Tuesday, February 9, 2010
Lies of Capital Lines
By Kirill Ilinski, Fusion Asset Management and Alexis Pokrovski, Laboratory of Quantum Networks, Institute for Physics, St-Petersburg State University
In their paper they examine in detail the qualitative effects caused by the investors' sensitivity to mark-to-market and price of liquidity. They find that by chasing returns and prompting investment managers to deliver unsustainable performance, the investment community damages its own chances through a greedy search for yield.
Download the full article here.
From the February 2010 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
In their paper they examine in detail the qualitative effects caused by the investors' sensitivity to mark-to-market and price of liquidity. They find that by chasing returns and prompting investment managers to deliver unsustainable performance, the investment community damages its own chances through a greedy search for yield.
Download the full article here.
From the February 2010 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Labels: Barclay Insider Report, Barclay Insider Report Guest Article, hedge fund performance, hedge funds
December Hedge Fund and CTA Performance
Hedge funds had a positive month in December reflected by gains in sixteen of our eighteen indices. The average return for the 2,640 hedge funds (ex. FoFs) that have so far reported a December return is +1.97%. The estimates for January, along with the number of funds reporting for each of our 18 sectors can be found at the link below. These indices are being continually updated as current returns for the underlying hedge funds are recorded into our system. As of this writing, 11 of 18 hedge fund sectors are showing positive returns for January.
Commodity Trading Advisor performance for December as measured by the Barclay CTA Index averaged -1.50%. January's estimate based on the performance of the Barclay BTOP50 Index is -1.55%.
Hedge Fund Indices Managed Futures Indices
From the February 2010 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Commodity Trading Advisor performance for December as measured by the Barclay CTA Index averaged -1.50%. January's estimate based on the performance of the Barclay BTOP50 Index is -1.55%.
Hedge Fund Indices Managed Futures Indices
From the February 2010 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Labels: Barclay Insider Report, commodity trading advisor, CTA, hedge fund performance
Tuesday, January 12, 2010
Detecting Crowded Trades in Currency Funds
By Momtchil Pojarliev, Hathersage Capital Management LLC and Richard M. Levich, Finance Department, New York University's Leonard N. Stern School of Business
In their paper, they propose a methodology to measure crowded trades and apply it to professional currency managers. They also offer useful insights regarding the popularity of certain trades – in currencies, gold, or other assets – among hedge funds.
Download the full article here.
From the January 2010 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
In their paper, they propose a methodology to measure crowded trades and apply it to professional currency managers. They also offer useful insights regarding the popularity of certain trades – in currencies, gold, or other assets – among hedge funds.
Download the full article here.
From the January 2010 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Labels: Barclay Insider Report, Barclay Insider Report Guest Article, currency funds
November Hedge and CTA Performance
Hedge funds had a positive month in November reflected by gains in fourteen of our eighteen indices. The average return for the 2,682 hedge funds (ex. FoFs) that have so far reported a November return is +1.33%. The estimates for December, along with the number of funds reporting for each of our 18 sectors can be found at the link below. These indices are being continually updated as current returns for the underlying hedge funds are recorded into our system. As of this writing, 16 of 18 hedge fund sectors are showing positive returns for December.
Commodity Trading Advisor performance for November as measured by the Barclay CTA Index averaged +2.28%. December's estimate based on the performance of the Barclay BTOP50 Index is -2.34%.
Hedge Fund Indices Managed Futures Indices
From the January 2010 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Commodity Trading Advisor performance for November as measured by the Barclay CTA Index averaged +2.28%. December's estimate based on the performance of the Barclay BTOP50 Index is -2.34%.
Hedge Fund Indices Managed Futures Indices
From the January 2010 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Labels: Barclay Insider Report, commodity trading advisor, CTA, hedge fund performance
Tuesday, December 8, 2009
Has There Been Excessive Speculation in the US Oil Futures Markets?
By Hilary Till, Research Associate, EDHEC-Risk Institute and Principal, Premia Capital Management, LLC
In her paper she examines whether speculative position-taking has been excessive relative to commercial hedging needs in the exchange-traded oil derivatives markets over the past three years.
Download the full article here.
From the December 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
In her paper she examines whether speculative position-taking has been excessive relative to commercial hedging needs in the exchange-traded oil derivatives markets over the past three years.
Download the full article here.
From the December 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Labels: Barclay Insider Report, Barclay Insider Report Guest Article, commodities, commodity trading advisor, CTA, managed futures
A New Look at Building Teamwork Portfolios
By Galen Burghardt and Lianyan Liu, Alternative Investments Group of Newedge
In their paper, they examine portfolios using metrics that appear to have predictive power – correlations and volatility - and find that these “teamwork” portfolios exhibit less turnover, lower transaction costs and provide an intriguing approach to portfolio construction.
Download the full article here.
From the December 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
In their paper, they examine portfolios using metrics that appear to have predictive power – correlations and volatility - and find that these “teamwork” portfolios exhibit less turnover, lower transaction costs and provide an intriguing approach to portfolio construction.
Download the full article here.
From the December 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Labels: Barclay Insider Report, Barclay Insider Report Guest Article, hedge funds
October Hedge Fund and CTA Performance
Hedge funds were slightly down in October even though nine of our eighteen hedge fund indices measured gains. The average return for the 2,631 hedge funds (ex. FoFs) that have so far reported an October return is -0.14%. The estimates for November, along with the number of funds reporting for each of our 18 sectors can be found at the link below. These indices are being continually updated as current returns for the underlying hedge funds are recorded into our system. As of this writing, 15 of 18 hedge fund sectors are showing positive returns for November.
Commodity Trading Advisor performance for October as measured by the Barclay CTA Index averaged -0.97%. November's estimate based on the performance of the Barclay BTOP50 Index is +1.96%.
Hedge Fund Indices Managed Futures Indices
From the December 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Commodity Trading Advisor performance for October as measured by the Barclay CTA Index averaged -0.97%. November's estimate based on the performance of the Barclay BTOP50 Index is +1.96%.
