Browsing: Indexes

Indexes

Hedge Fund Flows Fall Flat in October

Nov 24th, 2019 | Filed under: Newly Added, Hedge Fund Industry Trends, Hedge Fund Strategies, The A.I. Industry, Industry Size & Managers, Equity Hedge Funds, Asset Managers, Indexes, Hedge Funds, Event-Driven Hedge Funds, Macro and Managed Futures Funds

The Eurekahedge Hedge Fund Index was up 0.31% in October. However, it doesn’t measure up to the market next to the MSCI ACWI (Local), which ended October up 1.93%. Eurekahedge’s latest monthly report observes that US-China trade talks resumed, and this led to a certain tentative optimism. Since those areRead More


Global Hedge Fund Assets Shrink

Oct 20th, 2019 | Filed under: Newly Added, Hedge Fund Industry Trends, Hedge Fund Strategies, CTA, The A.I. Industry, Industry Size & Managers, Equity Hedge Funds, Indexes, Hedge Funds, Event-Driven Hedge Funds, Macro and Managed Futures Funds, Relative Value Hedge Funds, Structure of the Hedge Funds Industry

According to the latest report from Eurekahedge, the world’s hedge funds recorded a net growth of $3.4 billion due to performance in September 2019. On the other hand, September also saw large net outflows of $6.2 billion. Assets at the end of the month were down 0.12%.  Looking at fundsRead More


Eurekahedge: The Return of Alpha

Sep 29th, 2019 | Filed under: Newly Added, Hedge Fund Strategies, CTA, The A.I. Industry, Equity Hedge Funds, Indexes, Hedge Funds, Event-Driven Hedge Funds, Commodities, Macro and Managed Futures Funds, Structure of the Hedge Funds Industry

The Eurekahedge Hedge Fund Index was up in August, 0.17%, easily outperforming the global equity market, as measured by MSCI ACWI, which was down 2.37%. The August number brings the Eurekahedge HFI’s year-to-date result to 6.58%. Approximately 32.6% of the funds Eurekahedge tracks are in double-digits (positive) territory for theRead More


Hedge Fund Performance Gains: Investor Flow Losses

Aug 25th, 2019 | Filed under: Newly Added, Hedge Fund Industry Trends, Hedge Fund Strategies, The A.I. Industry, Equity Hedge Funds, Indexes, Hedge Funds, Event-Driven Hedge Funds, Macro and Managed Futures Funds, Relative Value Hedge Funds, Structure of the Hedge Funds Industry

Global hedge fund assets under management have stayed close to flat for months now. That’s one of the points made in the latest Eurekahedge report. As of July, the AUM is just a little under $2.3 trillion, or roughly where it has been since late last year. Although there haveRead More


Hedge Fund Performance and Fees: Who is Earning Their Keep?

Jul 30th, 2019 | Filed under: Newly Added, Hedge Fund Industry Trends, CTA, The A.I. Industry, Industry Size & Managers, Equity Hedge Funds, Indexes, Hedge Funds, Event-Driven Hedge Funds, Macro and Managed Futures Funds, Fees, Relative Value Hedge Funds, Structure of the Hedge Funds Industry

The Eurekahedge Hedge Fund Index was up in June, wrapping up a very strong first half of the year for the hedge fund industry. The monthly increase of 1.83% reverses the down month of May, which in turn was a reversal of the strength of the first four months, withRead More


Hedge Fund Index Backslides in May; Remains in Positive Territory

Jun 25th, 2019 | Filed under: Newly Added, Hedge Fund Industry Trends, CTA, The A.I. Industry, Industry Size & Managers, Equity Hedge Funds, Indexes, Hedge Funds, Event-Driven Hedge Funds, Commodities, Funds of Hedge Funds, Relative Value Hedge Funds

Red ink spoiled an otherwise positive 2019 for he Eurekahedge Hedge Fund Index. The decline of 0.71% leaves the year-to-date performance still well up, at +4.32%. Approximately 41.6% of the funds Eurekahedge tracks were in the black for the month. And 15% have generated double-digit gains year-to-date. North America-mandated hedgeRead More


Hedge Funds Performing Well Year-to-Date, But Trade Issues Loom Large

Jun 2nd, 2019 | Filed under: Newly Added, Hedge Fund Industry Trends, Hedge Fund Strategies, The A.I. Industry, Equity Hedge Funds, Indexes, Hedge Funds, Event-Driven Hedge Funds, Relative Value Hedge Funds

