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Hedge Funds Weekly: April 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 added 0.34% last week as US equity gains lifted returns
  • Hedge funds are now up 0.43% for the month and 2.40% for the year
  • All but three of the 30 hedge fund strategies we track earned positive returns
  • Oil prices soared and US equities rebounded, but most asset classes worldwide earned limited returns
  • Equities rebounded in the US, but foreign equities and emerging Europe, in particular, did not fare so well
  • US high yield followed equities upward, but most bond indexes produced only modest returns
  • Oil futures spiked, gaining 5.50% for the week and lifting our broad commodity index to a profit
  • Both developed and emerging market currencies depreciated against the dollar
  • Most of our short volatility and variance factors earned positive returns
  • Returns to momentum and trend following strategies varied by asset class, but were typically small
  • We now estimate that hedge funds returned 0.95% in February, 0.26% less than our initial projection of 1.21%

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Hedge Funds Weekly: March 27, 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 0.32% last week as US equity losses crippled returns
  • Hedge funds are now up 0.02% for the month and 1.98% for the year
  • Only six of the 30 hedge fund strategies we track earned positive returns
  • Equities stumbled in the US, giving back recent gains, but strong fixed income performance worldwide helped to offset losses
  • Equities were flat to modestly positive overseas, but strongly negative in the US as nearly every sector and style fell
  • Bonds benefited from equity declines as each of our government and investment grade benchmarks rose
  • Precious metals added 1.58%, but every other commodity sector fell as our broad index lost 1.03%
  • Both developed and emerging market currencies appreciated against the dollar
  • All of our short volatility and variance factors declined
  • Momentum and trend following strategies mostly fell, both within and across asset classes
  • We now estimate that hedge funds returned 0.94% in February, 0.27% less than our initial projection of 1.21%

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Hedge Funds Weekly: March 20, 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 0.52% last week as worldwide equity gains lifted returns
  • Hedge funds are now up 0.38% for the month and 2.40% for the year
  • All but one of the 30 hedge fund strategies we track earned positive returns
  • After two weeks of declines, markets rebounded with strong performance in every major asset class
  • Equities rallied overseas, particularly in emerging markets, gaining more than 4% in emerging Asia and 5% in emerging Europe
  • Every one of our fixed income benchmarks rose, reversing last week’s losses
  • Base metals gained more than 3% and precious metals added more than 2% as all commodity sectors rose
  • Both developed and emerging market currencies appreciated materially against the dollar
  • Most of our short volatility and variance factors rose, but profits were modest
  • Trend following factors gained both within and across asset classes
  • We now estimate that hedge funds returned 0.99% in February, 0.22% less than our initial projection of 1.21%

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Hedge Funds Weekly: March 13, 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 0.32% last week as gains from foreign equities could not offset widespread losses from other factors
  • Hedge funds are now down 0.15% for the month and up 1.90% for the year
  • Only three of the 30 hedge fund strategies we track earned positive returns
  • For the second straight week, most asset classes worldwide declined, leaving investors with little room to avoid losses
  • Equities gained modestly in foreign developed markets, but were down broadly elsewhere
  • Every one of our fixed income benchmarks fell
  • Each commodity sector dropped as oil futures plummeted more than 9%
  • Emerging market currencies depreciated against the dollar, while developed market currencies appreciated modestly
  • Most of our short volatility and variance factors rose, but the profits were small
  • Trend following strategies declined within and across most asset classes
  • We currently estimate that hedge funds returned 1.03% in February, 0.18% less than our initial projection of 1.21%

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Hedge Funds Weekly: March 6, 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 0.13% last week as domestic equity gains lifted returns
  • Hedge funds are now up 0.16% for the month and 2.30% for the year
  • 21 of the 30 hedge fund strategies we track earned positive returns
  • US equities gained modestly, but most asset classes worldwide declined
  • Equities rose in developed Europe but fell in Asia and in emerging markets
  • Bonds stumbled globally and were the week’s worst performing asset class on a risk-adjusted basis
  • Commodities dropped, led downward by losses in energy and precious metals
  • Both developed and emerging market currencies depreciated against the dollar
  • Most of our short volatility and variance factors rose
  • Trend following and momentum strategies posted mixed, but mostly negative performance