Hedge Fund Indices Managed Futures Indices
From the December 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Labels: Barclay Insider Report, commodity trading advisor, hedge fund performance
Tuesday, November 10, 2009
The End of Emerging Markets?
Everest Capital contributes this month's special report.
In their paper they explore how distinctions between emerging and developing markets are disappearing. Yet, there is one measure by which there is still a distinction, and for that reason, investors should focus more on emerging markets than developed markets.
Download the full article here.
From the November 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
In their paper they explore how distinctions between emerging and developing markets are disappearing. Yet, there is one measure by which there is still a distinction, and for that reason, investors should focus more on emerging markets than developed markets.
Download the full article here.
From the November 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Labels: Barclay Insider Report, Barclay Insider Report Guest Article, hedge fund research, hedge funds
Do Hedge Fund Managers have Stock-Picking Skills?
By Wesley R. Gray, University of Chicago, Booth School of Business
In his paper he studies novel data, from a confidential website, where a select group of fundamental-based hedge fund managers share investment ideas. Evidence suggests that the managers’ long recommendations earn economic and statically significant long-term abnormal returns.
Download the full article here.
From the November 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
In his paper he studies novel data, from a confidential website, where a select group of fundamental-based hedge fund managers share investment ideas. Evidence suggests that the managers’ long recommendations earn economic and statically significant long-term abnormal returns.
Download the full article here.
From the November 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Labels: Barclay Insider Report, Barclay Insider Report Guest Article, hedge fund research, hedge funds
September Hedge Fund and CTA Performance
Hedge funds had a positive month in September reflected by gains in seventeen of our eighteen indices. The average return for the 2,685 hedge funds (ex. FoFs) that have so far reported a September return is +3.21%. The estimates for October, along with the number of funds reporting for each of our 18 sectors can be found at the link below. These indices are being continually updated as current returns for the underlying hedge funds are recorded into our system. As of this writing, 10 of 18 hedge fund sectors are showing negatives returns for October.
Commodity Trading Advisor performance for September as measured by the Barclay CTA Index averaged +0.97%. October's estimate based on the performance of the Barclay BTOP50 Index is -1.31%.
Hedge Fund Indices Managed Futures Indices
From the November 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Commodity Trading Advisor performance for September as measured by the Barclay CTA Index averaged +0.97%. October's estimate based on the performance of the Barclay BTOP50 Index is -1.31%.
Hedge Fund Indices Managed Futures Indices
From the November 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Labels: Barclay Insider Report, commodity trading advisor, CTA, hedge fund performance
Wednesday, October 7, 2009
August Hedge Fund and CTA Performance
Hedge funds had a positive month in August reflected by gains in sixteen of our eighteen indices. The average return for the 2,639 hedge funds (ex. FoFs) that have so far reported an August return is +1.78%. The estimates for September, along with the number of funds reporting for each of our 18 sectors can be found at the link below. These indices are being continually updated as current returns for the underlying hedge funds are recorded into our system. As of this writing, 16 of 18 hedge fund sectors are showing positive returns for September.
Commodity Trading Advisor performance for August as measured by the Barclay CTA Index averaged +0.43%. September's estimate based on the performance of the Barclay BTOP50 Index is +1.15%
Hedge Fund Indices Managed Futures Indices
From the October 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Commodity Trading Advisor performance for August as measured by the Barclay CTA Index averaged +0.43%. September's estimate based on the performance of the Barclay BTOP50 Index is +1.15%
Hedge Fund Indices Managed Futures Indices
From the October 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Labels: Barclay Insider Report, commodity trading advisor, hedge fund performance
Tuesday, October 6, 2009
On the Consistency of Hedge Fund Indexes Across Providers
By Oliver Dietiker, University of Basel
In his paper, he defines a procedure for analyzing the consistency of hedge fund index returns among hedge fund data providers.
Download the full article here.
From the October 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
In his paper, he defines a procedure for analyzing the consistency of hedge fund index returns among hedge fund data providers.
Download the full article here.
From the October 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Labels: Barclay Insider Report, Barclay Insider Report Guest Article, hedge fund research, hedge funds
Friday, September 11, 2009
Applying a Global Optimization Algorithm to Fund of Hedge Funds Portfolio Optimization
By B. Minsky, International Asset Management Ltd, M. Obradovic, School of Mathematical and Physical Sciences, Sussex University, Q. Tang, School of Mathematical and Physical Sciences, Sussex University, and R. Thapar, International Asset Management Ltd
In their paper they evaluate the value of global search optimization algorithms applied to fund of hedge fund portfolios.
Download the full article here.
From the September 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
In their paper they evaluate the value of global search optimization algorithms applied to fund of hedge fund portfolios.
Download the full article here.
From the September 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Labels: Barclay Insider Report, Barclay Insider Report Guest Article, FoF, hedge fund research
July Hedge Fund and CTA Performance
Hedge funds had a positive month in July reflected by gains in sixteen of our eighteen indices. The average return for the 2,583 hedge funds (ex. FoFs) that have so far reported a July return is +2.81%. The estimates for August, along with the number of funds reporting for each of our 18 sectors can be found at the link below. These indices are being continually updated as current returns for the underlying hedge funds are recorded into our system. As of this writing, 16 of 18 hedge fund sectors are showing positive returns for August.
Commodity Trading Advisor performance for July as measured by the Barclay CTA Index averaged -0.23%. August's estimate based on the performance of the Barclay BTOP50 Index is +0.21%.
Hedge Fund Indices Managed Futures Indices
From the September 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Commodity Trading Advisor performance for July as measured by the Barclay CTA Index averaged -0.23%. August's estimate based on the performance of the Barclay BTOP50 Index is +0.21%.
Hedge Fund Indices Managed Futures Indices
From the September 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Labels: Barclay Insider Report, commodity trading advisor, hedge fund performance
Tuesday, August 11, 2009
What is the Optimal Number of Managers in a Fund of Hedge Funds?