The Eurekahedge Hedge Fund Index continues to reflect strong performance for the year. First quarter 2019 was one of the strongest quarterly returns since the global financial crisis, and each of its three months was positive. April was another up month, +1.06%, which brings us to +5.15% YTD. Hedge fundsRead More


Hedge Funds: The Strongest Quarterly Return Since the GFC

May 2nd, 2019 | Filed under: Newly Added, Hedge Fund Industry Trends, The A.I. Industry, Equity Hedge Funds, Indexes, Hedge Funds, Event-Driven Hedge Funds, Macro and Managed Futures Funds, Relative Value Hedge Funds

March was a good month and the first quarter of 2019 was promising, according to the April report from Eurekahedge. The Eureka Hedge Fund Index gained 1.06% in March. This yields a first quarter return of 4.36%. As the report says, this is the strongest quarterly return since the globalRead More


Hedge Funds: Deep-Diving Into the 2018 Numbers

Apr 18th, 2019 | Filed under: Newly Added, Hedge Fund Industry Trends, Hedge Fund Strategies, The A.I. Industry, Equity Hedge Funds, Indexes, Hedge Funds, Event-Driven Hedge Funds, Macro and Managed Futures Funds, Structure of the Hedge Funds Industry

Martin McCubbin, a senior research analyst at Fidante, looks at the hedge fund performance numbers for 2018 in a new paper, which shows it was a difficult year. Early going in 2019 has been somewhat better, but that the “better” cannot be relied upon. The rest of this year couldRead More


Eurekahedge: Light at the End of Trade-War Tunnel?

Mar 25th, 2019 | Filed under: Newly Added, Hedge Fund Industry Trends, Hedge Fund Strategies, The A.I. Industry, Equity Hedge Funds, Indexes, Hedge Funds, Event-Driven Hedge Funds

During the Vietnam War era, the metaphor of “light at the end of a tunnel” expressed American optimism under stress, The image was supposed to convey the idea that the US and its local allies could eventually attain a favorable peace in that country if only they persevered—that the lightRead More


Eurekahedge: The Grinch Stole December’s Returns

Jan 22nd, 2019 | Filed under: Newly Added, Hedge Fund Industry Trends, Hedge Fund Strategies, The A.I. Industry, Industry Size & Managers, Equity Hedge Funds, Asset Managers, Indexes, Hedge Funds

The Eurekahedge Hedge Fund Index was down for the month of December 1.31%, and that this brought the total decline of 2018 down to 3.85%, according to the January 2019 report. Part of the reason for the bad December numbers was a broad concern about the yield-curve inversion in USRead More


Eurekahedge: Hedge Funds Failing to Perform in 2018

Nov 25th, 2018 | Filed under: Newly Added, Hedge Fund Industry Trends, Hedge Fund Strategies, The A.I. Industry, Equity Hedge Funds, Indexes, Hedge Funds, Event-Driven Hedge Funds, Macro and Managed Futures Funds, Allocating to A.I.

The newest Eurekahedge report says that hedge funds globally are experiencing their worst year since 2008. They are down -2.15% for 2018 to date and in the first 10 months of 2008 they were down a full 9.55%. Other Year-to-Date Numbers Only a minority (roughly 47%) of hedge fund managersRead More


Hedge Funds in a Time of Wear and Tear

Oct 21st, 2018 | Filed under: Newly Added, Hedge Fund Industry Trends, Hedge Fund Strategies, The A.I. Industry, Equity Hedge Funds, Indexes, Hedge Funds, Event-Driven Hedge Funds, Relative Value Hedge Funds

The latest report from Eurekahedge tells us that Asia-focused strategies in the hedge fund universe are showing the wear and tear of the US/China trade dispute. The Eurekahedge Greater China Hedge Fund Index shows losses of 8.16% through the first nine months of the year. The Eurekahedge commentary observes thatRead More


Eurekahedge: 2018 YTD Growth Positive but Unimpressive

Jun 24th, 2018 | Filed under: Newly Added, Hedge Fund Industry Trends, Hedge Fund Strategies, CTA, The A.I. Industry, Industry Size & Managers, Equity Hedge Funds, Indexes, Hedge Funds, Event-Driven Hedge Funds, Macro and Managed Futures Funds, Relative Value Hedge Funds

The newest Eurekahedge report says that total hedge fund assets have grown by $26.4 billion in the year to date (through May). The gain is the result of inflow, not of positive performance. Assets flowing in to the industry’s coffers YTD equal $30 billion, and one gets the net growthRead More


Eurekahedge: Greater China Mandates Pay Off for January

Feb 20th, 2018 | Filed under: Newly Added, Hedge Fund Industry Trends, Commodities, Hedge Fund Strategies, The A.I. Industry, Investing in Commodities, Indexes, Hedge Funds, Emerging Alternative Investments, oil, Digital currencies, Commodities, Commodities: Examples, Energy, Gold, Other Topics in A.I.

