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
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