Friday, March 5, 2010
The TrimTabs/BarclayHedge Currency Survey of Hedge Fund Managers
The topical study from the March 2010 issue of The Hedge Fund Flow Report. Gain insight into industry trends and hedge fund asset flows before you make your next important decision.
The Greek sovereign debt crisis and the U.S. dollar rally have drawn attention to currencies in the past month. We expect currencies to dominate other investment themes throughout 2010. Massive government spending and extreme monetary policy choices halted the 2008 crisis, but they also dramatically altered government balance sheets and monetary outlooks. We believe the market will adjust to these new realities through trial and error.
We surveyed hedge fund managers and currency traders in the BarclayHedge database about their expectations for the currency market. Specifically, we asked about their favorite currency in the short term, their opinion of the Greek debt crisis, and their view on long-term U.S. interest rates.
Our findings . . .
Accredited investors can read the entire article for free.
From the March 2010 issue of The Hedge Fund Flow Report. The Hedge Fund Flow Report combines the accuracy of the BarclayHedge database with the analytical insight of TrimTabs Investment Research. The report is generated by TrimTabs Investment Research using the most current data on thousands of hedge funds. An annual subscription includes 12 monthly updates as well as a spreadsheet containing historical flow aggregates by category.
To download a free sample of the entire TrimTabs Hedge Fund Flow Report, simply fill out this short request form.
The Greek sovereign debt crisis and the U.S. dollar rally have drawn attention to currencies in the past month. We expect currencies to dominate other investment themes throughout 2010. Massive government spending and extreme monetary policy choices halted the 2008 crisis, but they also dramatically altered government balance sheets and monetary outlooks. We believe the market will adjust to these new realities through trial and error.
We surveyed hedge fund managers and currency traders in the BarclayHedge database about their expectations for the currency market. Specifically, we asked about their favorite currency in the short term, their opinion of the Greek debt crisis, and their view on long-term U.S. interest rates.
Our findings . . .
Accredited investors can read the entire article for free.
From the March 2010 issue of The Hedge Fund Flow Report. The Hedge Fund Flow Report combines the accuracy of the BarclayHedge database with the analytical insight of TrimTabs Investment Research. The report is generated by TrimTabs Investment Research using the most current data on thousands of hedge funds. An annual subscription includes 12 monthly updates as well as a spreadsheet containing historical flow aggregates by category.
To download a free sample of the entire TrimTabs Hedge Fund Flow Report, simply fill out this short request form.
Labels: CTA, Hedge Fund Flow Topical Study, hedge funds
Friday, February 5, 2010
Do Hedge Fund Investors Care About “Fat-Tails” Risk?
The topical study from the February 2010 issue of The Hedge Fund Flow Report. Gain insight into industry trends and hedge fund asset flows before you make your next important decision.
Many academic studies teach; and the collapse in equity prices in 2008 reminds, that hedge funds are subject to brutal sell-offs one would not expect looking solely at the mean and variance of their historical returns. Kurtosis measures the risk of a highly implausible event coming to pass more frequently than one would expect from a normally distributed variable. Nassim Taleb popularized this notion in The Black Swan, his well-timed 2007 book.
We used the BarclayHedge database to measure the kurtosis of hedge fund returns and how it impacts hedge fund flows. We were especially interested to know if kurtosis is priced in, or if non-normal returns offer arbitrage opportunities for sophisticated investors.
We believe this study supplements the existing literature for three reasons:
Its simplicity - Our goal was not to run a battery of complex econometric tests on the data, but rather 1. to see whether hedge fund investors can hedge themselves from the problem of kurtosis. . . .
Accredited investors can read the entire article for free.
From the February 2010 issue of The Hedge Fund Flow Report. The Hedge Fund Flow Report combines the accuracy of the BarclayHedge database with the analytical insight of TrimTabs Investment Research. The report is generated by TrimTabs Investment Research using the most current data on thousands of hedge funds. An annual subscription includes 12 monthly updates as well as a spreadsheet containing historical flow aggregates by category.
To download a free sample of the entire TrimTabs Hedge Fund Flow Report, simply fill out this short request form.
Many academic studies teach; and the collapse in equity prices in 2008 reminds, that hedge funds are subject to brutal sell-offs one would not expect looking solely at the mean and variance of their historical returns. Kurtosis measures the risk of a highly implausible event coming to pass more frequently than one would expect from a normally distributed variable. Nassim Taleb popularized this notion in The Black Swan, his well-timed 2007 book.
We used the BarclayHedge database to measure the kurtosis of hedge fund returns and how it impacts hedge fund flows. We were especially interested to know if kurtosis is priced in, or if non-normal returns offer arbitrage opportunities for sophisticated investors.
We believe this study supplements the existing literature for three reasons:
Its simplicity - Our goal was not to run a battery of complex econometric tests on the data, but rather 1. to see whether hedge fund investors can hedge themselves from the problem of kurtosis. . . .
Accredited investors can read the entire article for free.
From the February 2010 issue of The Hedge Fund Flow Report. The Hedge Fund Flow Report combines the accuracy of the BarclayHedge database with the analytical insight of TrimTabs Investment Research. The report is generated by TrimTabs Investment Research using the most current data on thousands of hedge funds. An annual subscription includes 12 monthly updates as well as a spreadsheet containing historical flow aggregates by category.
