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Hedge Funds Weekly: June 12, 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 0.04% last week as equity losses and negative alpha stifled performance
  • Hedge funds are now up 0.42% for the month and 3.85% for the year
  • 14 of the 30 hedge fund strategies we track earned positive returns
  • Most major asset classes struggled, leading all of our long-only multi-asset class indexes downward
  • Equities fell 0.43% globally, with losses in most major regions, including the US, Europe, and Asia
  • Almost all of our global bond benchmarks fell, with only foreign high yield earning a positive return
  • Energy losses crippled commodity performance as our broad index fell 0.64%
  • Developed market currencies appreciated a modest 0.02% against the US dollar
  • Our short volatility and variance factors produced mixed, but muted performance
  • Most of our trend following strategies struggled; momentum factors fared better but still declined in several asset classes
  • We now estimate that hedge funds returned 0.51% in May, 0.06% less than our initial projection of 0.57%

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Hedge Funds Weekly: June 5, 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 0.47% last week as equity gains and positive alpha drove returns
  • Hedge funds are now up 0.45% for the month and 3.93% for the year
  • All but four of the 30 hedge fund strategies we track earned positive returns
  • Equity and fixed income strength led diversified portfolios to gains, even as commodities continued to decline
  • Equities gained in developed markets, rising 1.09% in the US and 1.58% overseas
  • All of our fixed income benchmark indexes notched gains, led by government and investment grade bonds
  • Most major commodity sectors declined as our broad index fell 2.41%
  • Both developed and emerging market currencies appreciated against the dollar
  • Most of our short volatility and variance factors rose
  • Trend following strategies tended to gain both within and across asset classes, but momentum factors produced mixed results

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Hedge Funds Weekly: May 29, 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 0.33% last week as rising equities fueled gains
  • Hedge funds are now up 0.51% for the month and 3.43% for the year
  • All but three of the 30 hedge fund strategies we track earned positive returns
  • Equity strength lifted balanced portfolios to gains, even amid fixed income and commodity weakness
  • Equities gained 1.08% globally, with the largest gains coming from the US and emerging markets
  • US Treasuries declined at most maturities, but corporate bonds rose slightly as markets rewarded credit risk
  • Most major commodity sectors declined as our broad index commodity fell 1.19%
  • Both developed and emerging market currencies appreciated against the dollar, but the gains were small
  • All of our short volatility and variance factors rose
  • Momentum and trend following factors tended to rise both within and across asset classes
  • We now estimate that hedge funds returned 0.56% in April, 0.10% less than our initial projection of 0.66%

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Hedge Funds Weekly: May 22, 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 0.15% last week as gains from European equities failed to offset widespread losses elsewhere
  • Hedge funds are now up 0.26% for the month and 3.18% for the year
  • 13 of the 30 hedge fund strategies we track earned positive returns
  • Equities underperformed, but fixed income, real estate, and commodity strength helped lift balanced portfolios to healthy returns
  • Equities struggled in many regions, but were up modestly globally, due primarily to a 1.59% gain in Europe
  • Fixed income indexes were among the week’s best performing benchmarks on a risk-adjusted basis
  • All major commodity sectors gained as our broad commodity index rose 2.25%
  • Developed market currencies appreciated significantly against the dollar
  • Most of our short volatility and variance factors fell
  • Momentum and trend following factors tended to struggle both within and across asset classes
  • We now estimate that hedge funds returned 0.58% in April, 0.08% less than our initial projection of 0.66%

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Hedge Funds Weekly: May 15, 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 0.25% last week as foreign equity gains lifted returns
  • Hedge funds are now up 0.43% for the month and 3.41% for the year
  • All but one of the 30 hedge fund strategies we track earned positive returns
  • Energy commodities and emerging market equities surged, but most asset classes globally posted mixed results
  • Equities dropped 0.38% in the US but gained 2.18% in emerging markets
  • Foreign developed market government bonds struggled, but all of our other fixed income benchmarks rose
  • Our broad commodity index gained 1.40% as oil futures added 3.38%
  • Developed market currencies depreciated against the dollar while emerging market currencies appreciated
  • All of our short volatility and variance factors rose
  • Trend following and momentum factors posted inconsistent performance across asset classes
  • We now estimate that hedge funds returned 0.63% in April, 0.03% less than our initial projection of 0.66%