By Greg N. Gregoriou, Professor of Finance, State University of New York and Razvan Pascalau, Assistant Professor of Economics, State University of New York
In their paper they investigate the level and the determinants of the optimal number of hedge fund managers in a fund of hedge funds, and analyze its impact on performance.
Download the full article here.
From the August 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
In their paper they investigate the level and the determinants of the optimal number of hedge fund managers in a fund of hedge funds, and analyze its impact on performance.
Download the full article here.
From the August 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Labels: Barclay Insider Report, Barclay Insider Report Guest Article, hedge fund performance, hedge fund research, hedge funds
June Hedge Fund and Commodity Trading Advisor Performance
Hedge funds had a positive month in June reflected by gains in fourteen of our eighteen indices. The average return for the 2,612 hedge funds (ex. FoFs) that have so far reported a June return is +0.36. The estimates for July, along with the number of funds reporting for each of our 18 sectors can be found at the link below. These indices are being continually updated as current returns for the underlying hedge funds are recorded into our system. As of this writing, 16 of 18 hedge fund sectors are showing positive returns for July.
Commodity Trading Advisor performance for June as measured by the Barclay CTA Index averaged -0.84%. July's estimate based on the performance of the Barclay BTOP50 Index is -0.45%.
Hedge Fund Indices Managed Futures Indices
From the August 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Commodity Trading Advisor performance for June as measured by the Barclay CTA Index averaged -0.84%. July's estimate based on the performance of the Barclay BTOP50 Index is -0.45%.
Hedge Fund Indices Managed Futures Indices
From the August 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Labels: Barclay Insider Report, commodity trading advisor, hedge fund performance
Thursday, July 9, 2009
Investor Irrationality and Closed-End Hedge Funds
By Oliver Dietiker, University of Basel
In his paper, he finds that while investors act rationally most of the time, many acted irrationally when faced with the worsening economic conditions in the second half of 2008.
Download the full article here.
From the July 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
In his paper, he finds that while investors act rationally most of the time, many acted irrationally when faced with the worsening economic conditions in the second half of 2008.
Download the full article here.
From the July 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Labels: Barclay Insider Report, Barclay Insider Report Guest Article, hedge fund research, hedge funds
May Commodity Trading Advisor and Hedge Fund Performance
Commodity Trading Advisor performance for May as measured by the Barclay CTA Index averaged 2.70%. June's estimate based on the performance of the Barclay BTOP50 Index is
-1.62%.
Hedge funds had a positive month in May reflected by gains in seventeen of our eighteen indices. The average return for the 2,620 hedge funds (ex. FoFs) that have so far reported a May return is 5.52%. The estimates for June, along with the number of funds reporting for each of our 18 sectors can be found at the link below. These indices are being continually updated as current returns for the underlying hedge funds are recorded into our system. As of this writing, 13 of 18 hedge fund sectors are showing positive returns for June.
Hedge Fund Indices Managed Futures Indices
From the July 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
-1.62%.
Hedge funds had a positive month in May reflected by gains in seventeen of our eighteen indices. The average return for the 2,620 hedge funds (ex. FoFs) that have so far reported a May return is 5.52%. The estimates for June, along with the number of funds reporting for each of our 18 sectors can be found at the link below. These indices are being continually updated as current returns for the underlying hedge funds are recorded into our system. As of this writing, 13 of 18 hedge fund sectors are showing positive returns for June.
Hedge Fund Indices Managed Futures Indices
From the July 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Labels: Barclay Insider Report, commodity trading advisor, hedge fund performance
Friday, June 12, 2009
Skill, Luck and the Multi-Product Firm: Evidence from Hedge Funds
By Rui J.P. de Figueiredo, University of California, Berkeley and Evan Rawley, University of Pennsylvania
Their paper finds that both idiosyncratic performance shocks and systematic differences in skill influence diversification decisions.
Download the full article here.
From the June 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Their paper finds that both idiosyncratic performance shocks and systematic differences in skill influence diversification decisions.
Download the full article here.
From the June 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Labels: Barclay Insider Report, Barclay Insider Report Guest Article, hedge funds
April Commodity Trading Advisor and Hedge Fund Performance
Commodity Trading Advisor performance for April as measured by the Barclay CTA Index averaged -0.72%. May's estimate based on the performance of the Barclay BTOP50 Index is 1.34%.
Hedge funds had a positive month in April reflected by gaines in sixteen of our eighteen indices. The average return for the 2,524 hedge funds (ex. FoFs) that have so far reported an April return is 4.21%. The estimates for May, along with the number of funds reporting for each of our 18 sectors can be found at the link below. These indices are being continually updated as current returns for the underlying hedge funds are recorded into our system. As of this writing, 18 of 18 hedge fund sectors are showing positive returns for May.
Hedge Fund Indices Managed Futures Indices
From the June 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Hedge funds had a positive month in April reflected by gaines in sixteen of our eighteen indices. The average return for the 2,524 hedge funds (ex. FoFs) that have so far reported an April return is 4.21%. The estimates for May, along with the number of funds reporting for each of our 18 sectors can be found at the link below. These indices are being continually updated as current returns for the underlying hedge funds are recorded into our system. As of this writing, 18 of 18 hedge fund sectors are showing positive returns for May.
Hedge Fund Indices Managed Futures Indices
From the June 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Labels: Barclay Insider Report, commodity trading advisor, hedge fund performance
Wednesday, May 13, 2009
Crowded Chickens Farm Fewer Eggs - Capacity Constraints in the Hedge Fund Industry Revisited
By Oliver Weidenmüller, PhD Candidate, Rotterdam School of Management, Erasmus University and Marno Verbeek, Professor of Finance, Rotterdam School of Management, Erasmus University
Their paper examines how performance is impacted by fund size and inflows.
Download the full article here.
From the May 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Their paper examines how performance is impacted by fund size and inflows.
Download the full article here.
