Wednesday, January 20, 2016
Benchmarking Benchmarks: Much Ado About Nothing
By Yuliya Plyakha, University of Luxembourg, Luxembourg School of Finance
Conventional wisdom holds that choosing a benchmark is one of the most important aspects in evaluating an investment strategy's performance. There is a great deal of academic research to support the use of a traditional, value-based benchmark, but fundamentals-based and optimization-based benchmarks have been put forth as superior alternatives. Comparing the three in “Benchmarking Benchmarks: Much Ado About Nothing,” Yuliya Plyakha, (University of Luxembourg, Luxembourg School of Finance) finds little real difference. Regardless of the benchmark used, portfolio managers are still looking at the same underlying data.
Download the full article here.
From the January 2016 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Conventional wisdom holds that choosing a benchmark is one of the most important aspects in evaluating an investment strategy's performance. There is a great deal of academic research to support the use of a traditional, value-based benchmark, but fundamentals-based and optimization-based benchmarks have been put forth as superior alternatives. Comparing the three in “Benchmarking Benchmarks: Much Ado About Nothing,” Yuliya Plyakha, (University of Luxembourg, Luxembourg School of Finance) finds little real difference. Regardless of the benchmark used, portfolio managers are still looking at the same underlying data.
Download the full article here.
From the January 2016 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, equal-risk contribution, fundamentals-based index, hedge fund benchmarking, market efficiency, minimum-variance, portfolio optimization
December 2015 CTA and Hedge Fund Performance
Thirteen of Barclay’s 18 hedge fund indicies recorded positive returns in November. The average return for the 3,029 hedge funds (ex. FoFs) that have so far reported performance in November is +0.22%. Year to date, the Index is up 0.91%. Estimates for December, 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, 10 of 18 hedge fund sectors are showing negative returns for December.
Commodity Trading Advisor performance for November as measured by the Barclay CTA Index averaged +1.52%. December’s estimate based on the performance of the Barclay BTOP50 Index is -1.60%.
Hedge Fund Indices Managed Futures Indices
From the January 2016 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Commodity Trading Advisor performance for November as measured by the Barclay CTA Index averaged +1.52%. December’s estimate based on the performance of the Barclay BTOP50 Index is -1.60%.
Hedge Fund Indices Managed Futures Indices
From the January 2016 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
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
Tuesday, November 10, 2015
Slow Trading and Stock Return Predictability
By Matthijs Lof and Matti Suominen, both from Aalto University School of Business
Market returns predict the future abnormal returns on small and illiquid stocks, implying attractive investment strategies for investors investing in the size premium or in small and illiquid stocks either directly or through exchange traded funds. In their paper, the authors provide evidence that this return predictability is due to institutional investors’ trading patterns, and demonstrate that some hedge funds exploit this return predictability.
Download the full article here.
From the November 2015 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Market returns predict the future abnormal returns on small and illiquid stocks, implying attractive investment strategies for investors investing in the size premium or in small and illiquid stocks either directly or through exchange traded funds. In their paper, the authors provide evidence that this return predictability is due to institutional investors’ trading patterns, and demonstrate that some hedge funds exploit this return predictability.
Download the full article here.
From the November 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, hedge funds, institutional investors, liquidity, return predictability
New Fund Launches - November 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 November 2015 issue of the BarclayHedge Insider Report. Accredited investors can subscribe to the full newsletter for free.
From the November 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
September 2015 CTA and Hedge Fund Performance
Seventeen of Barclay’s 18 hedge fund indices recorded losses in September. The average return for the 2,961 hedge funds (ex. FoFs) that have so far reported performance in September is -1.46%. The Index is down 1.66% thru end of Q3. 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, 15 of 18 hedge fund sectors are showing positive returns for October.
Commodity Trading Advisor performance for September as measured by the Barclay CTA Index averaged 0.57%. October’s estimate based on the performance of the Barclay BTOP50 Index is -1.29%.
Hedge Fund Indices Managed Futures Indices
From the November 2015 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Commodity Trading Advisor performance for September as measured by the Barclay CTA Index averaged 0.57%. October’s estimate based on the performance of the Barclay BTOP50 Index is -1.29%.
Hedge Fund Indices Managed Futures Indices
From the November 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
Friday, October 16, 2015
Acquiring and Trading on Complex Information: How Hedge Funds Use the Freedom of Information Act
By April Klein, Professor of Accounting, Stern School of Business – New York University; and Tao Li, University of Warwick – Warwick Business School
In their paper, the authors examine how hedge fund managers make trading decisions using information about target firms by means of the Freedom of Information Act. The study also sheds light on regulatory issues — are there benefits to the vast amount of regulation in the United States?