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Hedge Funds Weekly: February 27, 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 0.14% last week as losses in foreign stocks and energy-related equities stifled returns
  • Hedge funds are now up 1.00% for the month and 2.03% for the year
  • 11 of the 30 hedge fund strategies we track earned positive returns
  • Aside from European equities, most asset classes worldwide posted modest gains
  • Equities gained in most sectors and non-European regions
  • Bonds rose globally, but the largest risk-adjusted gains came in the US
  • Gold gained, but agricultural sector underperformance caused commodities as a whole to lag
  • Both developed and emerging market currencies appreciated against the dollar
  • Most of our short volatility and variance factors rose
  • Outside of commodities, momentum and trend following strategies tended to decline
  • We currently estimate that hedge funds returned 1.02% in January, 0.13% more than our initial projection of 0.89%

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Hedge Funds Weekly: February 20, 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 0.30% last week as rising equities once again lifted returns
  • Hedge funds are now up 1.09% for the month and 2.02% for the year
  • All but four of the 30 hedge fund strategies we track earned positive returns
  • Equity strength overcame tepid performance in other asset classes, leading to healthy returns for diversified investors
  • Equities gained in every major region and in most sectors
  • Government bonds declined modestly in the US, but corporate bonds and foreign assets rose
  • Commodities stumbled as every sector except precious metals fell
  • Emerging market currencies appreciated against the dollar while developed currencies depreciated slightly
  • Most of our short volatility and variance factors rose
  • Momentum and trend following strategies tended to decline within asset classes but rise across asset classes
  • We currently estimate that hedge funds returned 0.92% in January, 0.03% more than our initial projection of 0.89%

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Hedge Funds Weekly: February 13, 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 0.29% last week as rising equities lifted returns
  • Hedge funds are now up 0.72% for the month and 1.66% for the year
  • All but two of the 30 hedge fund strategies we track earned positive returns
  • Domestic securities outperformed their foreign equivalents in most asset classes
  • Equities lagged in Europe, but gained in most other regions and sectors
  • Fixed income securities were up broadly in the US
  • Most commodity sectors gained, led by base metals
  • Developed market currencies depreciated against the dollar while emerging currencies held even
  • All of our short volatility and variance factors rose
  • Momentum and trend following strategies tended to gain both within and across asset classes
  • We currently estimate that hedge funds returned 0.93% in January, 0.04% more than our initial projection of 0.89%

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Hedge Funds Weekly: February 6, 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 0.09% last week as equity size and beta exposures lifted returns
  • Hedge funds are now up 0.43% for the month and 1.45% for the year
  • 23 of the 30 hedge fund strategies we track earned positive returns
  • Gains were modest but widespread as most asset classes rose globally
  • Equities gained worldwide, but sector performance was mixed in the US
  • Fixed income securities were mostly flat in the US
  • Precious metals led the way as all commodity sectors notched gains
  • Developed and emerging market currencies both appreciated significantly against the dollar
  • Almost all of our short volatility and variance factors rose, but the gains were small
  • Short-term momentum and trend following strategies tended to decline both within and across asset classes

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Hedge Funds Weekly: January 30, 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 0.73% last week as rising equities continued to boost performance
  • Hedge funds are now up 1.45% for the month and year
  • All but two of the 30 hedge fund strategies we track earned positive returns
  • All of our multi-asset class benchmarks rose, with 60/40 strategies narrowly edging risk parity
  • Equities continued their strong January, gaining in most regions and sectors worldwide
  • Bonds posted modest, but generally positive returns globally
  • Losses in gold and agricultural commodities drove our broad commodity index downward
  • Developed and emerging market currencies both appreciated against the dollar
  • Most of our short volatility and variance factors rose
  • Trend following and momentum strategies profited both within and across asset classes
  • We currently estimate that hedge funds returned 0.98% in December, 0.31% more than our initial projection of 0.67%

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