Indexes
Hedge Funds Between the Economics Crises
May 7th, 2020 | Filed under: Hedge Fund Industry Trends, Newly Added, Indexes, CAIA Alternative Viewpoints, Hedge Funds, Structure of the Hedge Funds Industry
By Hossein Kazemi, Ph.D., CFA, Senior Advisor, CAIA Program Introduction The performance of hedge funds since the Global Financial Crisis (GFC) has been hotly debated in both industry and academic studies. There is strong evidence that the GFC had a profound impact on the structure and the relative performance of theRead More
Back(wardization) to the Future
May 3rd, 2020 | Filed under: Hedge Fund Industry Trends, Hedge Fund Strategies, Newly Added, Indexes, What about beta?, Hedge Funds
By Aaron Filbeck, CAIA, CFA, CIPM – Associate Director of Content Development at CAIA Association In the title reference, the character Dr. Emmett Brown says this about a bolt of lightning: “Unfortunately, you never know when or where it is ever gonna strike.” Frame of reference is everything when itRead More
Hedge Fund Flows Fall Flat in October
Nov 24th, 2019 | Filed under: Hedge Fund Industry Trends, Hedge Fund Strategies, Industry Size & Managers, Equity Hedge Funds, Newly Added, Asset Managers, Indexes, Event-Driven Hedge Funds, The Alts Industry, Macro and Managed Futures Funds, Hedge FundsThe 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: Hedge Fund Industry Trends, Hedge Fund Strategies, CTA, Industry Size & Managers, Equity Hedge Funds, Newly Added, Indexes, Event-Driven Hedge Funds, The Alts Industry, Macro and Managed Futures Funds, Hedge Funds, Relative Value Hedge Funds, Structure of the Hedge Funds IndustryAccording 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: Hedge Fund Strategies, CTA, Equity Hedge Funds, Newly Added, Indexes, Event-Driven Hedge Funds, The Alts Industry, Macro and Managed Futures Funds, Hedge Funds, Commodities, Structure of the Hedge Funds IndustryThe 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: Hedge Fund Industry Trends, Hedge Fund Strategies, Equity Hedge Funds, Newly Added, Indexes, Event-Driven Hedge Funds, The Alts Industry, Macro and Managed Futures Funds, Hedge Funds, Relative Value Hedge Funds, Structure of the Hedge Funds IndustryGlobal 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: Hedge Fund Industry Trends, CTA, Industry Size & Managers, Equity Hedge Funds, Newly Added, Indexes, Event-Driven Hedge Funds, The Alts Industry, Macro and Managed Futures Funds, Fees, Hedge Funds, Relative Value Hedge Funds, Structure of the Hedge Funds IndustryThe 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: Hedge Fund Industry Trends, CTA, Industry Size & Managers, Equity Hedge Funds, Newly Added, Indexes, Event-Driven Hedge Funds, Funds of Hedge Funds, The Alts Industry, Hedge Funds, Relative Value Hedge Funds, CommoditiesRed 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: Hedge Fund Industry Trends, Hedge Fund Strategies, Equity Hedge Funds, Newly Added, Indexes, Event-Driven Hedge Funds, The Alts Industry, Hedge Funds, Relative Value Hedge FundsThe 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: Hedge Fund Industry Trends, Equity Hedge Funds, Newly Added, Indexes, Event-Driven Hedge Funds, The Alts Industry, Macro and Managed Futures Funds, Hedge Funds, Relative Value Hedge FundsMarch 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: Hedge Fund Industry Trends, Hedge Fund Strategies, Equity Hedge Funds, Newly Added, Indexes, Event-Driven Hedge Funds, The Alts Industry, Macro and Managed Futures Funds, Hedge Funds, Structure of the Hedge Funds IndustryMartin 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: Hedge Fund Industry Trends, Hedge Fund Strategies, Equity Hedge Funds, Newly Added, Indexes, Event-Driven Hedge Funds, The Alts Industry, Hedge FundsDuring 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: Hedge Fund Industry Trends, Hedge Fund Strategies, Industry Size & Managers, Equity Hedge Funds, Newly Added, Asset Managers, Indexes, The Alts Industry, Hedge FundsThe 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: Hedge Fund Industry Trends, Hedge Fund Strategies, Equity Hedge Funds, Newly Added, Indexes, Event-Driven Hedge Funds, The Alts Industry, Macro and Managed Futures Funds, Hedge Funds, Allocating to AltsThe 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: Hedge Fund Industry Trends, Hedge Fund Strategies, Equity Hedge Funds, Newly Added, Indexes, Event-Driven Hedge Funds, The Alts Industry, Hedge Funds, Relative Value Hedge FundsThe 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: Hedge Fund Industry Trends, Hedge Fund Strategies, CTA, Industry Size & Managers, Equity Hedge Funds, Newly Added, Indexes, Event-Driven Hedge Funds, The Alts Industry, Macro and Managed Futures Funds, Hedge Funds, Relative Value Hedge FundsThe 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: Hedge Fund Industry Trends, Commodities, Hedge Fund Strategies, Investing in Commodities, Newly Added, Indexes, oil, Digital currencies, Commodities: Examples, Energy, The Alts Industry, Gold, Hedge Funds, Commodities, Emerging Alternative Investments, Other Topics in AltsA 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: Hedge Fund Industry Trends, Newly Added, Indexes, The Alts Industry, Hedge Funds, Structure of the Hedge Funds IndustryBy 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: Performance, Analytics & Metrics, Hedge Fund Strategies, Equity Hedge Funds, Newly Added, Indexes, Benchmarking & Performance Attribution, Fees, Hedge Funds, Structure of the Hedge Funds IndustryA 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, ForexThe 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 AltsBoth 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, MacroeconomicsThe 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, MacroeconomicsEuropean 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: Commodities, Derivatives, Media Coverage of Hedge Funds, IndexesTrafigura 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 marketsFactor 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 AltsIt 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, IndexesA 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 marketsAccording 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, MacroeconomicsWhy 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, IndexesAuthorities 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, ETFsThe 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, IndexesAndrew 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, IndexesBy 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 SeekersA 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, IndexesA 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, IndexesEurekahedge 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 managementA 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, IndexesThe 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, IndexesBrad 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 investorsA 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 marketsIndia 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, EnergyIf 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, IndexesFor 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, ETFsThere 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 marketsGFIA 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: IndexesEurope'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, IndexesThe 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, IndexesThe 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 managementAny 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, ETFsSince 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