Hedge Funds Weekly: July 31, 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 0.05% last week as mixed factor performance led to modest returns
  • Hedge funds are now up 1.03% for the month and 4.42% for the year
  • All but six of the 30 hedge fund strategies we track earned positive returns
  • Large commodity gains overshadowed modest stock and bond returns
  • Equities gained 0.10% globally, losing 0.04% in the US but gaining 0.18% in foreign developed markets and 0.52% in emerging markets
  • Bonds rose 0.11% worldwide, but most of our US indexes finished the week down
  • Commodities rose 3.26% as oil futures soared 8.63%
  • Both developed and emerging market currencies appreciated against the dollar
  • Most of our short volatility and variance factors remained close to unchanged
  • Trend following and momentum factors tended to fall both within and across asset classes
  • We now estimate that hedge funds returned 0.10% in June, 0.23% less than our initial projection of 0.33%

Read more

Hedge Funds Weekly: July 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 0.16% last week as as most major asset classes rose once again
  • Hedge funds are now up 0.95% for the month and 4.49% for the year
  • All but two of the 30 hedge fund strategies we track earned positive returns
  • Stocks and bonds rose globally, but dollar depreciation led foreign assets to stronger gains
  • Equities gained 0.69% worldwide, rising in every major region
  • All of our fixed income benchmarks rose as bonds added 1.24% globally
  • Most commodity sectors gained, but energy commodities stumbled, leading our broad commodity index to a 0.10% loss
  • Developed market currencies once again rallied against the dollar, gaining 1.16%
  • Most of our short volatility and variance factors rose, led by our VIX term structure strategy’s 1.64% gain
  • Trend following and momentum factor performance varied by asset classes but was generally weak
  • We now estimate that hedge funds returned 0.23% in June, 0.10% less than our initial projection of 0.33%

Read more

Hedge Funds Weekly: July 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 added 0.80% last week as equities rallied globally
  • Hedge funds are now up 0.83% for the month and 4.34% for the year
  • All but one of the 30 hedge fund strategies we track earned positive returns
  • Every one of our major asset class indexes rose as markets rebounded strongly from last week’s losses
  • Equities rose 2.09% globally, climbing in every major region and surging in emerging markets
  • All of our fixed income benchmarks gained as foreign government bonds added 1.14%
  • Oil and other energy commodities soared, leading our broad commodity index to a 1.90% gain
  • Both developed and emerging market currencies surged by more than 1% against the dollar
  • Most of our short volatility and variance factors rose, led by our short VIX futures strategy’s 1.64% gain
  • Intra-asset class momentum factors tended to underperform, but inter-asset class strategies and trend following factors mostly rose
  • We now estimate that hedge funds returned 0.22% in June, 0.11% less than our initial projection of 0.33%

Read more

Strategy Spotlight: Fixed Income Arbitrage

Please log in or request access.

 

Hedge Funds Weekly: July 10, 2017

Please log in or request access.

 

Hedge Funds Monthly: June 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 0.33% in June as global equity gains fueled profits
  • Hedge funds are now up 3.61% for the year
  • All but six of the 30 hedge fund strategies we track earned positive returns
  • Domestic equity strength helped propel diversified portfolios to modest gains even as fixed income securities and commodities stumbled
  • Equities rose 0.65% globally, but performed weakly in Europe and in several US sectors
  • Most US government bond indexes finished down, with inflation-linked securities suffering the largest losses
  • Despite a late rally, commodities fell for the fourth straight month, declining 0.88% as oil futures dropped 5.14%
  • Developed and emerging market currencies both appreciated against the dollar
  • Most of our short volatility and variance factors earned positive returns
  • Trend following strategies fell in and across most asset classes, while momentum strategies produced mixed results
  • Hedge funds returned 0.37% in May, 0.20% less than our initial projection of 0.57%

Read more

Fund Spotlight: Symphony Arpeggio Fund

Please log in or request access.

 

Hedge Funds Weekly: July 3, 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 0.20% last week as global equity losses hampered returns
  • Hedge funds are now up 0.38% for the month and 3.66% for the year
  • 18 of the 30 hedge fund strategies we track earned positive returns
  • Commodities soared, but most asset classes fell globally as diversified portfolios struggled to remain in the black
  • Equities dipped 0.28% globally, falling in most regions and sectors
  • US fixed income securities struggled and were among our worst performing global benchmarks on a risk-adjusted basis
  • Commodities surged, gaining 4.50% as oil futures added more than 7%
  • Developed market currencies rallied, gaining 1.32% against the dollar
  • All of our short volatility and variance factors declined
  • Trend following and medium-term momentum strategies stumbled within and across most asset classes
  • We now estimate that hedge funds returned 0.38% in May, 0.19% less than our initial projection of 0.57%

Read more