From the May 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Labels: Barclay Insider Report, Barclay Insider Report Guest Article, hedge fund performance, hedge fund risk analysis, hedge funds
March Commodity Trading Advisor and Hedge Fund Performance
Commodity Trading Advisor performance for March as measured by the Barclay CTA Index averaged -1.46%. April's estimate based on the performance of the Barclay BTOP50 Index is -1.45%.
Hedge funds had a positive month in March reflected by gaines in fifteen of our eighteen indices. The average return for the 2,515 hedge funds (ex. FoFs) that have so far reported a March return is 2.04%. The estimates for April, along with the number of funds reporting for each of our 18 sectors can be found at the link below. These indices are being continually updated as current returns for the underlying hedge funds are recorded into our system. As of this writing, 16 of 18 hedge fund sectors are showing positive returns for April.
Hedge Fund Indices Managed Futures Indices
From the May 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Hedge funds had a positive month in March reflected by gaines in fifteen of our eighteen indices. The average return for the 2,515 hedge funds (ex. FoFs) that have so far reported a March return is 2.04%. The estimates for April, along with the number of funds reporting for each of our 18 sectors can be found at the link below. These indices are being continually updated as current returns for the underlying hedge funds are recorded into our system. As of this writing, 16 of 18 hedge fund sectors are showing positive returns for April.
Hedge Fund Indices Managed Futures Indices
From the May 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Labels: Barclay Insider Report, commodity trading advisor, hedge fund performance
Monday, April 13, 2009
The Good, the Bad or the Expensive? Which Mutual Fund Managers Join Hedge Funds?
By Prachi Deuskar, Department of Finance, College of Business, University of Illinois at Urbana; Joshua M. Pollet, Department of Finance, Goizueta Business School, Emory University; Z. Jay Wang, Department of Finance, College of Business, University of Illinois at Urbana; and Lu Zheng, Department of Finance, Paul Merage School of Business, University of California Irvine
Their paper investigates the decisions mutual fund management companies make when facing direct competition for managerial talent from the hedge fund industry.
Download the full article here.
From the April 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Their paper investigates the decisions mutual fund management companies make when facing direct competition for managerial talent from the hedge fund industry.
Download the full article here.
From the April 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Labels: Barclay Insider Report, Barclay Insider Report Guest Article
February Commodity Trading Advisor and Hedge Fund Performance
Commodity Trading Advisor performance for February as measured by the Barclay CTA Index averaged -0.20%. March's estimate based on the performance of the Barclay BTOP50 Index is -2.02%.
Hedge funds had a negative month in February reflected by losses in fourteen of our eighteen indices. The average return for the 2,529 hedge funds (ex. FoFs) that have so far reported a February return is -1.44%. The estimates for March, along with the number of funds reporting for each of our 18 sectors can be found at the link below. These indices are being continually updated as current returns for the underlying hedge funds are recorded into our system. As of this writing, 13 of 18 hedge fund sectors are showing positive returns for March.
Hedge Fund Indices Managed Futures Indices
From the April 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Hedge funds had a negative month in February reflected by losses in fourteen of our eighteen indices. The average return for the 2,529 hedge funds (ex. FoFs) that have so far reported a February return is -1.44%. The estimates for March, along with the number of funds reporting for each of our 18 sectors can be found at the link below. These indices are being continually updated as current returns for the underlying hedge funds are recorded into our system. As of this writing, 13 of 18 hedge fund sectors are showing positive returns for March.
Hedge Fund Indices Managed Futures Indices
From the April 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Labels: Barclay Insider Report, commodity trading advisor, hedge fund performance
Tuesday, March 17, 2009
Performance Bias from Strategic Asset Allocation: The Case of Funds of Hedge Funds
By Dr. Oliver A. Schwindler, Department of Finance, Bamberg University
The paper examines a possible performance bias which could arise from strategic asset allocation and its impact on the performance of an actively managed portfolio of funds of hedge funds.
Download the full article here
From the March 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
The paper examines a possible performance bias which could arise from strategic asset allocation and its impact on the performance of an actively managed portfolio of funds of hedge funds.
Download the full article here
From the March 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Labels: Barclay Insider Report, Barclay Insider Report Guest Article
January Commodity Trading Advisor and Hedge Fund Performance
Commodity Trading Advisor performance for January as measured by the Barclay CTA Index averaged -0.22%. February's estimate based on the performance of the Barclay BTOP50 Index is 0.0%.
Hedge funds had a mixed month in January reflected by gains in thirteen of our eighteen indices. The average return for the 2,417 hedge funds (ex. FoFs) that have so far reported a January return is -0.13%. The estimates for February, along with the number of funds reporting for each of our 18 sectors can be found at the link below. These indices are being continually updated as current returns for the underlying hedge funds are recorded into our system. As of this writing, 14 of 18 hedge fund sectors are showing negative returns for February.
Hedge Fund Indices Managed Futures Indices
From the March 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Labels: Barclay Insider Report, commodity trading advisor, hedge fund performance
Monday, February 9, 2009
Selectivity and Timing Performance of Funds of Hedge Funds: A Time-Varying Approach
By Dr. Marco Rummer, Saïd Business School, Oxford University; and Dr. Oliver A. Schwindler, Department of Finance, Bamberg University
Their paper presents evidence that selectivity and timing performance can be regarded as a good discriminating factor for superior funds of hedge funds.
Download the full article here
From the February 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Their paper presents evidence that selectivity and timing performance can be regarded as a good discriminating factor for superior funds of hedge funds.
Download the full article here
From the February 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Labels: Barclay Insider Report, Barclay Insider Report Guest Article, FoF, funds of hedge funds, hedge fund performance, hedge fund research
December Commodity Trading Advisor and Hedge Fund Performance
Commodity Trading Advisor performance for December as measured by the Barclay CTA Index averaged +1.24%. January's estimate based on the performance of the Barclay BTOP50 Index is -0.10%.
