Monday, February 22, 2016
Barclay CTA Index Up 0.95% in January; 70% of CTAs Start the Year with Profits
FAIRFIELD, Iowa, February 22, 2016 – Managed futures traders gained 0.95% in January according to the Barclay CTA Index compiled by BarclayHedge.
“Seventy percent of CTAs were profitable in January as strong downtrends in global equities and commodities helped fuel uptrends in fixed income and the US Dollar,” says Sol Waksman, founder and president of BarclayHedge.
Read the entire Managed Futures Press Release by clicking here.
“Seventy percent of CTAs were profitable in January as strong downtrends in global equities and commodities helped fuel uptrends in fixed income and the US Dollar,” says Sol Waksman, founder and president of BarclayHedge.
Read the entire Managed Futures Press Release by clicking here.
Labels: BarclayHedge press release, CTA
Tuesday, January 26, 2016
Barclay CTA Index Down 1.19% in December; CTAs End 2015 with an Overall 1.43% Loss
FAIRFIELD, Iowa, January 25, 2016 — Managed futures traders lost 1.19% in December according to the Barclay CTA Index compiled by BarclayHedge. The Index was down 1.43% in 2015.
“European Central Bank easing in December fell short of investor expectations, and markets promptly registered disappointment with sharp trend reversals in European equities, interest rates, and the Euro,” says Sol Waksman, founder and president of BarclayHedge.
Read the entire Managed Futures Press Release by clicking here.
“European Central Bank easing in December fell short of investor expectations, and markets promptly registered disappointment with sharp trend reversals in European equities, interest rates, and the Euro,” says Sol Waksman, founder and president of BarclayHedge.
Read the entire Managed Futures Press Release by clicking here.
Labels: BarclayHedge press release, CTA
Wednesday, January 20, 2016
Barclay Hedge Fund Index Down 0.64% in December; Index Gains 0.29% in 2015, Worst Performance Since 2011
FAIRFIELD, Iowa, January 19, 2016 — Hedge funds lost 0.64% in December according to the Barclay Hedge Fund Index compiled by BarclayHedge. The Index was up 0.29% at the end of 2015, its smallest yearly gain since 2011 when it declined 5.48%. The Index was unable to outperform the S&P 500 Total Return Index, which gained 1.38% last year.
“The year ended on a down note for risk assets as investors pondered the implications of slowing growth after several years of tepid recovery,” says Sol Waksman, founder and president of BarclayHedge.
Read the entire Hedge Fund Press Release by clicking here.
“The year ended on a down note for risk assets as investors pondered the implications of slowing growth after several years of tepid recovery,” says Sol Waksman, founder and president of BarclayHedge.
Read the entire Hedge Fund Press Release by clicking here.
Labels: BarclayHedge press release, hedge funds
Benchmarking Benchmarks: Much Ado About Nothing
By Yuliya Plyakha, University of Luxembourg, Luxembourg School of Finance
Conventional wisdom holds that choosing a benchmark is one of the most important aspects in evaluating an investment strategy's performance. There is a great deal of academic research to support the use of a traditional, value-based benchmark, but fundamentals-based and optimization-based benchmarks have been put forth as superior alternatives. Comparing the three in “Benchmarking Benchmarks: Much Ado About Nothing,” Yuliya Plyakha, (University of Luxembourg, Luxembourg School of Finance) finds little real difference. Regardless of the benchmark used, portfolio managers are still looking at the same underlying data.
Download the full article here.
From the January 2016 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Conventional wisdom holds that choosing a benchmark is one of the most important aspects in evaluating an investment strategy's performance. There is a great deal of academic research to support the use of a traditional, value-based benchmark, but fundamentals-based and optimization-based benchmarks have been put forth as superior alternatives. Comparing the three in “Benchmarking Benchmarks: Much Ado About Nothing,” Yuliya Plyakha, (University of Luxembourg, Luxembourg School of Finance) finds little real difference. Regardless of the benchmark used, portfolio managers are still looking at the same underlying data.
Download the full article here.
From the January 2016 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, equal-risk contribution, fundamentals-based index, hedge fund benchmarking, market efficiency, minimum-variance, portfolio optimization
December 2015 CTA and Hedge Fund Performance
Thirteen of Barclay’s 18 hedge fund indicies recorded positive returns in November. The average return for the 3,029 hedge funds (ex. FoFs) that have so far reported performance in November is +0.22%. Year to date, the Index is up 0.91%. 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, 10 of 18 hedge fund sectors are showing negative returns for December.
Commodity Trading Advisor performance for November as measured by the Barclay CTA Index averaged +1.52%. December’s estimate based on the performance of the Barclay BTOP50 Index is -1.60%.
