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
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