Hedge funds had a positive month in December reflected by gains in fourteen of our eighteen indices. The average return for the 2,443 hedge funds (ex. FoFs) that have so far reported a December return is +0.50%. The estimates for January, along with the number of funds reporting for each of our 18 sectors can be found at the link below. These indices are being continually updated as current returns for the underlying hedge funds are recorded into our system. As of this writing, 14 of 18 hedge fund sectors are showing positive returns for January.
Hedge Fund Indices Managed Futures Indices
From the February 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Labels: Barclay Insider Report, commodity trading advisor, hedge fund performance
Friday, January 9, 2009
Recovering Delisting Returns of Hedge Fund
By James E. Hodder, Professor - Finance, Investment and Banking, University of Wisconsin-Madison; Dr. Jens Jackwerth, Head Dept of Economics, University of Konstanz; and Olga Kolokolova, Research Asst., University of Konstanz
Their paper examines the issue of hedge fund performance estimation when a fund has stopped reporting returns to a commercial database and whether or not a return should be attributed to funds for the period they stop reporting.
Download the full article here
From the January 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Their paper examines the issue of hedge fund performance estimation when a fund has stopped reporting returns to a commercial database and whether or not a return should be attributed to funds for the period they stop reporting.
Download the full article here
From the January 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Labels: Barclay Insider Report, Barclay Insider Report Guest Article, currency funds, funds of hedge funds, hedge fund performance, hedge fund research, hedge fund risk, hedge funds
November Commodity Trading Advisor and Hedge Fund Performance
Commodity Trading Advisor performance for November as measured by the Barclay CTA Index averaged +1.86%. December's estimate based on the performance of the Barclay BTOP50 Index is +1.02%.
Hedge funds had another down month in November reflected by losses in sixteen of our eighteen indices. The average return for the 2,494 hedge funds (ex. FoFs) that have so far reported an November return is -2.69%. The estimates for December, along with the number of funds reporting for each of our 18 sectors can be found at the link below. These indices are being continually updated as current returns for the underlying hedge funds are recorded into our system. As of this writing, 16 of 18 hedge fund sectors are showing positive returns for December.
Hedge Fund Indices Managed Futures Indices
From the January 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Hedge funds had another down month in November reflected by losses in sixteen of our eighteen indices. The average return for the 2,494 hedge funds (ex. FoFs) that have so far reported an November return is -2.69%. The estimates for December, along with the number of funds reporting for each of our 18 sectors can be found at the link below. These indices are being continually updated as current returns for the underlying hedge funds are recorded into our system. As of this writing, 16 of 18 hedge fund sectors are showing positive returns for December.
Hedge Fund Indices Managed Futures Indices
From the January 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Labels: Barclay Insider Report, commodity trading advisor, hedge fund performance
Thursday, December 11, 2008
The Impact of Hedge Fund Family Membership on Performance and Market Share
By Nicole M. Boyson, Assistant Professor of Finance, Northeastern University
The paper investigates why hedge funds from small fund families outperform those from large fund families.
Download the full article here
From the December 2008 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
The paper investigates why hedge funds from small fund families outperform those from large fund families.
Download the full article here
From the December 2008 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Labels: Barclay Insider Report, Barclay Insider Report Guest Article, hedge fund performance, hedge funds
Tuesday, December 9, 2008
October Commodity Trading Advisor and Hedge Fund Performance
Commodity Trading Advisor performance for October as measured by the Barclay CTA Index averaged +3.62%. November's estimate based on the performance of the Barclay BTOP50 Index is +1.74%.
Hedge funds had another down month in October reflected by losses in fifteen of our eighteen indices. The average return for the 2,653 hedge funds (ex. FoFs) that have so far reported an October return is -8.07%. The estimates for November, along with the number of funds reporting for each of our 18 sectors can be found at the link below. These indices are being continually updated as current returns for the underlying hedge funds are recorded into our system. As of this writing, 14 of 18 hedge fund sectors are showing negative returns for November.
Hedge Fund Indices and Managed Futures Indices
Hedge funds had another down month in October reflected by losses in fifteen of our eighteen indices. The average return for the 2,653 hedge funds (ex. FoFs) that have so far reported an October return is -8.07%. The estimates for November, along with the number of funds reporting for each of our 18 sectors can be found at the link below. These indices are being continually updated as current returns for the underlying hedge funds are recorded into our system. As of this writing, 14 of 18 hedge fund sectors are showing negative returns for November.
Hedge Fund Indices and Managed Futures Indices
From the December 2008 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Labels: Barclay Insider Report, commodity trading advisor, hedge fund performance
Friday, November 14, 2008
September Commodity Trading Advisor and Hedge Fund Performance
Commodity Trading Advisor performance for September as measured by the Barclay CTA Index averaged -0.08%. October's estimate based on the performance of the Barclay BTOP50 Index is +3.90%.
Hedge funds had another down month in September reflected by losses in seventeen of our eighteen indices. The average return for the 2,823 hedge funds (ex. FoFs) that have so far reported a September return is -6.93%. The estimates for October, along with the number of funds reporting for each of our 18 sectors can be found at the link below. These indices are being continually updated as current returns for the underlying hedge funds are recorded into our system. As of this writing, 16 of 18 hedge fund sectors are showing negative returns for October.
Hedge Fund Indices and Managed Futures Indices
From the November 2008 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Hedge funds had another down month in September reflected by losses in seventeen of our eighteen indices. The average return for the 2,823 hedge funds (ex. FoFs) that have so far reported a September return is -6.93%. The estimates for October, along with the number of funds reporting for each of our 18 sectors can be found at the link below. These indices are being continually updated as current returns for the underlying hedge funds are recorded into our system. As of this writing, 16 of 18 hedge fund sectors are showing negative returns for October.
Hedge Fund Indices and Managed Futures Indices
From the November 2008 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Labels: Barclay Insider Report, commodity trading advisor, hedge fund performance
Wednesday, November 12, 2008
How Successful is the G7 in Managing Exchange Rates?
