Hedge Funds Weekly: August 14, 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 0.65% last week as equity losses stifled returns
  • Hedge funds are now down 0.53% for the month and up 3.89% for the year
  • Only one of the 30 hedge fund strategies we track earned positive returns
  • Equities stumbled worldwide, driving most risky assets and their accompanying portfolios into the red
  • Equities lost 1.58% globally, declining in every major region
  • Government bonds benefited from equity woes, gaining 0.44% in the US and 0.88% in developed foreign markets
  • Despite meaningful gains from precious and base metals, commodities suffered minor losses due largely to a 1.54% decline in oil futures
  • Developed market currencies appreciated 0.40% against the dollar while emerging currencies were nearly flat
  • Almost all of our short volatility and variance factors fell, paced by our short VIX futures strategy’s 3.60% loss
  • Most trend following and momentum factors declined, both within and across asset classes
  • We now estimate that hedge funds returned 1.05% in July, 0.11% less than our initial projection of 1.16%

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Factor Spotlight: Currency Value

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Strategy Spotlight: Merger Arbitrage

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Hedge Funds Weekly: August 7, 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 foreign equity gains pushed year-to-date returns higher
  • Hedge funds are now up 0.09% for the month and 4.61% for the year
  • 21 of the 30 hedge fund strategies we track earned positive returns
  • Global portfolios inched higher last week amid modest gains in equities and fixed income securities
  • Equities gained just 0.36% globally, but rose in nearly all major regions
  • Although bonds added only 0.18% worldwide, all of our major fixed income benchmarks rose
  • Commodities dropped by 0.95% as agricultural futures slipped 2.96%
  • Both developed and emerging market currencies depreciated modestly against the dollar
  • Most of our short volatility and variance factors appreciated
  • Trend following strategies produced mixed results, but medium-term momentum strategies profited almost unanimously

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Hedge Funds Monthly: July 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 1.16% in July as global equity gains once again fueled profits
  • Hedge funds are now up 4.55% for the year
  • All but one of the 30 hedge fund strategies we track earned positive returns
  • Every major asset class rose as widespread strength propelled diversified portfolios to healthy gains
  • Equities rose 2.76% globally, gaining in every major region
  • Bonds performed even more strongly than equities on a risk-adjusted basis, but most of these gains came from currency moves
  • Commodities rebounded with a 3.99% gain, ending four consecutive months of drawdowns
  • Developed and emerging market currencies both appreciated materially against the dollar
  • Most of our short volatility and variance factors earned positive returns, led by our short VIX futures strategy
  • Trend following and momentum strategies tended to gain both within and across asset classes
  • Hedge funds returned 0.10% in June, 0.23% less than our initial projection of 0.33%

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