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.

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 . .

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.

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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.

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Barclay CTA Index Up 3.38% in October; Managed Futures Gain 10.70% Year-to-Date

FAIRFIELD, Iowa, November 13, 2008 – Managed futures gained 3.38% in October, according to the Barclay CTA Index compiled by BarclayHedge.

“In October, investor concern turned from the financial sector to fear of a global recession,” says Sol Waksman, founder and president of BarclayHedge.

“Massive government intervention has had little effect on the major downward trends of the past several months.”

In October, the Barclay Diversified Traders Index jumped 6.06%. Diversified Traders have gained 20.82% in the first 10 months of 2008.

“Commodity prices continued to trend downward in October,” says Waksman. “The commodity-based CRB Index recorded its worst ever monthly decline, falling more than 22 percent.”

Systematic Traders gained 3.98% in October, Discretionary Traders were up 3.37%, and the Financial/Metals Index rose 3.12%.

“CTAs have performed remarkably well in 2008, especially when compared with the losses we’re seeing in hedge funds and global equity markets,” says Waksman.

“The Barclay CTA Index is up 10.70% through October, in contrast to a 19.34% loss for the Barclay Hedge Fund Index, and a 32.84% drop in the S&P 500.”

The Barclay BTOP50 Index, which monitors performance of the largest traders, rose 3.90% in October, and is now up 9.43% for the year.

Click here to view 28 years of Barclay CTA Index data.

Sol Waksman is an experienced media source, providing perspectives on hedge fund and managed futures trends. For quotes, commentary or background, call 641-472-3456 or email swaksman@barclayhedge.com.

BarclayHedge (formerly The Barclay Group) was founded in 1985 and actively tracks 6,700 hedge funds, funds of hedge funds, and managed futures programs. Barclay has created and regularly updates 18 proprietary hedge fund indexes and 8 managed futures indexes.
Institutional investors, brokerage firms and private banks worldwide utilize BarclayHedge data as performance benchmarks for the hedge fund and managed futures industries.

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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.

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Barclay Hedge Fund Index Falls 8.04% in October; Hedge Funds Down 14.44% in Two Months

FAIRFIELD, Iowa, November 11, 2008 – Hedge funds dropped 8.04% in October according to the Barclay Hedge Fund Index compiled by BarclayHedge, and have lost 14.44% of their value during the past two months.

“The ‘Great Deleveraging’ continued in October,” says Sol Waksman, founder and president of BarclayHedge.

“Investors as well as hedge funds and banks continued selling in order to reduce risk exposure in their portfolios and raise cash.”

“The result has been a significant year-to-date drop in equity prices, with US markets down 30 percent, other developed markets falling 40 percent, and emerging markets losing as much as 50 percent of their value.”

The Barclay Emerging Markets Index was down 15.83% in October, and has lost 25.11% in just two months.
“It’s estimated that US investors hold some 5 trillion USD in foreign equities,” says Waksman. “Those holdings are now being liquidated.”

Convertible Arbitrage dropped 12.22%, and has lost 20.45% in September and October.

“The short sale ban created an impossible situation for convertible arbitrage funds,” says Waksman. “Selling stocks short is a key factor in the viability of the strategy.”

The only successful strategy in 2008 has been selling the equity market short. The Barclay Equity Short Bias Index had another strong month, gaining 17.21% in October.

“While Equity Long Bias funds have lost 25 percent of their value in 2008, Equity Short Bias funds have gained 43 percent,” says Waksman.

“The key factor in 2008 has been which side of the market you trade. It’s been tough for traders on the long side, whereas short traders caught a big wave.”

Year-to-date, the Barclay Hedge Fund Index has lost 19.30%, compared to a loss of 32.84% in the S&P 500.

The Barclay Fund of Funds Index lost 5.21% in October, and is down 17.33% in 2008.

Click here to view five years of Barclay Hedge Fund Index data, or download 11 years of monthly data.

Sol Waksman is an experienced media source, providing perspectives on hedge fund and managed futures trends. For quotes, commentary or background, call 641-472-3456 or email swaksman@barclayhedge.com.

BarclayHedge (formerly The Barclay Group) was founded in 1985 and actively tracks 6,700 hedge funds, funds of hedge funds, and managed futures programs. Barclay has created and regularly updates 18 proprietary hedge fund indexes and eight managed futures indexes.

Institutional investors, brokerage firms and private banks worldwide utilize BarclayHedge data as performance benchmarks for the hedge fund and managed futures industries.

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