To download a free sample of the entire TrimTabs Hedge Fund Flow Report, simply fill out this short request form.
Labels: CTA, Hedge Fund Flow Topical Study, hedge funds
Tuesday, January 12, 2010
Creative Destruction in the Hedge Fund Industry
The topical study from the January 2010 issue of The Hedge Fund Flow Report. Gain insight into industry trends and hedge fund asset flows before you make your next important decision.
Three main factors impact the size of the hedge fund industry - its returns, the flows into existing funds and the net creation (or liquidation) of hedge funds. Since we comment regularly on hedge fund flows and returns, we focused on hedge fund creations and liquidations.
We found that:
Accredited investors can read the entire article for free.
From the January 2010 issue of The Hedge Fund Flow Report. The Hedge Fund Flow Report combines the accuracy of the BarclayHedge database with the analytical insight of TrimTabs Investment Research. The report is generated by TrimTabs Investment Research using the most current data on thousands of hedge funds. An annual subscription includes 12 monthly updates as well as a spreadsheet containing historical flow aggregates by category.
To download a free sample of the entire TrimTabs Hedge Fund Flow Report, simply fill out this short request form.
Three main factors impact the size of the hedge fund industry - its returns, the flows into existing funds and the net creation (or liquidation) of hedge funds. Since we comment regularly on hedge fund flows and returns, we focused on hedge fund creations and liquidations.
We found that:
- The hedge fund industry lives in a very Darwinian world, i.e. 6.5% of hedge funds (in terms of assets) disappear every year while 6.9% are created. At this pace, it takes only 15 years to fully replace the hedge fund industry.
- The pace of hedge fund creation has slowed as the industry has matured. Fund launches represented 4.1% of hedge fund assets in 2008 and 2009, against 10.5% in 2002 and 2003.
- In terms of assets, liquidations have exceeded new fund launches in each of the past four years.
- 2009 was the worst year on record for fund launches. Fewer funds were launched and they started with far fewer assets (an average of $452 million …
Accredited investors can read the entire article for free.
From the January 2010 issue of The Hedge Fund Flow Report. The Hedge Fund Flow Report combines the accuracy of the BarclayHedge database with the analytical insight of TrimTabs Investment Research. The report is generated by TrimTabs Investment Research using the most current data on thousands of hedge funds. An annual subscription includes 12 monthly updates as well as a spreadsheet containing historical flow aggregates by category.
To download a free sample of the entire TrimTabs Hedge Fund Flow Report, simply fill out this short request form.
Labels: CTA, Hedge Fund Flow Topical Study, hedge funds
Monday, December 7, 2009
Analysis of the Smattering of Hedge Funds that Posted Positive Returns in 2008 and 2009
The topical study from the December 2009 issue of The Hedge Fund Flow Report. Gain insight into industry trends and hedge fund asset flows before you make your next important decision.
We have observed in previous studies that there was a dramatic mean reversion in hedge fund returns over the past two years. In this study, we focus on the handful of funds that outperformed their peers in both years. What are the common characteristics of these “star performers?” Is it possible to identify them ex ante?
We found that:
Hedge funds that outperformed their industry benchmarks in 2008 and 2009 are 24% larger than the average, though this is mostly due to their strong performance and lower than average redemptions in the past two years. . . .
We have observed in previous studies that there was a dramatic mean reversion in hedge fund returns over the past two years. In this study, we focus on the handful of funds that outperformed their peers in both years. What are the common characteristics of these “star performers?” Is it possible to identify them ex ante?
We found that:
- Less than 13% of all hedge funds posted positive returns in both 2008 and 2009. The bulk of hedge funds (68%) posted losses in 2008 and gains in 2009.
Accredited investors can read the entire article for free.
From the December 2009 issue of The Hedge Fund Flow Report. The Hedge Fund Flow Report combines the accuracy of the BarclayHedge database with the analytical insight of TrimTabs Investment Research. The report is generated by TrimTabs Investment Research using the most current data on thousands of hedge funds. An annual subscription includes 12 monthly updates as well as a spreadsheet containing historical flow aggregates by category.
To download a free sample of the entire TrimTabs Hedge Fund Flow Report, simply fill out this short request form.
Labels: CTA, Hedge Fund Flow Topical Study, hedge funds
Friday, November 6, 2009
Overview of 13F Filings for 2009 Q2
The topical study from the November 2009 issue of The Hedge Fund Flow Report. Gain insight into industry trends and hedge fund asset flows before you make your next important decision.
This week, we processed and analyzed 13F filings for the second quarter of 2009. 13F filings are filed by all large investment advisors and contain their equity positions.
We found that:
The top 100 institutional advisers overweighted Industrials in the second quarter. In addition, they rebalanced heavily towards Financials and Consumer Discretionary, which could explain the strong performance in those sectors.
The top 85 hedge funds continue to overweight Health Care stocks and underweight Consumer Staples stocks. . . .
Accredited investors can read the entire article for free.
From the November 2009 issue of The Hedge Fund Flow Report. The Hedge Fund Flow Report combines the accuracy of the BarclayHedge database with the analytical insight of TrimTabs Investment Research. The report is generated by TrimTabs Investment Research using the most current data on thousands of hedge funds. An annual subscription includes 12 monthly updates as well as a spreadsheet containing historical flow aggregates by category.