Download the full article here.
From the October 2015 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
In their paper, the authors examine how hedge fund managers make trading decisions using information about target firms by means of the Freedom of Information Act. The study also sheds light on regulatory issues — are there benefits to the vast amount of regulation in the United States?
Download the full article here.
From the October 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, government policy and regulation, hedge fund performance
New Fund Launches - October 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 October 2015 issue of the BarclayHedge Insider Report. Accredited investors can subscribe to the full newsletter for free.
From the October 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
August 2015 Hedge Fund and CTA Performance
Fifteen of Barclay’s 18 hedge fund indices lost ground in August; the average return for the 2,973 hedge funds (ex. FoFs) that have so far reported performance in August is -2.50%. The Index remains up 0.20% year to date. The estimates for September, 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, 13 of 18 hedge fund sectors are showing negative returns for September.
Commodity Trading Advisor performance for August as measured by the Barclay CTA Index averaged -1.74%. September’s estimate based on the performance of the Barclay BTOP50 Index is +1.74%.
Hedge Fund Indices Managed Futures Indices
From the October 2015 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Commodity Trading Advisor performance for August as measured by the Barclay CTA Index averaged -1.74%. September’s estimate based on the performance of the Barclay BTOP50 Index is +1.74%.
Hedge Fund Indices Managed Futures Indices
From the October 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
Wednesday, September 9, 2015
New Fund Launches - September 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 September 2015 issue of the BarclayHedge Insider Report. Accredited investors can subscribe to the full newsletter for free.
From the September 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
Corporate Governance and Hedge Fund Activism
By Shane C. Goodwin, Adjunct Professor (Finance and Managerial Economics), University of Texas Dallas
In his paper, the author finds statistically meaningful empirical evidence to reject the conventional wisdom that hedge fund activism is detrimental to the long term interests of companies and their long term shareholders. Moreover, his findings suggest that hedge funds generate substantial long term value for target firms and its long term shareholders when they function as a shareholder advocate to monitor management through active board engagement.
Download the full article here.
From the September 2015 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
In his paper, the author finds statistically meaningful empirical evidence to reject the conventional wisdom that hedge fund activism is detrimental to the long term interests of companies and their long term shareholders. Moreover, his findings suggest that hedge funds generate substantial long term value for target firms and its long term shareholders when they function as a shareholder advocate to monitor management through active board engagement.
Download the full article here.
From the September 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, Corporate governance, hedge fund activism, hedge funds, proxy fights, shareholder activism, shareholder rights
July 2015 Hedge Fund and CTA Performance
Ten of Barclay’s 18 hedge fund indices gained ground in July; yet the average return for the 2,952 hedge funds (ex. FoFs) that have so far reported performance in July is -0.55%. The Index remains up 2.78% year to date. The estimates for August, 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 negative returns for August.
Commodity Trading Advisor performance for July as measured by the Barclay CTA Index averaged +0.98%. August’s estimate based on the performance of the Barclay BTOP50 Index is -2.74%.
Hedge Fund Indices Managed Futures Indices
From the September 2015 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Commodity Trading Advisor performance for July as measured by the Barclay CTA Index averaged +0.98%. August’s estimate based on the performance of the Barclay BTOP50 Index is -2.74%.
Hedge Fund Indices Managed Futures Indices
From the September 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
Thursday, August 13, 2015
Financial Intermediation in Private Equity: How Well Do Funds of Funds Perform?
By Robert S. Harris, University of Virginia Darden School of Business; Tim Jenkinson, Said Business School, University of Oxford and CEPR; Steven N. Kaplan, University of Chicago Booth School of Business and NBER; Ruediger Stucke, Warburg Pincus
In their paper, the authors benchmark fund of fund performance against both public equity markets and strategies of direct investment into private equity funds. They also examine the types of portfolios private equity FOFs create when they pool investor capital.
Download the full article here.
From the August 2015 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
In their paper, the authors benchmark fund of fund performance against both public equity markets and strategies of direct investment into private equity funds. They also examine the types of portfolios private equity FOFs create when they pool investor capital.
Download the full article here.
