Strategy Spotlight: Fund of Funds

Please log in or request access.

 

Hedge Funds Weekly: May 29, 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 0.33% last week as rising equities fueled gains
  • Hedge funds are now up 0.51% for the month and 3.43% for the year
  • All but three of the 30 hedge fund strategies we track earned positive returns
  • Equity strength lifted balanced portfolios to gains, even amid fixed income and commodity weakness
  • Equities gained 1.08% globally, with the largest gains coming from the US and emerging markets
  • US Treasuries declined at most maturities, but corporate bonds rose slightly as markets rewarded credit risk
  • Most major commodity sectors declined as our broad index commodity fell 1.19%
  • Both developed and emerging market currencies appreciated against the dollar, but the gains were small
  • All of our short volatility and variance factors rose
  • Momentum and trend following factors tended to rise both within and across asset classes
  • We now estimate that hedge funds returned 0.56% in April, 0.10% less than our initial projection of 0.66%

Read more

Fund Spotlight: Brevan Howard Master Fund

Please log in or request access.

 

Hedge Funds Weekly: May 22, 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 0.15% last week as gains from European equities failed to offset widespread losses elsewhere
  • Hedge funds are now up 0.26% for the month and 3.18% for the year
  • 13 of the 30 hedge fund strategies we track earned positive returns
  • Equities underperformed, but fixed income, real estate, and commodity strength helped lift balanced portfolios to healthy returns
  • Equities struggled in many regions, but were up modestly globally, due primarily to a 1.59% gain in Europe
  • Fixed income indexes were among the week’s best performing benchmarks on a risk-adjusted basis
  • All major commodity sectors gained as our broad commodity index rose 2.25%
  • Developed market currencies appreciated significantly against the dollar
  • Most of our short volatility and variance factors fell
  • Momentum and trend following factors tended to struggle both within and across asset classes
  • We now estimate that hedge funds returned 0.58% in April, 0.08% less than our initial projection of 0.66%

Read more

Factor Spotlight: US Equity Put Writing

Please log in or request access.

 

Strategy Spotlight: Managed Futures

Please log in or request access.

 

Hedge Funds Weekly: May 15, 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 0.25% last week as foreign equity gains lifted returns
  • Hedge funds are now up 0.43% for the month and 3.41% for the year
  • All but one of the 30 hedge fund strategies we track earned positive returns
  • Energy commodities and emerging market equities surged, but most asset classes globally posted mixed results
  • Equities dropped 0.38% in the US but gained 2.18% in emerging markets
  • Foreign developed market government bonds struggled, but all of our other fixed income benchmarks rose
  • Our broad commodity index gained 1.40% as oil futures added 3.38%
  • Developed market currencies depreciated against the dollar while emerging market currencies appreciated
  • All of our short volatility and variance factors rose
  • Trend following and momentum factors posted inconsistent performance across asset classes
  • We now estimate that hedge funds returned 0.63% in April, 0.03% less than our initial projection of 0.66%

Read more

Fund Spotlight: Transtrend DTP Enhanced Risk

Please log in or request access.

 

Hedge Funds Weekly: May 8, 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 0.22% last week as rising US equities once again lifted returns
  • Hedge funds are now up 0.22% for the month and 3.20% for the year
  • All but six of the 30 hedge fund strategies we track earned positive returns
  • Developed market equity gains helped offset declines in fixed income and commodities
  • Equities added 0.55% in the US and 1.57% in developed foreign markets
  • Bonds struggled in the US as Treasuries finished down and inflation-linked securities dropped 1.01%
  • Our broad commodity index lost 2.36% as oil futures plummeted 6.29%
  • Both developed and emerging market currencies appreciated slightly against the dollar
  • Almost all of our short volatility and variance factors rose, but the gains were very modest
  • Trend following factors gained almost universally, but momentum factors varied
  • We now estimate that hedge funds returned 0.64% in April, 0.02% less than our initial projection of 0.66%

Read more

Factor Spotlight: US Equity 1-Year Momentum

Please log in or request access.