Hedge Fund Update: Third Quarter 2016
The third quarter update examines the subject of position crowding and its effects on performance, particularly in periods of market stress and heightened volatility.
Hedge Fund Update Series
Hedge Fund Update: Second Quarter 2016
The second quarter update examines investment landscape before and after the Brexit vote, and the effects of particular pockets of volatility.
Hedge Fund Update: First Quarter 2016
The first quarter update examines the switch in the performance of value- and growth-oriented managers and reviews the changes over the quarter that contributed to better performance from uncorrelated and systematic macro strategies.
Hedge Fund Update: Fourth Quarter 2015
This quarter’s publication reviews three of the crosscurrents that swept the hedge fund investment landscape in fourth quarter and then delves more deeply into the event-driven space, examining some of the causes of recent poor performance in this area and the prospects going forward.
Hedge Fund Update: Third Quarter 2015
Volatility further increased in the third quarter, with a number of notable “events.” First, the People’s Bank of China devalued the Chinese yuan (RMB, CNY) by almost 2% in early August. Ostensibly one step on the path to a designation of special drawing rights by the International Monetary Fund, it was, in fact, a response…
Hedge Fund Update: Second Quarter 2015
Long/Short Hedge Fund Strategies At the midpoint of 2015, hedge funds as a group have outpaced widely quoted US large capitalization equity market indexes. Through June 30, 2015, the S&P 500 Index is up 1.2% and the Dow Jones Industrial Average is flat at 0.0% for the year, while the Credit Suisse Hedge Fund Index…
Hedge Fund Update: First Quarter 2015
Many fundamental long/short hedge funds gravitate toward small- and mid-cap equities on the long side and focus on larger-cap equities on the short side. During the last three quarters of 2014, the larger cap S&P 500 meaningfully outperformed the smaller cap Russell 2000® (cumulative returns of 11.7% versus 3.7%, respectively), creating strong headwinds for investors…
Hedge Fund Update: Fourth Quarter 2014
In the fourth quarter, many of the trends that had played out throughout 2014 continued, and in some cases accelerated. Like most quarters this year, on the surface, fourth quarter hedge fund returns (0.7% for the Credit Suisse Hedge Fund Index and 0.5% for the HFRI Fund-Weighted Composite Index) look disappointing when compared to widely…
Hedge Fund Update: Third Quarter 2014
Broadly speaking, hedge funds were flat for the quarter (the Credit Suisse Hedge Fund Index returned 0.6% and the HFRI Fund Weighted Composite Index, -0.1%). Performance in many equity markets was much worse for the quarter, with the Russell 2000® returning -7.4%, MSCI Europe, -7.0%, and MSCI Emerging Markets, -3.4% (all in US$ terms). Larger-cap…
Hedge Fund Update: Second Quarter 2014
The same quiet economic and financial environment, with strong equity markets, that muted returns for hedge funds in the first quarter continued during the second. While the US stock market rallied almost 5%, the yield on the US ten-year dropped 20 bps and the yield curve essentially moved in parallel. Not surprisingly, the VIX declined…