, but the losses were small
  • Performance among momentum and trend following strategies varied by asset class, but was generally modest
  • We now estimate that hedge funds returned 0.25% in March, 0.18% less than our initial projection of 0.43%

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Factor Spotlight: Currency Carry

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Strategy Spotlight: Event Driven

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Hedge Funds Monthly: March 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 0.43% in March as foreign equity gains lifted returns
  • Hedge funds are now up 2.40% for the year
  • All but five of the 30 hedge fund strategies we track earned positive returns
  • Although global asset returns were relatively modest, a depreciating dollar prompted healthy returns to foreign denominated assets for USD-based investors
  • Equities were nearly flat in the US, but fared much better overseas
  • Bonds were mostly down worldwide after adjusting for currency effects
  • Commodities struggled as oil futures plummeted 7.26%
  • Both developed and emerging market currencies appreciated against the dollar, helping to fuel foreign asset performance
  • Most of our short volatility and variance factors earned positive returns
  • Momentum and trend following strategies tended to struggle both within and across asset classes
  • Hedge funds returned 0.95% in February, 0.26% less than our initial projection of 1.21%

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