A new Index Flash Update from Eurekahedge says that hedge funds are off to a positive start to 2018. The industry globally gained 2.26% in January. Among developed world mandates, North American hedge funds were up 1.89%, followed by those of Japan and Europe, which gained 1.28% each. Higher numbersRead More


HEDGE FUND FACTOR EXPOSURE & ALTERNATIVES

Nov 15th, 2017 | Filed under: Newly Added, Hedge Fund Industry Trends, The A.I. Industry, Indexes, Hedge Funds, Structure of the Hedge Funds Industry

By Nicolas Rabener, FactorResearch Alternatives to Alternative Investments? Summary: Equity hedge fund returns have been disappointing over the last 14 years An exposure analysis shows no structural factor exposure, but frequent factor rotation Multi-factor long-short products are an interesting alternative, depending on the fee level INTRODUCTION Hedge fund assets reachedRead More


Tricky Times for Hedge Funds and a Lot of Negative YTD Performances

May 22nd, 2016 | Filed under: Newly Added, Performance, Analytics & Metrics, Hedge Fund Strategies, Equity Hedge Funds, Indexes, Benchmarking & Performance Attribution, Hedge Funds, Fees, Structure of the Hedge Funds Industry

A slim majority of hedge fund managers are in the red year to date, through April, according to the latest report from Eurekahedge. Specifically, 51.4% of managers have negative YTD performance. Over the same period in 2015, the analogous number was only 21.2%. That is a good indication of whatRead More


Japan: Richardson makes a Tricky Case

Sep 9th, 2015 | Filed under: Currencies, Institutional Investing, Indexes, Forex

The Japanese economy deserves some credit for having pulled itself out of a recent recession, and it is "beginning to show signs of benefiting from a weaker yen" as a BlackRock strategist tells us. But (there is always a "but"). Read More


Foundations: They’ve Taken a Blow from “Subdued” Markets

Sep 2nd, 2015 | Filed under: Hedge Fund Industry Trends, Performance, Analytics & Metrics, Hedge Fund Strategies, Institutional Investing, Indexes, Risk management, Liquid Alts

Both private and community foundations depend heavily on U.S. equities. Indeed, domestic equities remained the bright spot while other strategies underperformed in 2014. A new report from a collaboration of the Council on Foundations and Commonfund provides food for thought about the reversal in foundation returns in that year. TheRead More


What Taper Tantrum?  And, Will Yellen Pull a Bernanke?

Aug 30th, 2015 | Filed under: Hedge Fund Industry Trends, Alpha Strategies, Indexes, Macroeconomics

The head of the New York Fed said on Wednesday, August 26th, that "the decision to begin the normalization process at the September FOMC meeting seems less compelling to me than it was a few weeks ago." We may be about to see another Fed retreat, analogous to that of a little more than two years ago. Read More


Headline Factors and Hedge Fund Success

Jun 23rd, 2015 | Filed under: Performance, Analytics & Metrics, Indexes, Macroeconomics

European mandated hedge funds, benefitting from improved expectations regarding that region, are up 5.54% year to date, says Eurekahedge. Wait: improved expectations? Yes, notwithstanding continued Greek drama. Read More


Vindication for Pirrong and Irwin: Why Are Trafigura’s Profits Up?

Jun 22nd, 2015 | Filed under: Media Coverage of Hedge Funds, Commodities, Derivatives, Indexes

Trafigura has done quite well from the decline in crude oil prices in recent months. So well, in fact, as to throw a harsh light on a story that appeared in The New York Times in December 2013. Read More


Mladina on Peeling the Onion: Looking for Idiosyncratic Skill

Jun 21st, 2015 | Filed under: Performance, Analytics & Metrics, Currencies, Indexes, Emerging markets

Factor models will evolve as researchers untangle what value is to be attributed to what factor. Model selection, then, has to remain flexible to keep pace with such research, and must of course remain useful for the investment decision makers. Read More


A New Index: The Eurekahedge 50

Jun 1st, 2015 | Filed under: Portable Alpha & Alpha/Beta Separation, Alternative Beta & Hedge Fund Replication, Indexes, Liquid Alts

It appears likely that the new index, the Eurekahedge 50, as well as the daily tracker index that has been built around it, will have aspirational significance. It is designed to set a bar that will be very difficult for other alpha seekers to clear, yet easy for replicators to follow. Read More