By Marcel Fratzscher, Senior Adviser, European Central Bank, Frankfurt am Main, Germany
The paper assesses the extent to which the Group of Seven (G7) has been successful in its management of major currencies since the 1970s.
Download the full article here
From the November 2008 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
The paper assesses the extent to which the Group of Seven (G7) has been successful in its management of major currencies since the 1970s.
Download the full article here
From the November 2008 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Labels: Barclay Insider Report, Barclay Insider Report Guest Article, currency funds
Tuesday, October 7, 2008
August Commodity Trading Advisor and Hedge Fund Performance
Commodity Trading Advisor performance for August as measured by the Barclay CTA Index averaged +0.12%. September's estimate based on the performance of the Barclay BTOP50 Index is +0.28%.
Hedge funds had another down month in August reflected by losses in fourteen of our eighteen indices. The average return for the 2,938 hedge funds (ex. FoFs) that have so far reported an August return is -1.25%. The estimates for September, along with the number of funds reporting for each of our 18 sectors can be found at the link below. These indices are being continually updated as current returns for the underlying hedge funds are recorded into our system. As of this writing, 17 of 18 hedge fund sectors are showing negative returns for September.
Hedge Fund Indices and Managed Futures Indices
From the October 2008 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Hedge funds had another down month in August reflected by losses in fourteen of our eighteen indices. The average return for the 2,938 hedge funds (ex. FoFs) that have so far reported an August return is -1.25%. The estimates for September, along with the number of funds reporting for each of our 18 sectors can be found at the link below. These indices are being continually updated as current returns for the underlying hedge funds are recorded into our system. As of this writing, 17 of 18 hedge fund sectors are showing negative returns for September.
Hedge Fund Indices and Managed Futures Indices
From the October 2008 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Labels: Barclay Insider Report, commodity trading advisor, hedge fund performance
Tuesday, September 9, 2008
Trades of the Living Dead: Style Differences, Style Persistence and Performance of Currency Fund Managers
By Momtchil Pojarliev, Head of Currencies at Hermes Investment Management Limited and Richard M. Levich, Professor of Finance and International Business and Deputy Chair of the Department of Finance at New York University's Leonard N. Stern School of Business
Takes a close look at the returns of professional currency managers and examines the difference in performance between funds that survive and those that do not.
Download the full article here
From the September 2008 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Takes a close look at the returns of professional currency managers and examines the difference in performance between funds that survive and those that do not.
Download the full article here
From the September 2008 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Labels: Barclay Insider Report, Barclay Insider Report Guest Article, currency funds
July Commodity Trading Advisor and Hedge Fund Performance
Commodity Trading Advisor performance for June as measured by the Barclay CTA Index averaged +1.99%. July’s estimate based on the performance of the Barclay BTOP50 Index is -1.48%.
Hedge funds had a down month in June reflected by losses in thirteen of our eighteen indexes. The average return for the 2,968 hedge funds (ex. FoFs) that have so far reported a June return is -1.67%. The estimates for July, along with the number of funds reporting for each of our 18 sectors can be found at the link below. These indices are being continually updated as current returns for the underlying hedge funds are recorded into our system. As of this writing, 15 of 18 hedge fund sectors are showing negative returns for July.
Hedge Fund Indices and Managed Futures Indices
From the September 2008 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Hedge funds had a down month in June reflected by losses in thirteen of our eighteen indexes. The average return for the 2,968 hedge funds (ex. FoFs) that have so far reported a June return is -1.67%. The estimates for July, along with the number of funds reporting for each of our 18 sectors can be found at the link below. These indices are being continually updated as current returns for the underlying hedge funds are recorded into our system. As of this writing, 15 of 18 hedge fund sectors are showing negative returns for July.
Hedge Fund Indices and Managed Futures Indices
From the September 2008 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Labels: Barclay Insider Report, commodity trading advisor, hedge fund performance
Thursday, August 7, 2008
June Commodity Trading Advisor and Hedge Fund Performance
Commodity Trading Advisor performance for June as measured by the Barclay CTA Index averaged +1.99%. July’s estimate based on the performance of the Barclay BTOP50 Index is -1.48%.
Hedge funds had a down month in June reflected by losses in thirteen of our eighteen indexes. The average return for the 2,968 hedge funds (ex. FoFs) that have so far reported a June return is -1.67%. The estimates for July, along with the number of funds reporting for each of our 18 sectors can be found at the link below. These indices are being continually updated as current returns for the underlying hedge funds are recorded into our system. As of this writing, 15 of 18 hedge fund sectors are showing negative returns for July.
Hedge Fund Indices and Managed Futures Indices
From the August 2008 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Hedge funds had a down month in June reflected by losses in thirteen of our eighteen indexes. The average return for the 2,968 hedge funds (ex. FoFs) that have so far reported a June return is -1.67%. The estimates for July, along with the number of funds reporting for each of our 18 sectors can be found at the link below. These indices are being continually updated as current returns for the underlying hedge funds are recorded into our system. As of this writing, 15 of 18 hedge fund sectors are showing negative returns for July.
Hedge Fund Indices and Managed Futures Indices
From the August 2008 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Labels: Barclay Insider Report, commodity trading advisor, hedge fund performance
Time Frames, Research Quality and Strategy: The Differentiating Factors for CTAs?
By Elliot Noma, Amal Alibair, and William T. Long of Asset Alliance Corporation
Examines the roles played by factors such as a CTA’s time frame for trades, trading strategy, and quality of in-house research in affecting manager returns.
Download the full article here
From the April 2008 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Examines the roles played by factors such as a CTA’s time frame for trades, trading strategy, and quality of in-house research in affecting manager returns.
Download the full article here
From the April 2008 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Labels: Barclay Insider Report, Barclay Insider Report Guest Article, CTA
The Rising Costs of Low U.S. Interest Rates
By Ryan Faulkner, President of Faulkner Capital Inc.