From the August 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, Financial Intermediation, Fund of Funds, hedge fund performance, Private Equity
New Fund Launches - August 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 rmiller@barclayhedge.com. Below is a list of recent fund launches:
From the August 2015 issue of the BarclayHedge Insider Report. Accredited investors can subscribe to the full newsletter for free.
From the August 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
June 2015 Hedge Fund and CTA Performance
The Barclay Hedge Fund Index fell 1.09% in June, as 14 of 18 hedge fund strategies were in negative territory. However, the Index remains up 3.33% year to date. The estimates for July, 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, 12 of 18 hedge fund sectors are showing positive returns for July.
Commodity Trading Advisor performance for June as measured by the Barclay CTA Index averaged -2.08%. July’s estimate based on the performance of the Barclay BTOP50 Index is +2.61%.
Hedge Fund Indices Managed Futures Indices
From the August 2015 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Commodity Trading Advisor performance for June as measured by the Barclay CTA Index averaged -2.08%. July’s estimate based on the performance of the Barclay BTOP50 Index is +2.61%.
Hedge Fund Indices Managed Futures Indices
From the August 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
Wednesday, July 8, 2015
The Case For and Against Activist Hedge Funds
By Yvan Allaire, PhD (MIT), FRSC Executive Chair, IGOPP Emeritus Professor
The number of activist ‘interventions’, some 27 in 2000, have surged to 345 in 2014. Activist hedge funds have now amassed an estimated $200 billion in managed assets. In “The Case For and Against Activist Hedge Funds,” Allaire explores the fast growing business of activist hedge funds, and the challenges faced by publicly listed corporations, as these interventions are spurring changes in corporate governance and redefining the role of the board of directors.
Download the full article here.
From the July 2015 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
The number of activist ‘interventions’, some 27 in 2000, have surged to 345 in 2014. Activist hedge funds have now amassed an estimated $200 billion in managed assets. In “The Case For and Against Activist Hedge Funds,” Allaire explores the fast growing business of activist hedge funds, and the challenges faced by publicly listed corporations, as these interventions are spurring changes in corporate governance and redefining the role of the board of directors.
Download the full article here.
From the July 2015 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Labels: Activist hedge funds, Barclay Insider Report, Barclay Insider Report Guest Article, hedge fund performance
May 2015 Hedge Fund and CTA Performance
Overall, 15 of Barclay’s 18 hedge fund indices showed positive returns in May. The average return for the 2,978 hedge funds (ex. FoFs) that have so far reported a May return is +0.82%. The estimates for June, 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, 13 of 18 hedge fund sectors are showing negative returns for June.
Commodity Trading Advisor performance for May as measured by the Barclay CTA Index averaged -0.17%. June’s estimate based on the performance of the Barclay BTOP50 Index is -4.23%.
Hedge Fund Indices Managed Futures Indices
From the July 2015 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Commodity Trading Advisor performance for May as measured by the Barclay CTA Index averaged -0.17%. June’s estimate based on the performance of the Barclay BTOP50 Index is -4.23%.
Hedge Fund Indices Managed Futures Indices
From the July 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
Friday, June 12, 2015
‘Missing’ Milkfat
The CME spot butter price hit a new record high in 2014, and due to environmental factors effecting milk production, the US market is turning out just as tight again in 2015 — contributing to a wonderfully bullish story. But, there is a big problem with the story, and that is there’s a record amount of milkfat going missing. The percentage of unaccounted for milkfat has been relatively stable over time, until it jumped higher in 2013, and again in 2014. In “‘Missing’ Milkfat,” Nathaniel Donnay, Senior Dairy Analyst – Informa Economics attempts to account for all of the milkfat (and protein) between farm production and finished dairy products, and provides market insight into world butter pricing.
Read the full study here.
From the June 2015 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Analysis of Commodity Market Fundamentals
Do you need a competitive advantage in the market? Informa Economics has designed a web-based service that will provide you with an information and resource advantage to keep you one step ahead -- the Informa Economics Trader.
Try before you buy - Access the world’s best short-term commodity market analysis for 14 days for free.
Read the full study here.
From the June 2015 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Analysis of Commodity Market Fundamentals
Do you need a competitive advantage in the market? Informa Economics has designed a web-based service that will provide you with an information and resource advantage to keep you one step ahead -- the Informa Economics Trader.
Try before you buy - Access the world’s best short-term commodity market analysis for 14 days for free.
Labels: Barclay Insider Report, Barclay Insider Report Guest Article, butter, commodities, Commodity Markets Analysis, Informa, milk fat
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