Study: Corporate/Government Cronyism Does Create Alpha

May 3rd, 2015 | Filed under: CAPM / Alpha Theory, Indexes

A new report finds that firms where current public officials are destined to become employees outperform other private firms by 7.43% per year during the three years before the officials/employees pass from one post to the other. The outperformance is highest in the year immediately before the switch, Justas a cynic looking for corrupt quid pro quos would suspect. Read More


Eurekahedge on Asia in March, and on Asia Over the Years

Apr 28th, 2015 | Filed under: Performance, Analytics & Metrics, Hedge Fund Strategies, Currencies, Indexes, Emerging markets

According to Eurekahedge the hedge fund industry globally returned $54.1 billion in performance gains in the first quarter 2015. This is the greatest first-quarter gain since before the global financial crisis. Read More


Griffin, Bernanke, and the Saud family

Apr 27th, 2015 | Filed under: Currencies, Alpha Hunters, Alpha Strategies, Indexes, Macroeconomics

Why has Ken Griffin, the founder of Citadel, hired former Fed Chair Ben Bernanke as a Senior Advisor? This decision represents a surprise given Griffin's views on "quantitative easing," views he forcefully expressed a couple of years ago. Read More


Authorities Offer Revisionism About Flash Crash

Apr 22nd, 2015 | Filed under: Algorithmic and high-frequency trading, Derivatives, Indexes

Authorities now claim that the shenanigans that set off the flash crash of May 2010 were the work of Navinder Singh Sarao. Does this mean Waddell & Reed were unjustly maligned? Almost certainly. Read More


They Do It Right Down Under: Australian Institutional Funds

Apr 14th, 2015 | Filed under: CAPM / Alpha Theory, Institutional Investing, Alpha Hunters, Alpha Strategies, Indexes, Alpha Seekers, ETFs

The hapless U.S. mutual funds Chen and Gallagher sample have a nominally positive pre fee alpha only when measured against CAPM. That disappears into the negatives when the baseline used is the Fama-French model, and deeper into the negatives when the momentum factor is added. Read More


Why Constraints on Hedge Funds Matter

Mar 8th, 2015 | Filed under: Hedge Fund Industry Trends, Performance, Analytics & Metrics, Hedge Fund Strategies, Alternative Mutual Funds, Alpha Strategies, Indexes

Andrew Beer looks at what happens when talented hedge fund managers try and perform within the constraints of the mutual fund structure. Read More


Focus on U.S. Real Estate Benchmarks: NCREIF Transaction Based Index

Feb 20th, 2015 | Filed under: Real Estate, Alpha Hunters, Alpha Strategies, Indexes

By Brad Case, PhD, CFA, CAIA This is the third in a series of articles focusing on the strengths of different indices that are published regularly and may be appropriate for benchmarking, risk assessment, and other real estate investment purposes. The first article focused on two similar index families, the Moody’s/RCARead More


Eurekahedge Airs Wide Range of Views on Indian Hedge Funds

Feb 16th, 2015 | Filed under: Alpha Strategies, Indexes, Emerging markets, Alpha Seekers

A new report from Eurekahedge tries to go beyond some obvious observations about the performance of hedge funds there in 2014, or about the performance of that country's broad economy last year. Eurekahedge talked to seven experts in the field. They took quite different views on the most basic of questions. So different that a contrarian would have a tough time finding the consensus to counter. Read More


The Danger of Indices

Feb 1st, 2015 | Filed under: Performance, Analytics & Metrics, Indexes

A useful benchmark or a dangerous prop? Guest columnist Andrew Beer looks at the hidden dangers in indices.Read More


Low Energy Prices: Crude and Refined Consequences

Jan 21st, 2015 | Filed under: Hedge Fund Industry Trends, Hedge Fund Strategies, Currencies, Indexes

Eurekahedge tells us that hedge funds were in the black 4.57% in 2014. That's hardly cause for celebration, since the MSCI World Index returned 6.79% over the same year. But all eyes now turn to the still-sliding price of oil. Read More


Low-Vol Anomaly Provokes Reflections on an Old Adage

Jan 11th, 2015 | Filed under: CAPM / Alpha Theory, Indexes, Risk management

A new paper by Eric Falkenstein discusses an old question: the reason for the high risk-adjusted return in low-risk equities, and the adjustments it requires in CAPM. This is no fleeting oddity, but a lasting characteristic of markets. In econo-speak, not only the existence but the persistence of the anomaly requires explanation.Read More