To download a free sample of the entire TrimTabs Hedge Fund Flow Report, simply fill out this short request form.
Labels: CTA, Hedge Fund Flow Topical Study, hedge funds
Friday, October 9, 2009
Are We There Yet? How Many Hedge Funds Are Reaching New High Water Marks?
The topical study from the October 2009 issue of The Hedge Fund Flow Report. Gain insight into industry trends and hedge fund asset flows before you make your next important decision.
In March, we predicted that hedge fund revenues would drop 67% in 2009 because hedge funds were far off their high water marks. The recent rally has made our estimate too conservative. It seems that the industry has almost climbed back to its pre-Lehman levels.
In this study, we find that:
Hedge funds are now only 8.9% off their high water mark compared to a 17.2% gap in November 2008.
A robust 22.2% of hedge funds reached new high water marks in August, but more than half of the industry is still “working for free (other than the usual management fee).”
Relatively few hedge funds are at high water marks despite the industry’s record run in the past six months, because the biggest winners this year were last year’s biggest losers. . . .
Accredited investors can read the entire article for free.
From the October 2009 issue of The Hedge Fund Flow Report. The Hedge Fund Flow Report combines the accuracy of the BarclayHedge database with the analytical insight of TrimTabs Investment Research. The report is generated by TrimTabs Investment Research using the most current data on thousands of hedge funds. An annual subscription includes 12 monthly updates as well as a spreadsheet containing historical flow aggregates by category.
To download a free sample of the entire TrimTabs Hedge Fund Flow Report, simply fill out this short request form.
In March, we predicted that hedge fund revenues would drop 67% in 2009 because hedge funds were far off their high water marks. The recent rally has made our estimate too conservative. It seems that the industry has almost climbed back to its pre-Lehman levels.
In this study, we find that:
Hedge funds are now only 8.9% off their high water mark compared to a 17.2% gap in November 2008.
A robust 22.2% of hedge funds reached new high water marks in August, but more than half of the industry is still “working for free (other than the usual management fee).”
Relatively few hedge funds are at high water marks despite the industry’s record run in the past six months, because the biggest winners this year were last year’s biggest losers. . . .
Accredited investors can read the entire article for free.
From the October 2009 issue of The Hedge Fund Flow Report. The Hedge Fund Flow Report combines the accuracy of the BarclayHedge database with the analytical insight of TrimTabs Investment Research. The report is generated by TrimTabs Investment Research using the most current data on thousands of hedge funds. An annual subscription includes 12 monthly updates as well as a spreadsheet containing historical flow aggregates by category.
To download a free sample of the entire TrimTabs Hedge Fund Flow Report, simply fill out this short request form.
Labels: CTA, Hedge Fund Flow Topical Study, hedge funds
Friday, September 11, 2009
Last Year’s Biggest Losers Outperform Dramatically This Year
The topical study from the September 2009 issue of The Hedge Fund Flow Report. Gain insight into industry trends and hedge fund asset flows before you make your next important decision.
Hedge funds posted their best seven month performance in our records, gaining 16.3% through July 2009. On average, the hedge fund industry stands only 11% below its May 2008 peak.
Were these gains widely spread across all hedge funds, or did last year’s losers rebound more sharply than the funds which avoided the sell-off? How much of this year’s gains can be attributed to risk-taking?
In this study, we found that . . . .
Accredited investors can read the entire article for free.
From the September 2009 issue of The Hedge Fund Flow Report. The Hedge Fund Flow Report combines the accuracy of the BarclayHedge database with the analytical insight of TrimTabs Investment Research. The report is generated by TrimTabs Investment Research using the most current data on thousands of hedge funds. An annual subscription includes 12 monthly updates as well as a spreadsheet containing historical flow aggregates by category.
To download a free sample of the entire TrimTabs Hedge Fund Flow Report, simply fill out this short request form.
Hedge funds posted their best seven month performance in our records, gaining 16.3% through July 2009. On average, the hedge fund industry stands only 11% below its May 2008 peak.
Were these gains widely spread across all hedge funds, or did last year’s losers rebound more sharply than the funds which avoided the sell-off? How much of this year’s gains can be attributed to risk-taking?
In this study, we found that . . . .
Accredited investors can read the entire article for free.
From the September 2009 issue of The Hedge Fund Flow Report. The Hedge Fund Flow Report combines the accuracy of the BarclayHedge database with the analytical insight of TrimTabs Investment Research. The report is generated by TrimTabs Investment Research using the most current data on thousands of hedge funds. An annual subscription includes 12 monthly updates as well as a spreadsheet containing historical flow aggregates by category.
To download a free sample of the entire TrimTabs Hedge Fund Flow Report, simply fill out this short request form.
Labels: CTA, Hedge Fund Flow Topical Study, hedge funds
Tuesday, August 11, 2009
How Hedge Fund Drop-Outs Affect Measurable Industry Returns
The topical study from the August 2009 issue of The Hedge Fund Flow Report. Gain insight into industry trends and hedge fund asset flows before you make your next important decision.
The continued out performance of hedge funds has puzzled academics for a long time. Tenants of the efficient market’s hypothesis believe that this anomaly is due to survivorship bias, as liquidated funds get dropped out of hedge fund databases.
