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Hedge Funds Weekly: September 7, 2015

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.

Hedge Fund Performance

Eqira’s factor-based estimates project that hedge funds lost 0.72% last week as equity declines globally again drove down returns. Our factor-attribution analysis indicates that despite producing 23 basis points of positive alpha, hedge funds were unable to overcome losses from equity beta (-0.82%), short volatility strategies (-0.17%), and foreign equities (-0.15%). Their collective performance currently stands as -0.58% month-to-date and +0.24% year-to-date.

eqira_hf_retatt_1w_20150904

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Hedge Funds Weekly: August 31, 2015

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.

Hedge Fund Performance

Eqira’s factor-based estimates project that hedge funds gained 0.24% last week as equities rallied late to erase sizable losses from earlier in the week. Our factor-attribution analysis indicates that despite losing five basis points of alpha, hedge funds managed to eke out profits behind gains from equity beta and growth stocks. We estimate month-to-date and year-to-date total performance of -1.78% and 0.93%, respectively.

eqira_hf_retatt_20150831

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Hedge Funds Weekly: August 24, 2015

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.

Hedge Fund Performance

Eqira’s factor-based estimates project that hedge funds fell 1.68% last week as equities globally suffered their worst declines in years. Our factor-attribution analysis indicates that an alpha gain of 19 basis points and a 0.16% profit from the spread between foreign stocks and US equities were not sufficient to overcome losses from nearly every other factor of significance, including a 1.46% plunge from equity beta exposure. We estimate month-to-date and year-to-date total performance of -2.17% and 0.56%, respectively.

hedge_fund_attribution_20150821

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Hedge Funds Weekly: August 17, 2015

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.

Hedge Fund Performance

Eqira’s factor-based estimates project that hedge funds collectively dropped 0.15% last week as losses in equity markets dragged down returns. Their month-to-date and year-to-date total returns now stand at -0.53% and 2.26%, respectively. Our factor-attribution analysis indicates that gains from US equity beta and small cap equities were not sufficient to overcome losses from developed and emerging market equities. We forecast that hedge funds globally lost 9 basis points of alpha.

Asset Class1WMTDYTD
Alpha-0.09-0.180.16
Commodity-0.040.00-0.31
Credit-0.03-0.030.27
Equity-0.06-0.431.18
Fixed Income0.00-0.01-0.02
Foreign Exchange0.000.010.16
Multi-Asset Class0.020.05-0.03
Liquidity0.00-0.010.15
Real Estate0.000.000.17
Volatility0.060.070.54
Risk-Free0.000.000.01
Total-0.15-0.532.26
Factor Group1WMTDYTD
EQ: Developed Spread-0.28-0.180.29
EQ: Beta0.19-0.140.85
EQ: Size0.120.130.34
A: Alpha-0.09-0.180.16
EQ: Emerging Spread-0.08-0.15-0.83
VOL: Developed Spread0.040.050.22
CM: Momentum-0.040.03-0.07
EQ: Value-0.04-0.090.64
EQ: MLP Spread0.04-0.05-0.19
EQ: Sector Momentum-0.04-0.030.18
CR: High Yield Spread-0.02-0.020.34
Total-0.20-0.631.92


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Hedge Funds Weekly: August 10, 2015

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.


Eqira’s factor-based projections estimate that hedge funds collectively dropped 0.38% last week as losses in equity markets dragged down returns. Their year-to-date total return now stands at 2.46%.

Global Benchmarks

Risk assets performed poorly as oil-related securities continued to plummet. September WTI crude oil futures fell 6.9%, prolonging their recent slide. They are down 27.6% since June 24, forcing the entire energy complex into a tailspin. Energy equities dropped 3.3% and now find themselves down 15.2% for the year. MLPs, typically less volatile than equities because of their steadier cash flows, bucked their normal behavior and declined a sizeable 8.9%, quickly approaching a 20% decline for the year.

Our US Utilities index was our only equity benchmark to finish the week in positive territory. While foreign developed equities managed to eke out smaller losses than their American cousins, emerging market equities were not so fortunate, losing 1.36% in aggregate. Latin American equities fared particularly poorly, giving up 3.95%.

Longer dated US Treasuries and investment grade bonds served as safe havens, gaining modestly. They were two of a very limited number of places to hide from market declines.

Our US 60/40 and risk parity indexes lost 0.73% and 0.78% for the week, respectively. The global versions fared even worse with the 60/40 index sagging 0.78% and the risk parity index slumping 1.29%.

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