Examines the impact of the FOMC’s (Federal Open Market Committee's) decision to drastically reduce interest rates over the past year and its effect on the U.S. economy and global markets.
Download the full article here
From the August 2008 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.Labels: Barclay Insider Report, Federal Open Market Committee, FOMC, interest rates
Tuesday, July 8, 2008
May Commodity Trading Advisor and Hedge Fund Performance
Commodity Trading Advisor performance for May as measured by the Barclay CTA Index averaged +0.32%. June’s estimate based on the performance of the Barclay BTOP50 Index is +2.10%.
Hedge funds had a positive month in May reflected by gains in seventeen of our eighteen indices. The average return for the 3,008 hedge funds (ex. FoFs) that have so far reported a May return is +1.80%. The estimates for June, along with the number of funds reporting for each of our 18 sectors can be found at the link below. These indices are being continually updated as current returns for the underlying hedge funds are recorded into our system. As of this writing, 12 of 18 hedge fund sectors are showing negative returns for June.
Hedge Fund Indices and Managed Futures Indices
From the July 2008 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Hedge funds had a positive month in May reflected by gains in seventeen of our eighteen indices. The average return for the 3,008 hedge funds (ex. FoFs) that have so far reported a May return is +1.80%. The estimates for June, along with the number of funds reporting for each of our 18 sectors can be found at the link below. These indices are being continually updated as current returns for the underlying hedge funds are recorded into our system. As of this writing, 12 of 18 hedge fund sectors are showing negative returns for June.
Hedge Fund Indices and Managed Futures Indices
From the July 2008 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Labels: Barclay Insider Report, commodity trading advisor, managed futures
Credit Risk Transfer, Hedge Funds, and the Supply of Liquidity
By Heinz Zimmermann, Professor of Economics and Finance, Department of Finance at Wirtschaftswissenschaftliches Zentrum (WWZ), University of Basel, Switzerland
Discusses recent issues related to the transfer of credit risk from the perspective of global liquidity.
Download the full article here
From the July 2008 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Discusses recent issues related to the transfer of credit risk from the perspective of global liquidity.
Download the full article here
From the July 2008 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Labels: Barclay Insider Report, Barclay Insider Report Guest Article, credit risk
Monday, June 9, 2008
April Commodity Trading Advisor and Hedge Fund Performance
Commodity Trading Advisor performance for April as measured by the Barclay CTA Index averaged -0.40%. May’s estimate based on the performance of the Barclay BTOP50 Index is +1.29%.
Hedge funds had a positive month in April reflected by gains in seventeen of our eighteen indices. The average return for the 3,036 hedge funds (ex. FoFs) that have so far reported an April return is +1.92%. The estimates for May, along with the number of funds reporting for each of our 18 sectors can be found at the link below. These indices are being continually updated as current returns for the underlying hedge funds are recorded into our system. As of this writing, 17 of 18 hedge fund sectors are showing positive returns for May.
Hedge Fund Indices and Managed Futures Indices
From the April 2008 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Hedge funds had a positive month in April reflected by gains in seventeen of our eighteen indices. The average return for the 3,036 hedge funds (ex. FoFs) that have so far reported an April return is +1.92%. The estimates for May, along with the number of funds reporting for each of our 18 sectors can be found at the link below. These indices are being continually updated as current returns for the underlying hedge funds are recorded into our system. As of this writing, 17 of 18 hedge fund sectors are showing positive returns for May.
Hedge Fund Indices and Managed Futures Indices
From the April 2008 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Labels: Barclay Insider Report, commodity trading advisor, hedge funds, managed futures
Crisis and Hedge Fund Risk
By Monica Billio of the University of Venice - Department of Economics, Mila Getmansky of the University of Massachusetts at Amherst - Department of Finance & Operations Management, and Loriana Pelizzon of the University of Venice - Department of Economics
Studies the effect of financial crises on hedge fund risk.
Download the full article here
From the June 2008 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Labels: Barclay Insider Report, Barclay Insider Report Guest Article, hedge fund risk
Wednesday, May 7, 2008
A Portrait of Hedge Fund Investors: Flows, Performance and Smart Money
By G. Baquer of ESMT European School of Management and Technology and Marno Verbeek of Rotterdam School of Management, Erasmus University
Explores the flow-performance interrelation of hedge funds by separating the investment and divestment decisions of investors.
Download the full article here
From the May 2008 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Explores the flow-performance interrelation of hedge funds by separating the investment and divestment decisions of investors.
Download the full article here
From the May 2008 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Labels: Barclay Insider Report, Barclay Insider Report Guest Article, hedge funds
Tuesday, April 8, 2008
March Commodity Trading Advisor and Hedge Fund Performance
Commodity Trading Advisor performance for December as measured by the Barclay CTA Index averaged +2.07%. February’s estimate based on the performance of the Barclay BTOP50 Index is +3.97%.
Hedge funds had a down month in January reflected by losses in fifteen of our eighteen indexes. The average return for the 2978 hedge funds (ex. FoFs) that have so far reported a January return is -3.24%. The estimates for February, along with the number of funds reporting for each of our 18 sectors can be found at the link below. These indices are being continually updated as current returns for the underlying hedge funds are recorded into our system. As of this writing, 16 of 18 hedge fund sectors are showing positive returns for February.
Hedge Fund Indices and Managed Futures Indices
From the June 2008 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Hedge funds had a down month in January reflected by losses in fifteen of our eighteen indexes. The average return for the 2978 hedge funds (ex. FoFs) that have so far reported a January return is -3.24%. The estimates for February, along with the number of funds reporting for each of our 18 sectors can be found at the link below. These indices are being continually updated as current returns for the underlying hedge funds are recorded into our system. As of this writing, 16 of 18 hedge fund sectors are showing positive returns for February.
Hedge Fund Indices and Managed Futures Indices
From the June 2008 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Labels: Barclay Insider Report, commodity trading advisor, managed futures
Monday, March 10, 2008
Do Professional Currency Managers Beat the Benchmark?