Fortunately, BarclayHedge keeps records of the funds that have stopped reporting to them, enabling us to estimate the bias arising from hedge fund drop-outs.
In this study, we found that . . . .
Accredited investors can read the entire article for free.
From the August 2009 issue of The Hedge Fund Flow Report. The Hedge Fund Flow Report combines the accuracy of the BarclayHedge database with the analytical insight of TrimTabs Investment Research. The report is generated by TrimTabs Investment Research using the most current data on thousands of hedge funds. An annual subscription includes 12 monthly updates as well as a spreadsheet containing historical flow aggregates by category.
To download a free sample of the entire TrimTabs Hedge Fund Flow Report, simply fill out this short request form.
The continued out performance of hedge funds has puzzled academics for a long time. Tenants of the efficient market’s hypothesis believe that this anomaly is due to survivorship bias, as liquidated funds get dropped out of hedge fund databases.
Fortunately, BarclayHedge keeps records of the funds that have stopped reporting to them, enabling us to estimate the bias arising from hedge fund drop-outs.
In this study, we found that . . . .
Accredited investors can read the entire article for free.
From the August 2009 issue of The Hedge Fund Flow Report. The Hedge Fund Flow Report combines the accuracy of the BarclayHedge database with the analytical insight of TrimTabs Investment Research. The report is generated by TrimTabs Investment Research using the most current data on thousands of hedge funds. An annual subscription includes 12 monthly updates as well as a spreadsheet containing historical flow aggregates by category.
To download a free sample of the entire TrimTabs Hedge Fund Flow Report, simply fill out this short request form.
Labels: CTA, Hedge Fund Flow Topical Study, hedge funds
Tuesday, July 7, 2009
Hedge Fund Liquidations Slow to $19 Billion in Q1 2009
The topical study from the July 2009 issue of The Hedge Fund Flow Report. Gain insight into industry trends and hedge fund asset flows before you make your next important decision.
Estimating hedge fund assets has become a lot harder after last year’s market debacle. Many of the funds which reported to public hedge fund databases stopped disclosing their assets and returns because their performance was no longer marketable. In addition, an unknown number of funds have been liquidated.
To address this issue, BarclayHedge surveys all hedge funds which stopped reporting and asks them whether they were liquidated.
Reporting problems were most acute in the fourth quarter of 2008, with a drop rate of 8.4%.
In order to estimate overall hedge fund liquidations, we assumed that half of the funds that elected not to report or could not be contacted were liquidated.
In this study, we found that . . . .
Accredited investors can read the entire article for free.
From the July 2009 issue of The Hedge Fund Flow Report. The Hedge Fund Flow Report combines the accuracy of the BarclayHedge database with the analytical insight of TrimTabs Investment Research. The report is generated by TrimTabs Investment Research using the most current data on thousands of hedge funds. An annual subscription includes 12 monthly updates as well as a spreadsheet containing historical flow aggregates by category.
To download a free sample of the entire TrimTabs Hedge Fund Flow Report, simply fill out this short request form.
Estimating hedge fund assets has become a lot harder after last year’s market debacle. Many of the funds which reported to public hedge fund databases stopped disclosing their assets and returns because their performance was no longer marketable. In addition, an unknown number of funds have been liquidated.
To address this issue, BarclayHedge surveys all hedge funds which stopped reporting and asks them whether they were liquidated.
Reporting problems were most acute in the fourth quarter of 2008, with a drop rate of 8.4%.
In order to estimate overall hedge fund liquidations, we assumed that half of the funds that elected not to report or could not be contacted were liquidated.
In this study, we found that . . . .
Accredited investors can read the entire article for free.
From the July 2009 issue of The Hedge Fund Flow Report. The Hedge Fund Flow Report combines the accuracy of the BarclayHedge database with the analytical insight of TrimTabs Investment Research. The report is generated by TrimTabs Investment Research using the most current data on thousands of hedge funds. An annual subscription includes 12 monthly updates as well as a spreadsheet containing historical flow aggregates by category.
To download a free sample of the entire TrimTabs Hedge Fund Flow Report, simply fill out this short request form.
Labels: CTA, Hedge Fund Flow Topical Study, hedge funds
Friday, June 12, 2009
How Far are Hedge Funds from their High-Water Marks?
The topical study from the June 2009 issue of The Hedge Fund Flow Report. Gain insight into industry trends and hedge fund asset flows before you make your next important decision.
The average hedge fund in the BarclayHedge database gained 4.9% from January to April following a 24.2% loss in 2008. We believe the average distance from high-water mark is a good complement to hedge funds returns. The average distance from the high-water mark is especially important to predict hedge fund revenues because most hedge funds can only collect their performance fees if it is exceeded. Also, the average distance from the high-water mark is a good indication of the time it will take for hedge fund investors to get back even.
In this study, we found that:
Accredited investors can read the entire article for free.
From the June 2009 issue of The Hedge Fund Flow Report. The Hedge Fund Flow Report combines the accuracy of the BarclayHedge database with the analytical insight of TrimTabs Investment Research. The report is generated by TrimTabs Investment Research using the most current data on thousands of hedge funds. An annual subscription includes 12 monthly updates as well as a spreadsheet containing historical flow aggregates by category.
