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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%

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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%

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Hedge Funds Monthly: April 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 0.66% in April as long equity factors lifted returns
  • Hedge funds are now up 2.99% for the year
  • All but four of the 30 hedge fund strategies we track earned positive returns
  • Balanced portfolios fared well as both equities and bonds rallied worldwide, helping to overcome commodity losses
  • Equities gained 1.65% globally, with foreign stocks outperforming US equities
  • Every one of our bond benchmarks rose, with foreign bonds leading US bonds
  • Gold rose 1.43%, but this was not enough to keep our broad commodity index from finishing down 1.84%.
  • Developed currencies appreciated 0.49% against the dollar, while emerging currencies were essentially flat
  • Almost all of our short volatility and variance factors earned positive returns
  • Trend following strategies gained within and across most asset classes, but medium-term momentum strategies tended to struggle
  • Hedge funds returned 0.37% in March, 0.06% less than our initial projection of 0.43%

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Hedge Funds Monthly: March 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 0.43% in March as foreign equity gains lifted returns
  • Hedge funds are now up 2.40% for the year
  • All but five of the 30 hedge fund strategies we track earned positive returns
  • Although global asset returns were relatively modest, a depreciating dollar prompted healthy returns to foreign denominated assets for USD-based investors
  • Equities were nearly flat in the US, but fared much better overseas
  • Bonds were mostly down worldwide after adjusting for currency effects
  • Commodities struggled as oil futures plummeted 7.26%
  • Both developed and emerging market currencies appreciated against the dollar, helping to fuel foreign asset performance
  • Most of our short volatility and variance factors earned positive returns
  • Momentum and trend following strategies tended to struggle both within and across asset classes
  • Hedge funds returned 0.95% in February, 0.26% less than our initial projection of 1.21%

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Hedge Funds Monthly: February 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 1.21% in February as strong equity performance fueled returns
  • Hedge funds are now up 2.23% for the year
  • All but two of the 30 hedge fund strategies we track earned positive returns
  • February was a strong month for investors as most asset classes worldwide rose
  • Equities gained in most sectors and regions, but lagged in Europe
  • Bonds rose globally, but the largest risk-adjusted gains came in the US
  • Gold rallied, but broad commodities barely gained as energy and agricultural commodities underperformed
  • Emerging market currencies appreciated against the dollar while developed currencies depreciated
  • Most of our short volatility and variance factors rose
  • Trend following strategies mostly gained, but momentum factors underperformed among equities and commodities
  • Hedge funds returned 1.01% in January, 0.12% more than our initial projection of 0.89%

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Hedge Funds Monthly: January 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 0.89% in January as rising equities lifted returns
  • All but two of the 30 hedge fund strategies we track earned positive returns
  • Equities rose globally and foreign assets benefited from a depreciating dollar
  • Equities gained in all regions and styles and in most sectors
  • Bonds posted modest gains in the US, but rose materially overseas
  • Most commodity sectors notched healthy gains, but energy losses drove our broad index downward
  • Developed and emerging market currencies both appreciated significantly against the dollar
  • All of our short volatility and variance factors rose
  • Short-term momentum and trend following strategies struggled both within and across asset classes
  • Hedge funds returned 0.98% in December, 0.31% more than our initial projection of 0.67%

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Hedge Funds Monthly: December 2016

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 0.67% in December as global equity gains fueled performance
  • Hedge funds are now up 4.43% for the year
  • All but five of the 30 hedge fund strategies we track earned positive returns
  • Global risk assets finished 2016 with another positive month as equities, real estate, and commodities all rose
  • Equities gained in almost every region and sector
  • Corporate bonds rose even as developed market government bonds fell
  • Energy commodities soared, pushing our broad index upward despite losses in every other commodity sector
  • Both developed and emerging market currencies depreciated against the dollar
  • All of our short volatility and variance factors rose
  • Trend following and momentum strategies declined in and across most asset classes
  • Hedge funds returned 0.79% in November, 0.25% more than our initial projection of 0.54%

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Hedge Funds Monthly: November 2016

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 0.54% in November as domestic equity beta and manager alpha lifted returns
  • Hedge funds are now up 3.47% for the year
  • 21 of the 30 hedge fund strategies we track earned positive returns
  • US equities rallied, but losses in other regions and asset classes were material
  • All of our fixed income benchmarks fell, with the largest losses among foreign government bonds
  • Real estate securities substantially underperformed small cap equities in the US
  • Gold plummeted, but base metals and oil helped keep our broad commodity index in the black
  • Both developed and emerging market currencies depreciated significantly against the dollar
  • All of our short volatility and variance strategies produced gains
  • Medium-term momentum strategies struggled, even as trend following strategies gained
  • Hedge funds returned -0.28% in October, 0.32% less than our initial projection of 0.04%

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Hedge Funds Monthly: October 2016

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 0.04% in October as non-equity factor gains offset equity losses
  • Hedge funds are now up 3.19% for the year
  • 15 of the 30 hedge fund strategies we track earned positive returns
  • Diversification did little to prevent losses as most asset classes stumbled
  • Equities fell in most regions, but rose materially in Latin America
  • Developed market government bonds and investment grade bonds struggled, particularly on a risk-adjusted basis
  • Commodities fell, and so did commodity term structure, trend following and momentum factors
  • Developed market currencies depreciated materially against the dollar
  • Short variance factors tended to gain even as short volatility factors were relatively flat
  • Trend following and momentum strategies underperformed within and across most asset classes
  • Hedge funds returned 0.45% in September, 0.19% less than our initial projection of 0.64%

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Hedge Funds Monthly: September 2016

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 0.64% in September as foreign equity strength overcame negative alpha
  • Hedge funds are now up 3.35% for the year
  • All but four of the 30 hedge fund strategies we track earned positive returns
  • Most asset classes posted gains, but intra-asset class performance was mixed, particularly in fixed income and U.S. equities
  • Equities gained only modestly in the U.S., but performed well overseas
  • Foreign developed market government bonds and U.S. corporate bonds pushed global bond indexes upwards
  • Most alternative commodity factors gained, including term structure, trend following and medium-term momentum
  • Currency carry and momentum factors rose, but value underperformed
  • Our short volatility and variance factors generated mixed, but relatively muted results
  • Trend following and momentum performance varied by asset class, but was generally positive
  • Hedge funds returned 0.46% in August, 0.41% more than our initial projection of 0.05%

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