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.
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Labels: Hedge Fund Flow Topical Study, hedge funds
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