To download a free sample of the entire TrimTabs Hedge Fund Flow Report, simply fill out this short request form.
The average hedge fund in the BarclayHedge database gained 4.9% from January to April following a 24.2% loss in 2008. We believe the average distance from high-water mark is a good complement to hedge funds returns. The average distance from the high-water mark is especially important to predict hedge fund revenues because most hedge funds can only collect their performance fees if it is exceeded. Also, the average distance from the high-water mark is a good indication of the time it will take for hedge fund investors to get back even.
In this study, we found that:
- The hedge fund industry was 17.14% below its high-water mark in April 2009.
- Assuming hedge funds returns come back to their long-term average, it should take around 3 years for the industry to make up these losses.
- Convertible Arbitrage funds are the closest to their high-water marks, while Equity Long Only funds are still 39.9% below their performance peaks.
- 12.4% of hedge funds reached . . . .
Accredited investors can read the entire article for free.
From the June 2009 issue of The Hedge Fund Flow Report. The Hedge Fund Flow Report combines the accuracy of the BarclayHedge database with the analytical insight of TrimTabs Investment Research. The report is generated by TrimTabs Investment Research using the most current data on thousands of hedge funds. An annual subscription includes 12 monthly updates as well as a spreadsheet containing historical flow aggregates by category.
To download a free sample of the entire TrimTabs Hedge Fund Flow Report, simply fill out this short request form.
Labels: CTA, Hedge Fund Flow Topical Study, hedge funds
Wednesday, May 13, 2009
U.K. Hedge Fund Industry Hit Hardest by Financial Crisis
The topical study from the May 2009 issue of The Hedge Fund Flow Report. Gain insight into industry trends and hedge fund asset flows before you make your next important decision.
Singapore and Chinese Hedge Funds Perform Best Since 2000
With the bulk of massive hedge fund redemptions presumably behind us, we can estimate which countries, cities, and U.S. states were the relative losers and winners of the financial crisis.
Are the fears of London taking the lead over New York justified? Do returns differ significantly across countries and cities? In this report, we find:
Singapore and Chinese Hedge Funds Perform Best Since 2000
With the bulk of massive hedge fund redemptions presumably behind us, we can estimate which countries, cities, and U.S. states were the relative losers and winners of the financial crisis.
Are the fears of London taking the lead over New York justified? Do returns differ significantly across countries and cities? In this report, we find:
The U.S. hedge fund industry managed the crisis comparatively well.
- New York increased its lead as the hedge fund industry capital.
- “Incumbents” benefited the most as bigger hedge funds held up better than smaller funds.
- Since June 2008, redemptions have been 2.5 times greater for British funds than for New York funds. . . .
Accredited investors can read the entire article for free.
From the May 2009 issue of The Hedge Fund Flow Report. The Hedge Fund Flow Report combines the accuracy of the BarclayHedge database with the analytical insight of TrimTabs Investment Research. The report is generated by TrimTabs Investment Research using the most current data on thousands of hedge funds. An annual subscription includes 12 monthly updates as well as a spreadsheet containing historical flow aggregates by category.
To download a free sample of the entire TrimTabs Hedge Fund Flow Report, simply fill out this short request form.
Labels: CTA, Hedge Fund Flow Topical Study, hedge funds
Tuesday, April 14, 2009
We Expect Hedge Fund Revenues to Plummet to $30.4 Billion in 2009
The topical study from the April 2009 issue of The Hedge Fund Flow Report. Gain insight into industry trends and hedge fund asset flows before you make your next important decision.
With the hedge fund boom over, we are measuring the impact of the bust. . .
With the hedge fund boom over, we are measuring the impact of the bust. . .
Hedge funds are caught in a revenue trap with no easy way out. Hedge funds will have to rely on organic growth rather than flows to grow their asset base. They will have to dramatically cut costs to make up for the fact that revenues will stay 50% off their peak for many years. Home builders in Connecticut and high-end restaurants in Mayfair should brace for tough times.
Performance related revenues drop to $21.1 billion in 2008 from $55.8 billion in 2007. Performance fees fell to a record low of 0.1% of hedge fund assets in Q3 2008.
Performance fee models must take into account "high-water mark" provisions, which require many funds to return to a previous peak before collecting a performance fee. Hence, performance fees are not a linear function of assets under management and returns. They depend on the path of prior returns and the distributions of current returns. Theoretically, performance related revenue can remain strong even in periods of bad returns. . .
Performance related revenues drop to $21.1 billion in 2008 from $55.8 billion in 2007. Performance fees fell to a record low of 0.1% of hedge fund assets in Q3 2008.
Performance fee models must take into account "high-water mark" provisions, which require many funds to return to a previous peak before collecting a performance fee. Hence, performance fees are not a linear function of assets under management and returns. They depend on the path of prior returns and the distributions of current returns. Theoretically, performance related revenue can remain strong even in periods of bad returns. . .
Accredited investors can read the entire article for free.
From the April 2009 issue of The Hedge Fund Flow Report. The Hedge Fund Flow Report combines the accuracy of the BarclayHedge database with the analytical insight of TrimTabs Investment Research. The report is generated by TrimTabs Investment Research using the most current data on thousands of hedge funds. An annual subscription includes 12 monthly updates as well as a spreadsheet containing historical flow aggregates by category.
