Hedge Funds

Friend or Foe: Hedge Funds Versus Alternative Risk Premia (Euro Edition)

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It has been a challenging time for hedge funds in recent years. Loose monetary policy has driven equity markets upwards and hurt short books. The growth of quantitatively traded funds has eroded some of the inefficiencies commonly exploited by hedge funds. This fact, coupled with the shift toward low-fee passive and alternative risk premia (ARP) products, has raised questions about the merits of hedge funds in investor portfolios. In this paper, we focus on comparing ARP versus hedge funds and investigate whether hedge funds and ARP funds are complementary or whether ARP funds are actually a viable replacement for hedge funds.

Alternative Risk Premia: A Diversifying Option for Investors (Euro Edition)

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Elevated equity market valuations and potentially rising bond yields suggest the return environment for traditional risk assets could be difficult. Faced with this challenge, institutional investors are seeking alternative sources of return. Alternative risk premia strategies—which harvest well-established risk premia and market anomalies across asset classes—may fit the bill.

Hedge Fund Update: First Quarter 2019

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In this quarter’s edition, our focus continues to be on fundamental equity long/short managers, but now from an internal perspective. The overall strategy performed well during first quarter 2019, capturing more than 60% of the strong gains generated by the MSCI All Country World Index. While the extreme market action of the last two quarters occurs infrequently, this type of trading environment can provide useful insight into portfolio manager behavior and psychology. Analyzing portfolio management decisions, as opposed to stock selection or external factors, though interconnected, can help improve future manager selection.

US Manager Universe Statistics: Fourth Quarter 2018

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This chart book presents representative long-only and hedge fund manager performance for fourth quarter 2018. The median US Core Bonds manager posted the highest median return for fourth quarter 2018, returning 1.4%. The median Cash Management manager posted the best returns for the one-year period ending December 31, 2018, with a return of 2.0%. The median US Small-Cap Growth Equity manager posted the lowest median return for fourth quarter 2018 (-20.4%). The median Global ex US Small-Cap manager suffered the worst performance (-19.1%) for the one-year period.

Hedge Fund Update: Fourth Quarter 2018

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In this quarter’s update, we look at the market pressure long/short equity managers experienced in October as technical selling by some tightly risk-controlled multi- manager platforms and other volatility-targeting strategies, combined with a deleveraging effect stemming from ongoing redemption activity (including announcements of several high-profile fund closures) created major headwinds for the strategy.