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Hedge Funds Weekly: May 8, 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 0.22% last week as rising US equities once again lifted returns
  • Hedge funds are now up 0.22% for the month and 3.20% for the year
  • All but six of the 30 hedge fund strategies we track earned positive returns
  • Developed market equity gains helped offset declines in fixed income and commodities
  • Equities added 0.55% in the US and 1.57% in developed foreign markets
  • Bonds struggled in the US as Treasuries finished down and inflation-linked securities dropped 1.01%
  • Our broad commodity index lost 2.36% as oil futures plummeted 6.29%
  • Both developed and emerging market currencies appreciated slightly against the dollar
  • Almost all of our short volatility and variance factors rose, but the gains were very modest
  • Trend following factors gained almost universally, but momentum factors varied
  • We now estimate that hedge funds returned 0.64% in April, 0.02% less than our initial projection of 0.66%

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Hedge Funds Weekly: May 1, 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 0.72% last week as rising US equities once again propelled performance
  • Hedge funds are now up 0.67% for the month and 2.99% for the year
  • All but two of the 30 hedge fund strategies we track earned positive returns
  • Equities surged, leading diversified portfolios to strong gains despite mixed performance in non-equity asset classes
  • Equities posted strong gains worldwide, climbing by 1.48% in the US and by 2.70% in foreign developed markets
  • Fixed income performance was tepid compared to equities, as foreign bonds inched higher and US bonds fell
  • Our broad commodity index added 0.10% even though gold and oil futures both fell
  • Both developed and emerging market currencies appreciated against the dollar
  • Almost all of our short volatility and variance factors rose
  • Trend following factors performed strongly, but momentum factors varied substantially by asset class
  • We now estimate that hedge funds returned 0.35% in March, 0.08% less than our initial projection of 0.43%

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Hedge Funds Weekly: April 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 0.15% last week as rising US equities lifted returns
  • Hedge funds are now down 0.09% for the month and up 2.25% for the year
  • All but five of the 30 hedge fund strategies we track earned positive returns
  • Commodities stumbled as oil futures dropped more than 7%, but US equity gains helped balanced portfolios sidestep losses
  • Most US equity sectors performed well, with industrials and consumer discretionary each earning more than 2%
  • Most of our fixed income benchmarks notched small profits, but our aggregate US bond index was flat
  • Every major commodity sector declined as commodities, as a whole, lost 3.70%
  • Both developed and emerging market currencies appreciated slightly against the dollar
  • Most of our short volatility and variance factors rose, led by our short global equity variance factor
  • Trend following and momentum strategy performance varied significantly by asset class
  • We now estimate that hedge funds returned 0.38% in March, 0.05% less than our initial projection of 0.43%

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Hedge Funds Weekly: April 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 fell 0.24% last week as declining US equities stifled returns
  • Hedge funds are now down 0.23% for the month and up 2.04% for the year
  • Only five of the 30 hedge fund strategies we track earned positive returns
  • Equities struggled, while bonds, real estate, and commodities all rose
  • Equities fell globally, but the largest losses came in the US where they gave back 1.12%
  • All of our global bond benchmarks rose, led by a 1.42% gain by US 10-year Treasuries
  • Oil prices rose for the third straight week as our broad commodity index added 0.73%
  • Both developed and emerging market currencies appreciated against the dollar, reversing recent losses
  • Most of our short volatility and variance factors fell, with our VIX-based strategies suffering the largest declines
  • Trend following and momentum strategies stumbled both within and across asset classes
  • We now estimate that hedge funds returned 0.32% in March, 0.11% less than our initial projection of 0.43%

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Hedge Funds Weekly: April 10, 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 0.04% last week as mixed, but muted factor performance led to modest returns
  • Hedge funds are now up 2.17% for the year
  • 14 of the 30 hedge fund strategies we track earned positive returns
  • Oil, real estate, and fixed income securities rose while developed market equities slipped
  • Equities fell globally despite small gains in defensive sectors and emerging markets
  • Aside from our short-term US Treasury index, all of our bond benchmarks posted positive returns
  • Oil prices rallied once again, gaining 3.26% and leading our broad commodity index to a 1.09% profit
  • Both developed and emerging market currencies depreciated against the dollar for the second straight week
  • Most of our short volatility and variance factors fell, but the losses were small
  • Performance among momentum and trend following strategies varied by asset class, but was generally modest
  • We now estimate that hedge funds returned 0.25% in March, 0.18% less than our initial projection of 0.43%

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