To download a free sample of the entire TrimTabs Hedge Fund Flow Report, simply fill out this short request form.
Labels: CTA, Hedge Fund Flow Topical Study, hedge funds
Tuesday, March 17, 2009
We Estimate Hedge Fund Liquidations of $268 Billion (13.6% of Assets)
The topical study from the March 2009 issue of The Hedge Fund Flow Report. Gain insight into industry trends and hedge fund asset flows before you make your next important decision.
Estimates of the hedge fund industry size, which was widely assumed to be around $2.0 trillion in December 2007, varied dramatically in the last quarter of 2008. HedgeFund Intelligence estimated that hedge funds assets fell to $1.8 trillion in December 2008, Hedge Fund Research estimated assets fell to $1.4 trillion.
Reporting rate plummets in the fourth quarter. We estimate that 71.5% of the funds which stopped reporting were liquidated.
As of December 2007, 1,999 hedge funds and 1,152 funds of hedge funds reported their assets and returns to BarclayHedge. By December 2008, only 1,457 hedge funds and 840 funds of hedge funds still disclosed their data. We surveyed the funds which stopped reporting. In terms of assets, 71.5% of the funds which stopped reporting were liquidated, 13.7% elected not to report their assets to BarclayHedge and 14.8% did not return our calls . . .
Estimates of the hedge fund industry size, which was widely assumed to be around $2.0 trillion in December 2007, varied dramatically in the last quarter of 2008. HedgeFund Intelligence estimated that hedge funds assets fell to $1.8 trillion in December 2008, Hedge Fund Research estimated assets fell to $1.4 trillion.
Reporting rate plummets in the fourth quarter. We estimate that 71.5% of the funds which stopped reporting were liquidated.
As of December 2007, 1,999 hedge funds and 1,152 funds of hedge funds reported their assets and returns to BarclayHedge. By December 2008, only 1,457 hedge funds and 840 funds of hedge funds still disclosed their data. We surveyed the funds which stopped reporting. In terms of assets, 71.5% of the funds which stopped reporting were liquidated, 13.7% elected not to report their assets to BarclayHedge and 14.8% did not return our calls . . .
Accredited investors can read the entire article for free.
From the March 2009 issue of The Hedge Fund Flow Report. The Hedge Fund Flow Report combines the accuracy of the BarclayHedge database with the analytical insight of TrimTabs Investment Research. The report is generated by TrimTabs Investment Research using the most current data on thousands of hedge funds. An annual subscription includes 12 monthly updates as well as a spreadsheet containing historical flow aggregates by category.
To download a free sample of the entire TrimTabs Hedge Fund Flow Report, simply fill out this short request form.
Labels: CTA, Hedge Fund Flow Topical Study, hedge funds
Thursday, February 19, 2009
Market Risk of Equity Long-Short and Market-Neutral Hedge Funds
The topical study from the February 2009 issue of The Hedge Fund Flow Report. Gain insight into industry trends and hedge fund asset flows before you make your next important decision.
How much risk did hedge fund investors expose themselves to when they bought so called “market neutral" funds? Has the market risk of Equity Long-Short and Equity Market Neutral strategies increased with the sell-off? Did some Equity Long-Short funds anticipate the sell-off and reduce their market exposure? If so, did they achieve superior returns and gather assets?
Market risk of Equity Long-Short and Equity Market Neutral funds increased significantly over past two years.
We studied the returns and flows of 597 Equity Long-Short funds and 143 Equity Market Neutral funds from 2000 to 2005 and 2006 to 2008. Our findings . .
How much risk did hedge fund investors expose themselves to when they bought so called “market neutral" funds? Has the market risk of Equity Long-Short and Equity Market Neutral strategies increased with the sell-off? Did some Equity Long-Short funds anticipate the sell-off and reduce their market exposure? If so, did they achieve superior returns and gather assets?
Market risk of Equity Long-Short and Equity Market Neutral funds increased significantly over past two years.
We studied the returns and flows of 597 Equity Long-Short funds and 143 Equity Market Neutral funds from 2000 to 2005 and 2006 to 2008. Our findings . .
Accredited investors can read the entire article for free.
From the February 2009 issue of The Hedge Fund Flow Report. The Hedge Fund Flow Report combines the accuracy of the BarclayHedge database with the analytical insight of TrimTabs Investment Research. The report is generated by TrimTabs Investment Research using the most current data on thousands of hedge funds. An annual subscription includes 12 monthly updates as well as a spreadsheet containing historical flow aggregates by category.
To download a free sample of the entire TrimTabs Hedge Fund Flow Report, simply fill out this short request form.
Labels: Hedge Fund Flow Topical Study, hedge fund risk, hedge funds
Monday, January 12, 2009
Have Hedge Fund Investors Become More Sensitive to Management Fees?
The topical study from the January 2009 issue of The Hedge Fund Flow Report. Gain insight into industry trends and hedge fund asset flows before you make your next important decision.
With trading losses and redemptions shriveling the assets managed by hedge funds, we decided to take a closer look at hedge fund fees. Is the current crisis helping lower-fee funds? How sensitive are hedge fund returns to management fees?
Funds with fees between 1% and 2% gain market share at the expense of very low fee funds over the past eight years. There is no evidence of a shrinkage of higher fee funds.