Hedge Fund Indices Managed Futures Indices
From the January 2016 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 +1.52%. December’s estimate based on the performance of the Barclay BTOP50 Index is -1.60%.
Hedge Fund Indices Managed Futures Indices
From the January 2016 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, December 8, 2015
New Fund Launches - December 2015
To see a complete list of the latest hedge funds, fund of funds and CTAs that have launched recently or will be launching soon click here. Fund Managers who would like to see their new fund listed on Barclay’s website and featured in the next Insider Report can submit new fund launch press releases directly to mpech@barclayhedge.com. Below is a list of recent fund launches:
From the December 2015 issue of the BarclayHedge Insider Report. Accredited investors can subscribe to the full newsletter for free.
From the December 2015 issue of the BarclayHedge Insider Report. Accredited investors can subscribe to the full newsletter for free.
Labels: Barclay Insider Report, CTA, hedge funds, New Fund Launches
Rethinking Performance Evaluation
By Campbell R. Harvey, Duke University – Fuqua School of Business; and Yan Liu, Texas A&M University, Department of Finance
The current approach to performance evaluation is to run equation-by-equation regressions to calculate alphas. With this approach, three issues arise: 1) the estimation does not take into account any cross-sectional information; 2) there is no allowance for parameter uncertainty; and 3) the estimated alphas do a poor job of predicting future alphas. In “Rethinking Performance Evaluation,” the authors depart from the existing literature by proposing a ‘random effects’ counterpart of the current performance evaluation model.
Download the full article here.
From the December 2015 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
The current approach to performance evaluation is to run equation-by-equation regressions to calculate alphas. With this approach, three issues arise: 1) the estimation does not take into account any cross-sectional information; 2) there is no allowance for parameter uncertainty; and 3) the estimated alphas do a poor job of predicting future alphas. In “Rethinking Performance Evaluation,” the authors depart from the existing literature by proposing a ‘random effects’ counterpart of the current performance evaluation model.
Download the full article here.
From the December 2015 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, Bayesian, EM algorithm, Fixed effects, hedge funds, Multiple testing, Mutual funds, Performance evaluation, Random effects, Regularization
October 2015 CTA and Hedge Fund Performance
Fifteen of Barclay’s 18 hedge fund strategies gained ground in October. Overall, the Index is up 0.70% in 2015, after four months of losses. The average return for the 2,988 hedge funds (ex. FoFs) that have so far reported performance in October is +2.23%. 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, 14 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 -0.94%. November’s estimate based on the performance of the Barclay BTOP50 Index is +2.96%.
Hedge Fund Indices Managed Futures Indices
From the December 2015 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 -0.94%. November’s estimate based on the performance of the Barclay BTOP50 Index is +2.96%.
Hedge Fund Indices Managed Futures Indices
From the December 2015 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, November 19, 2015
Barclay CTA Index Down 0.78% in October; Global Equity Rally Challenges Trend Followers
FAIRFIELD, Iowa, November 19, 2015 — Managed futures traders lost 0.78% in October according to the Barclay CTA Index compiled by BarclayHedge. The Index is down 1.52% year to date.
“A powerful rally in global equities coming on the heels of two consecutive down months found many trend-following CTAs on the wrong side of the market in October,” says Sol Waksman, founder and president of BarclayHedge.
Read the entire Managed Futures Press Release by clicking here.
“A powerful rally in global equities coming on the heels of two consecutive down months found many trend-following CTAs on the wrong side of the market in October,” says Sol Waksman, founder and president of BarclayHedge.
Read the entire Managed Futures Press Release by clicking here.
Labels: BarclayHedge press release, CTA
Wednesday, November 18, 2015
Barclay Hedge Fund Index Gains 2.19% in October; Hedge Funds Rebound on Global Equity Rally
FAIRFIELD, Iowa, November 18, 2015 — Hedge funds gained 2.19% in October according to the Barclay Hedge Fund Index compiled by BarclayHedge. The Index rebounded in October after four months of losses, and is now up 0.69% in 2015.
“A global rally in equities fueled by continued easing in the US, Europe and Japan, together with stabilizing economic signs from China helped propel the S&P 500 to a gain of 8.30 percent in October, its strongest showing since October of 2011 when it gained 10.9 percent,” says Sol Waksman, founder and president of BarclayHedge.
Read the entire Hedge Fund Press Release by clicking here.
“A global rally in equities fueled by continued easing in the US, Europe and Japan, together with stabilizing economic signs from China helped propel the S&P 500 to a gain of 8.30 percent in October, its strongest showing since October of 2011 when it gained 10.9 percent,” says Sol Waksman, founder and president of BarclayHedge.
Read the entire Hedge Fund Press Release by clicking here.
Labels: BarclayHedge press release, hedge funds
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