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…
Executive Summary In an environment of low equity and bond returns, investors may again be looking to portable alpha as a possible solution. However, portable alpha is complex and comes with many risks, not the least of which is identifying the sources of alpha, as well as ensuring the liquidity of the alpha sources, monitoring…
This chart book presents representative marketable and hedge fund manager performance for fourth quarter and calendar year 2014. US Real Estate Investment Trust (REIT) managers posted the largest median returns for the fourth quarter (14.2%) and the one-year period ending December 31, 2014 (31.2%).
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…
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…
Executive Summary Managed futures refers to a subset of investment strategies that actively trade global fixed income, currency, commodity, and equity markets via futures and forward contracts. Approximately 70% of the capital deployed within managed futures programs is attributable to trend following strategies. Trend following is synonymous with momentum investing and is based on the…
Asia’s economic development continues to attract global investor’s interest. Yet, investing in Asia-focused hedge funds has proved challenging due to illiquidity, shorting constraints, and underdeveloped legal systems. Moreover, Asia consists of many diverse economies and heterogeneous cultures, each presenting unique challenges and at different stages of economic and financial market evolution. In this report we:…
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…
Market Results First quarter results for most equity markets were generally positive, if muted, but the seemingly benign final numbers understated a relatively turbulent first quarter. Most major equity markets opened the year with a meaningful drawdown but snapped back aggressively in February. March produced modest returns in total, but under the surface there was…
Institutional investors considering an allocation to a hedge fund are typically reasonably equipped to evaluate its suitability for their portfolios. However, traditional yardsticks are inadequate for evaluating multi-manager (MM) hedge funds. Due to the uniqueness of their organizational structure and fund terms, MM funds often exhibit unusual yet ultimately explainable behavior. The intention of this…