Hedge Funds Monthly: May 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 0.57% in May as global equity gains fueled profits
  • Hedge funds are now up 3.48% for the year
  • All but five of the 30 hedge fund strategies we track earned positive returns
  • Balanced portfolios once again fared well amid global equity and fixed income strength
  • Foreign equities produced strong gains, aided by US dollar depreciation
  • Every one of our nominal bond indexes rose, but gains were largest overseas
  • Commodities fell for the third straight month, losing 1.65% as most sectors declined
  • Developed and emerging market currencies both surged against the dollar
  • All of our short volatility and variance factors earned positive returns
  • Trend following strategies rose within and across most asset classes
  • Hedge funds returned 0.56% in April, 0.10% less than our initial projection of 0.66%

Read more

Factor Spotlight: Commodity Trend Following

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