New Greek Political Crisis Looks Like the Old Greek Crises

Jan 7th, 2015 | Filed under: Currencies, Alpha Strategies, Indexes

The newly called snap elections in Greece will serve as a contest between pro-austerity and anti-austerity forces. Anti-austerity means abandoning the bail-out deal, and that position now seems the likely victor. Read More


Focus on U.S. Real Estate Benchmarks: NCREIF Property Index

Jan 4th, 2015 | Filed under: Real Estate, Alpha Hunters, Alpha Strategies, Indexes

Brad Case, Ph.D., CFA, CAIA, guest columnist, continues his series on U.S. real estate benchmarks as he looks at the NCREIF Property Index.Read More


The Top 0.004%: The Wealth-X Report

Nov 24th, 2014 | Filed under: Indexes, High-net-worth investors

A report focuses on the life and spending habits of the 211,275 wealthiest individuals on the planet, and their network of family and friends. Read More


Hedge Funds: Good Run for India, but Troubles in Brazil

Oct 21st, 2014 | Filed under: Performance, Analytics & Metrics, Indexes, Emerging markets

India accounts for much of the positive showing of Asia ex-Japan in the hedge fund world YTD. That positive showing, in turn, may be attracting asset flow. Read More


The Bubble This Time: Oil & Gas Energy Stocks?

Oct 15th, 2014 | Filed under: Commodities, Indexes, Energy

If we look for the recent peak in Dow Jones U.S. oil & gas stocks we’ll look to the start of the summer. In June of this year the energy sector got above $850. The fall from that height puts the size of our correction in the neighborhood of 16%. It is possible these stocks are leading the rest of the market down. Read More


GFIA: June is ‘Listless’ for Many Asia Managers

Aug 10th, 2014 | Filed under: Hedge Fund Strategies, Alpha Strategies, Indexes

For many fund managers working in Southeast Asia, and/or China, June 2014 was “listless,” with numbers that suggest a flat tire. The booms on the ASEAN bourses are concentrated where the fund managers aren’t, in “high beta cyclical sectors.” Read More


Traders Sometimes Want Macro-News to Be Free

Jul 9th, 2014 | Filed under: Indexes, ETFs

There exists “robust evidence of informed trading during lockup periods ahead of the Federal Open Market Committee … monetary policy announcements” say three authors. Some agencies can embargo news effectively. The FOMC doesn't seem to be among them. Read More


May Numbers: Long Equity Beats Event-Driven Peers in Asia

Jul 8th, 2014 | Filed under: Alpha Strategies, Indexes, Emerging markets

GFIA says that most of the Asia Pacific managers it tracks generated substantial returns above the relevant index in May 2014. The long-biased firms did best there, their event-driven peers … not so much. Read More


Index Provider Transparency: End Users Unimpressed

May 19th, 2014 | Filed under: Indexes

Europe's index providers, by their own account, already have strong incentives to offer optimal transparency and, in their self-interest, they do so. A survey and report from EDHEC examines this claim. Read More


Chopping Hedge Fund Data and Joining a Choir

May 13th, 2014 | Filed under: Currencies, Alpha Strategies, Indexes

The latest news from Eurekahedge shows a spotty performance for the global hedge fund industry in April, and generally in the year to date. The report also makes a casual remark about low inflation numbers that gives our Christopher Faille an opportunity to grouse about its Keynesian premises.Read More


Axioma on those Low-Vol Picnic Baskets

Jul 25th, 2013 | Filed under: CAPM / Alpha Theory, Alpha Strategies, Indexes

The success of low-volatility strategies has been noted in the literature at least since the mid-1970s, with the publication of a seminal work by Haugen and Heins. And such strategies continue to prove successful today. Why do they still work? Why don't the excess profits draw in the bears, consuming all the picnic baskets, driving profit levels down to normal? Read More


Of Falling Risks and Indexes

May 1st, 2012 | Filed under: Commodities, Indexes, Risk management

Any quantitative strategy is susceptible to being reduced to an index, and along with this, to transparency and routine. Once this happens, that "alpha" becomes "beta," and the 2 + 20 fees are no longer available. A manager in search of alpha will have to move beyond that strategy, peeling away that layer of the onion and going to a deeper, not-yet-indexable, strategy. Read More


ESMA and EDHEC on Indexes and Tracking Errors

Feb 1st, 2012 | Filed under: Alpha Strategies, Indexes, ETFs

Since transaction costs and the illiquidity of certain portions of an index make ideal tracking impossible, there will be a difference between the return of a tracking ETF, such as those tracking ETFs that are structured as UCITS in Europe, and the return of the underlying index or benchmark. The European Securities and Markets Authority maintains that investors should be informed of the factors that are likely to affect the size and the volatility of this difference. Read More