Thursday, February 14, 2013

 

Barclay CTA Index Up 1.01% in January; Diversified Traders Gain 1.64%

FAIRFIELD, Iowa, February 14, 2012 — Managed futures gained 1.01% in January according to the Barclay CTA Index compiled by BarclayHedge.

“CTAs got a boost this month from the ‘Abe trade’ (short the Japanese Yen and long the Nikkei or TOPIX), named for the dovish monetary bent of Japan’s new prime minister, Shinzo Abe,” says Sol Waksman, founder and president of BarclayHedge.

Read the entire Managed Futures Press Release by clicking here.

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Wednesday, February 13, 2013

 

Barclay Hedge Fund Index Gains 2.84% in January; Rising Equities Lift Most Hedge Fund Strategies

FAIRFIELD, Iowa, February 13, 2013 — Hedge funds gained 2.84% in January, according to the Barclay Hedge Fund Index compiled by BarclayHedge.

“Fiscal cliff fears receded, European banks strengthened, China avoided a hard landing, Japan stimulated its economy, and global equities rallied,” says Sol Waksman, founder and president of BarclayHedge.

Read the entire Hedge Fund Press Release by clicking here.

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Drawdown-based Stop-outs and the ‘Triple Penance’ Rule

By David H. Bailey, Complex Systems Group Leader, Lawrence Berkeley National Laboratory; and Marcos López de Prado, Head of Global Quantitative Research, Tudor Investment Corporation and Research Affiliate, Lawrence Berkeley National Laboratory

The authors introduce a new drawdown concept called Penance, which measures how long it takes to recover from the maximum drawdown, as a multiple of the time it took to reach the bottom. Their study, “Drawdown-based Stop-outs and the ‘Triple Penance’ Rule” finds that as a result of evaluating hedge fund performance through traditional metrics, such as the Sharpe ratio, some hedge funds may be firing more than three times the number of skillful portfolio managers, compared to the number they were willing to accept. The authors hope to change the traditional method of evaluating hedge fund performance by allowing serial correlation to be taken into account in risk management, portfolio optimization and capital allocation applications.

Download the full article here.

From the February 2013 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.

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New Fund Launches

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 rmiller@barclayhedge.com. Below is a list of recent fund launches:
From the February 2013 issue of the BarclayHedge Insider Report. Accredited investors can subscribe to the full newsletter for free.

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December 2012 Hedge Fund and CTA Performance

December marked the seventh consecutive month of gains for hedge funds, as 17 of Barclay's 18 Indices enjoyed positive returns. The average return for the 2,740 hedge funds (ex. FoFs) that have so far reported a December return is +1.72%. The Barclay Hedge Fund Index had positive returns in 10 out of 12 months in 2012, and was up 8.27% at year end. The estimates for January, 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 positive returns for January.

Commodity Trading Advisor performance for December as measured by the Barclay CTA Index averaged +0.54%. January's estimate based on the performance of the Barclay BTOP50 Index is +1.38%.

Hedge Fund Indices Managed Futures Indices

From the February 2013 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.

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Tuesday, February 12, 2013

 

TrimTabs and BarclayHedge Report Hedge Funds Lose $14.2 Billion in 2012; Redemptions of $20.7 Billion in December Hit 44-Month High

New York, NY — February 12, 2013 — BarclayHedge and TrimTabs Investment Research reported today that hedge fund investors redeemed a net $14.2 billion in 2012, reversing a $50.7 billion inflow to the industry in 2011. The results are based on data from 3,492 funds.

Hedge fund redemptions hit a 44-month high of $20.7 billion in December, according to the latest monthly TrimTabs/BarclayHedge Hedge Fund Flow Report, which noted that the industry earned 8.5% in 2012, far below the S&P 500’s 13.4% increase for the year.

Read the entire TrimTabs Asset Flows into Hedge Funds Press Release by clicking here.

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TrimTabs/BarclayHedge Survey of Hedge Fund Managers - January 2013 Survey

The topical study from the February 2013 issue of The Hedge Fund Flow Report. Gain insight into industry trends and hedge fund asset flows before you make your next important decision.
Accredited investors can read the entire article for free. From the February 2013 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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