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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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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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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%

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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%

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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%

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Hedge Funds Weekly: July 10, 2017

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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%

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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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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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