Two trends emerged over the past eight years . .
With trading losses and redemptions shriveling the assets managed by hedge funds, we decided to take a closer look at hedge fund fees. Is the current crisis helping lower-fee funds? How sensitive are hedge fund returns to management fees?
Funds with fees between 1% and 2% gain market share at the expense of very low fee funds over the past eight years. There is no evidence of a shrinkage of higher fee funds.
Two trends emerged over the past eight years . .
Accredited investors can read the entire article for free.
From the January 2009 issue of The Hedge Fund Flow Report. The Hedge Fund Flow Report combines the accuracy of the BarclayHedge database with the analytical insight of TrimTabs Investment Research. The report is generated by TrimTabs Investment Research using the most current data on thousands of hedge funds. An annual subscription includes 12 monthly updates as well as a spreadsheet containing historical flow aggregates by category.
To download a free sample of the entire TrimTabs Hedge Fund Flow Report, simply fill out this short request form.
Labels: CTA, Hedge Fund Flow Topical Study, hedge fund research, hedge funds
Thursday, December 11, 2008
Funds with Shortest Redemptions Periods Post the Highest Outflows
The topical study from the December 2008 issue of The Hedge Fund Flow Report. Gain insight into industry trends and hedge fund asset flows before you make your next important decision.
Many market strategists blamed October’s late day sell-offs on hedge fund eleveraging. Though hedge funds sold equities to meet redemptions requests, those redemptions totaled $87 billion between September and October, against $128 billion from equity mutual funds. How do we reconcile these relatively low redemptions with unprecedented market volatility?
Due to long redemption terms, only a fraction of hedge funds returned cash to investors who redeemed in September and October.
We have seen only the tip of the iceberg in redemptions . .
Many market strategists blamed October’s late day sell-offs on hedge fund eleveraging. Though hedge funds sold equities to meet redemptions requests, those redemptions totaled $87 billion between September and October, against $128 billion from equity mutual funds. How do we reconcile these relatively low redemptions with unprecedented market volatility?
Due to long redemption terms, only a fraction of hedge funds returned cash to investors who redeemed in September and October.
We have seen only the tip of the iceberg in redemptions . .
Accredited investors can read the entire article for free.
From the December 2008 issue of The Hedge Fund Flow Report. The Hedge Fund Flow Report combines the accuracy of the BarclayHedge database with the analytical insight of TrimTabs Investment Research. The report is generated by TrimTabs Investment Research using the most current data on thousands of hedge funds. An annual subscription includes 12 monthly updates as well as a spreadsheet containing historical flow aggregates by category.
To download a free sample of the entire TrimTabs Hedge Fund Flow Report, simply fill out this short request form.
Labels: Hedge Fund Flow Topical Study, hedge funds
Monday, November 17, 2008
How Did Best-Performing Funds Weather Burst of Commodities Bubble?
The topical study from the November 2008 issue of The Hedge Fund Flow Report. Gain insight into industry trends and hedge fund asset flows before you make your next important decision.
A popular explanation for the surge in commodities prices in the first half of the year was that hedge funds had used commodities as a haven from the falling dollar and plummeting equities. Similarly, the drop of commodities prices after July 14 is considered to be a major cause of the recent poor performance of hedge funds. Indeed, positive hedge fund industry returns from January to July reversed into a 22.9% loss over the past four months.
A popular explanation for the surge in commodities prices in the first half of the year was that hedge funds had used commodities as a haven from the falling dollar and plummeting equities. Similarly, the drop of commodities prices after July 14 is considered to be a major cause of the recent poor performance of hedge funds. Indeed, positive hedge fund industry returns from January to July reversed into a 22.9% loss over the past four months.
Hedge funds display strong returns persistence even after commodities bubble burst. Adjusting for strategy effect, hedge funds that outperformed in January-June, outperformed by 0.6% in July-September.
We tested this hypothesis by looking for a breakdown in individual funds’ returns patterns. If hedge funds stayed in commodities too long . .
We tested this hypothesis by looking for a breakdown in individual funds’ returns patterns. If hedge funds stayed in commodities too long . .
Accredited investors can read the entire article for free.
From the November 2008 issue of The Hedge Fund Flow Report. The Hedge Fund Flow Report combines the accuracy of the BarclayHedge database with the analytical insight of TrimTabs Investment Research. The report is generated by TrimTabs Investment Research using the most current data on thousands of hedge funds. An annual subscription includes 12 monthly updates as well as a spreadsheet containing historical flow aggregates by category.
To download a free sample of the entire TrimTabs Hedge Fund Flow Report, simply fill out this short request form.
Labels: Hedge Fund Flow Topical Study, hedge funds
Thursday, October 16, 2008
How Does This Sell-Off Compare to the 2000-2002 Bear Market?
The topical study from the October 2008 issue of The Hedge Fund Flow Report. Gain insight into industry trends and hedge fund asset flows before you make your next important decision.
As the S&P 500 plunged deep into bear market territory in September, we compared hedge funds flow and performance during these past twelve months to that of the 2000-2002 bear market.
As the S&P 500 plunged deep into bear market territory in September, we compared hedge funds flow and performance during these past twelve months to that of the 2000-2002 bear market.
- What are the similarities and differences between the two episodes?