By Momtchil Pojarliev, Hermes Investment Management Limited
and Richard M. Levich, New York University Stern School of Business, Finance Department
Investigates returns from 34 individual currency fund managers against returns of a professionally managed currency funds index. They examine the relationship of the returns against four factors representing returns based on carry trading, trend-following, value trading and currency volatility.
Download the full article
From the March 2008 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
and Richard M. Levich, New York University Stern School of Business, Finance Department
Investigates returns from 34 individual currency fund managers against returns of a professionally managed currency funds index. They examine the relationship of the returns against four factors representing returns based on carry trading, trend-following, value trading and currency volatility.
Download the full article
From the March 2008 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Labels: Barclay Insider Report, Barclay Insider Report Guest Article, foreign exchange, hedge funds
February Commodity Trading Advisor and Hedge Fund Performance
Commodity Trading Advisor performance for December as measured by the Barclay CTA Index averaged +2.07%. February’s estimate based on the performance of the Barclay BTOP50 Index is +3.97%.
Hedge funds had a down month in January reflected by losses in fifteen of our eighteen indexes. The average return for the 2978 hedge funds (ex. FoFs) that have so far reported a January return is -3.24%. The estimates for February, along with the number of funds reporting for each of our 18 sectors can be found at the link below. These indices are being continually updated as current returns for the underlying hedge funds are recorded into our system. As of this writing, 16 of 18 hedge fund sectors are showing positive returns for February.
Hedge Fund Indices and Managed Futures Indices
From the March 2008 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Hedge funds had a down month in January reflected by losses in fifteen of our eighteen indexes. The average return for the 2978 hedge funds (ex. FoFs) that have so far reported a January return is -3.24%. The estimates for February, along with the number of funds reporting for each of our 18 sectors can be found at the link below. These indices are being continually updated as current returns for the underlying hedge funds are recorded into our system. As of this writing, 16 of 18 hedge fund sectors are showing positive returns for February.
Hedge Fund Indices and Managed Futures Indices
From the March 2008 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Labels: Barclay Insider Report, commodity trading advisor, hedge funds, managed futures
Wednesday, February 6, 2008
Time Frames, Research Quality and Strategy: The Differentiating Factors for CTAs?
By Elliot Noma, Amal Alibair, and William T. Long of Asset Alliance Corporation
Examines the roles played by factors such as a CTA’s time frame for trades, trading strategy, and quality of in-house research in affecting manager returns.
Download the full article
From the February 2008 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Examines the roles played by factors such as a CTA’s time frame for trades, trading strategy, and quality of in-house research in affecting manager returns.
Download the full article
From the February 2008 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Labels: Barclay Insider Report, CTA, hedge fund research
January Commodity Trading Advisor and Hedge Fund Performance
Commodity Trading Advisor performance for December as measured by the Barclay CTA Index averaged +2.07%. February’s estimate based on the performance of the Barclay BTOP50 Index is +3.97%.
Hedge funds had a down month in January reflected by losses in fifteen of our eighteen indexes. The average return for the 2978 hedge funds (ex. FoFs) that have so far reported a January return is -3.24%. The estimates for February, along with the number of funds reporting for each of our 18 sectors can be found at the link below. These indices are being continually updated as current returns for the underlying hedge funds are recorded into our system. As of this writing, 16 of 18 hedge fund sectors are showing positive returns for February.
Hedge Fund Indices and Managed Futures Indices
From the February 2008 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Hedge funds had a down month in January reflected by losses in fifteen of our eighteen indexes. The average return for the 2978 hedge funds (ex. FoFs) that have so far reported a January return is -3.24%. The estimates for February, along with the number of funds reporting for each of our 18 sectors can be found at the link below. These indices are being continually updated as current returns for the underlying hedge funds are recorded into our system. As of this writing, 16 of 18 hedge fund sectors are showing positive returns for February.
Hedge Fund Indices and Managed Futures Indices
From the February 2008 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Labels: Barclay Insider Report, commodity trading advisor, hedge funds, managed futures
Is Managed Futures an Asset Class? The Search for the Beta of Commodity Futures
By Davide Accomazzo, Adjunct Professor of Finance, Pepperdine University, Graziadio School of Business; Principal, Managing Director, Cervino Capital Management, LLC and
Michael Frankfurter, Chief Investment Strategist, Managed Account Research, Inc.; Principal, Managing Director, Cervino Capital Management, LLC
“Is Managed Futures an Asset Class? The Search for the Beta of Commodity Futures” investigates potential sources of return to speculators in the commodity futures market.
From the February 2008 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.Labels: Barclay Insider Report, Barclay Insider Report Guest Article, hedge fund research
Monday, February 4, 2008
December Commodity Trading Advisor and Hedge Fund Performance
Commodity Trading Advisor performance for December as measured by the Barclay CTA Index averaged +1.24%. January’s estimate based on the performance of the Barclay BTOP50 Index is +0.84%.
Hedge funds had a positive month in December reflected by gains in fourteen of our eighteen indexes. The average return for the 3005 hedge funds (ex. FoFs) that have so far reported a December return is +0.55%. The estimates for January, along with the number of funds reporting for each of our 18 sectors can be found at the link below. These indices are being continually updated as current returns for the underlying hedge funds are recorded into our system. As of this writing, 14 of 18 hedge fund sectors are showing negative returns for January.
Hedge Fund Indices and Managed Futures Indices
From the February 2008 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Hedge funds had a positive month in December reflected by gains in fourteen of our eighteen indexes. The average return for the 3005 hedge funds (ex. FoFs) that have so far reported a December return is +0.55%. The estimates for January, along with the number of funds reporting for each of our 18 sectors can be found at the link below. These indices are being continually updated as current returns for the underlying hedge funds are recorded into our system. As of this writing, 14 of 18 hedge fund sectors are showing negative returns for January.
Hedge Fund Indices and Managed Futures Indices
From the February 2008 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Labels: Barclay Insider Report, commodity trading advisor, managed futures
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