Factor Spotlight: Global Equity 1-Year Momentum

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Strategy Spotlight: Equity Market Neutral

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Hedge Funds Weekly: June 26, 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 0.40% last week as healthcare and technology stocks fueled profits
  • Hedge funds are now up 0.63% for the month and 3.95% for the year
  • All but four of the 30 hedge fund strategies we track earned positive returns
  • Stocks and bonds posted modest gains, but commodities stumbled as an already bad month for oil worsened
  • Equities rose only 0.21% globally but exhibited significant dispersion at the sector level
  • Fixed income performance was relatively muted despite a rebound among inflation-linked securities
  • Commodities struggled, losing 2.38%, as energy commodities fell 3.82% and agricultural commodities gave back 4.03%
  • Developed and emerging market currencies both depreciated against the dollar
  • Most of our short volatility and variance factors gained, led by our short VIX futures strategy
  • Trend following and medium-term momentum strategies rose within and across most asset classes
  • We now estimate that hedge funds returned 0.39% in May, 0.18% less than our initial projection of 0.57%

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Fund Spotlight: Crosslink Emerging Growth Fund

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Hedge Funds Weekly: June 19, 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 0.22% last week as equity losses once again stifled performance
  • Hedge funds are now up 0.18% for the month and 3.59% for the year
  • Only seven of the 30 hedge fund strategies we track earned positive returns
  • Bonds and real estate rose, but equities and commodities declined as asset classes produced mixed, but muted returns
  • Equities fell 0.13% globally, but were close to flat in most regions
  • Aside from our US inflation-linked securities index, all of our fixed income benchmarks rose
  • Every major commodity sector stumbled as our broad commodity index lost 1.48%
  • Developed market currencies appreciated 0.40% against the dollar
  • Performance varied among our short volatility and variance factors, but both the gains and losses were small
  • Trend following and medium-term momentum strategies fell within and across most asset classes
  • We now estimate that hedge funds returned 0.50% in May, 0.07% less than our initial projection of 0.57%

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Factor Spotlight: US Term Structure

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Strategy Spotlight: Emerging Markets

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Hedge Funds Weekly: June 12, 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 equity losses and negative alpha stifled performance
  • Hedge funds are now up 0.42% for the month and 3.85% for the year
  • 14 of the 30 hedge fund strategies we track earned positive returns
  • Most major asset classes struggled, leading all of our long-only multi-asset class indexes downward
  • Equities fell 0.43% globally, with losses in most major regions, including the US, Europe, and Asia
  • Almost all of our global bond benchmarks fell, with only foreign high yield earning a positive return
  • Energy losses crippled commodity performance as our broad index fell 0.64%
  • Developed market currencies appreciated a modest 0.02% against the US dollar
  • Our short volatility and variance factors produced mixed, but muted performance
  • Most of our trend following strategies struggled; momentum factors fared better but still declined in several asset classes
  • We now estimate that hedge funds returned 0.51% in May, 0.06% less than our initial projection of 0.57%

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Fund Spotlight: Bay Resource Partners

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Hedge Funds Weekly: June 5, 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 0.47% last week as equity gains and positive alpha drove returns
  • Hedge funds are now up 0.45% for the month and 3.93% for the year
  • All but four of the 30 hedge fund strategies we track earned positive returns
  • Equity and fixed income strength led diversified portfolios to gains, even as commodities continued to decline
  • Equities gained in developed markets, rising 1.09% in the US and 1.58% overseas
  • All of our fixed income benchmark indexes notched gains, led by government and investment grade bonds
  • Most major commodity sectors declined as our broad index fell 2.41%
  • Both developed and emerging market currencies appreciated against the dollar
  • Most of our short volatility and variance factors rose
  • Trend following strategies tended to gain both within and across asset classes, but momentum factors produced mixed results

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