- What strategies are better equipped to cope with a bear market?
- Are memories of the 2000-2002 bear market guiding investors’ behavior?
Hedge funds weathered the 2000-2002 bubble burst much better than the current market. In both cases hedge fund investors keep adding money to the industry.
Hedge funds outperformed the S&P 500 by 52% during the previous bear market, against 16.0% in the past thirteen months.
We believe there are three reasons why hedge funds have more trouble coping with this crisis . .
Accredited investors can read the entire article for free.
From the October 2008 issue of The Hedge Fund Flow Report. The Hedge Fund Flow Report combines the accuracy of the BarclayHedge database with the analytical insight of TrimTabs Investment Research. The report is generated by TrimTabs Investment Research using the most current data on thousands of hedge funds. An annual subscription includes 12 monthly updates as well as a spreadsheet containing historical flow aggregates by category.
To download a free sample of the entire TrimTabs Hedge Fund Flow Report, simply fill out this short request form.
Labels: Hedge Fund Flow Topical Study, hedge funds
Friday, September 12, 2008
Is the Hedge Fund Industry Threatened by the Resurgent Dollar?
The topical study from the September 2008 issue of The Hedge Fund Flow Report. Gain insight into industry trends and hedge fund asset flows before you make your next important decision.
The dollar has surged recently, and the hedge fund industry had record losses in July 2008. This study investigates the connection between dollar returns and hedge fund returns. It measures the returns of the dollar index, and correlates them to the returns of the 5,650 dollar-denominated funds in Barclay’s Global Database.
The study shows that, since the beginning of 2000, hedge funds have had a net short position on the dollar. However, the two-year correlation coefficient in July was only -6.6%.
The dollar has surged recently, and the hedge fund industry had record losses in July 2008. This study investigates the connection between dollar returns and hedge fund returns. It measures the returns of the dollar index, and correlates them to the returns of the 5,650 dollar-denominated funds in Barclay’s Global Database.
The study shows that, since the beginning of 2000, hedge funds have had a net short position on the dollar. However, the two-year correlation coefficient in July was only -6.6%.
CTAs and Macro funds are most sensitive to dollar returns. Speculative traders turned long on the dollar in June...
Accredited investors can read the entire article for free.
From the September 2008 issue of The Hedge Fund Flow Report. The Hedge Fund Flow Report combines the accuracy of the BarclayHedge database with the analytical insight of TrimTabs Investment Research. The report is generated by TrimTabs Investment Research using the most current data on thousands of hedge funds. An annual subscription includes 12 monthly updates as well as a spreadsheet containing historical flow aggregates by category.
To download a free sample of the entire TrimTabs Hedge Fund Flow Report, simply fill out this short request form.Labels: Hedge Fund Flow Topical Study, hedge funds
Sunday, August 10, 2008
Flows into Hedge Funds and Flows into Mutual Funds
The topical study from the August 2008 issue of The Hedge Fund Flow Report. Gain insight into industry trends and hedge fund asset flows before you make your next important decision.
Is there any relationship between flows into hedge funds and flows into mutual funds?
Intuitively, the two variables seem related. Investors could be moving assets from mutual funds to higher performance hedge funds, causing a negative correlation between flows into hedge funds and mutual funds. On the other hand, hedge funds might invest some of their assets into mutual funds, causing a positive correlation between hedge fund and mutual fund flows.
We studied monthly flows into hedge funds and equity mutual funds since January 2000, scaling flows by total assets to adjust for asset values rising over time. Our two-variable regression measured whether flows into hedge funds influenced flows into mutual funds.
Flows into hedge funds seem to explain . .
Accredited investors can read the entire article for free.
From the August 2008 issue of The Hedge Fund Flow Report. The Hedge Fund Flow Report combines the accuracy of the BarclayHedge database with the analytical insight of TrimTabs Investment Research. The report is generated by TrimTabs Investment Research using the most current data on thousands of hedge funds. An annual subscription includes 12 monthly updates as well as a spreadsheet containing historical flow aggregates by category.
To download a free sample of the entire TrimTabs Hedge Fund Flow Report, simply fill out this short request form.
Is there any relationship between flows into hedge funds and flows into mutual funds?
Intuitively, the two variables seem related. Investors could be moving assets from mutual funds to higher performance hedge funds, causing a negative correlation between flows into hedge funds and mutual funds. On the other hand, hedge funds might invest some of their assets into mutual funds, causing a positive correlation between hedge fund and mutual fund flows.
We studied monthly flows into hedge funds and equity mutual funds since January 2000, scaling flows by total assets to adjust for asset values rising over time. Our two-variable regression measured whether flows into hedge funds influenced flows into mutual funds.
Flows into hedge funds seem to explain . .
Accredited investors can read the entire article for free.
From the August 2008 issue of The Hedge Fund Flow Report. The Hedge Fund Flow Report combines the accuracy of the BarclayHedge database with the analytical insight of TrimTabs Investment Research. The report is generated by TrimTabs Investment Research using the most current data on thousands of hedge funds. An annual subscription includes 12 monthly updates as well as a spreadsheet containing historical flow aggregates by category.
To download a free sample of the entire TrimTabs Hedge Fund Flow Report, simply fill out this short request form.
Labels: Hedge Fund Flow Topical Study, hedge funds
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