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Retained Profits Buoy Hedge Fund Industry Against Squall of Investor Redemptions

Retained Profits Buoy Hedge Fund Industry Against Squall of Investor Redemptions Net redemption activity continued to hold sway over the hedge fund industry in April, as it has for 14 of the last 16 months dating back to January of 2022. Net redemptions totaled -$30.05 billion or -0.60% of industry assets. A $12.57 billion trading profit during the month left total hedge fund industry assets hovering around the $5.03 trillion mark as April ended.…

Investors Continue Trimming Positions in Hedge Funds and Systematic CTAs

While Risk Factors Proliferate, Markets Shrug Hedge fund industry redemptions continued in March from the prior month’s level with -$18.31 billion in net outflows, -0.37% of industry assets. A $30.68 billion trading profit during the month brought total hedge fund industry assets to $5.03 trillion as March ended.…

Redemption Pressure on Hedge Funds and CTAs Returns with a Vengeance in February

An Almost Universally Gainful January Brings Investors Back to a Resilient Hedge Fund Industry After gulping fresh lungfuls of air in January, many hedge fund managers found themselves pushed underwater again in February by the boots of exiting limited partners. Hedge fund investors extracted -$11.58 billion during the month, causing a -0.23% contraction of industry assets. An aggregate -$59.87 billion trading loss in February tamped down total industry assets to $4.99 trillion as the month ended.…

Anomaly Discovery and Arbitrage Trading

Written By: Xi Dong, Qi Liu, Lei Lu, Bo Sun, Hongjun Yan Abstract The authors analyze a model in which an anomaly is unknown to arbitrageurs until its discovery, and test the model implications on both asset prices and arbitrageurs’ trading activities. Using data on 99 anomalies documented in the existing literature, they find that the discovery of an anomaly reduces the correlation between the returns of its decile-1 and decile-10 portfolios. This discovery effect is stronger if the aggregate wealth of hedge funds is more volatile. Finally, hedge funds increase (reverse) their positions in exploiting anomalies when their aggregate wealth increases (decreases), further suggesting that these discovery effects operate through arbitrage trading.…

January’s Directional Trading Opportunities Shatter Many of 2022’s Established Patterns

An Almost Universally Gainful January Brings Investors Back to a Resilient Hedge Fund Industry After nearly a year of persistent monthly net outflows, the hedge fund industry reversed course in January as the industry posted $3.94 billion worth of net inflows, equivalent to about 8 basis points in asset growth, according to the Barclay Fund Flow Indicator published by BarclayHedge, a division of Backstop Solutions. A $151.82 billion trading profit in January brought total hedge fund industry assets back over the $5 trillion USD threshold to settle at $5.05 trillion.…

2022 Survey Of The Top 50 Hedge Funds: Fourth Quarter Update

TOP 50 BEATS THE MARKET BY MORE THAN 23 PERCENTAGE POINTS IN 2022 Bucking virtually all market trends, Global Investment Report’s Top 50 hedge funds gained more than 5 percent last year. With fund selection based on the most consistent historical performance through 2021, more than two thirds of the group delivered positive returns in 2022. Leading the way were global macro, multistrategy, and volatility arbitrage funds. This year-end report includes full-year 2022 returns of each fund in the Top 50, analysis and interviews of leading fund managers, and insights from major hedge fund allocators about what to expect.…

Impact of Financial Innovation on Fund Performance: Hedging with Industry ETFs

Written By: Yigit Atilgana, K. Ozgur Demirtasb, A. Doruk Gunaydinc and Mustafa Oztekind Abstract Extant research provides evidence for financial innovation’s contribution to market efficiency by documenting that hedge funds which bet on positive earnings surprises manage their sector risk by shorting industry exchange-traded funds (ETFs). The authors add to this literature by considering a hypothetical hedge fund that can anticipate positive earnings news. They construct return series for a naked strategy that only takes long stock positions and a hedged strategy that also holds short positions in industry ETFs around earnings announcements with positive content. The main result is that hedging with industry ETFs improves fund performance based on various reward-to-risk ratios. This finding holds in various equity subsamples and both strategies tend to perform better among riskier stocks.…

Persistent Position Trimming in 2022 Gives Managers Pause on New Launches

On Assets Industry Ends 2022 About Where It Started, Less Forward Momentum The global hedge fund industry experienced -$45.82 billion in net redemptions in December, equivalent to a -0.94% loss of industry assets. December’s outflows were up from -$20.05 billion in redemptions in November, and contributed to -$318.52 billion in total industry outflows since April 2022. A -$69.78 billion trading loss in December brought total hedge fund industry assets down to $4.84 trillion as the month ended.…

Anomalies as New Hedge Fund Factors: A Machine Learning Approach

Written By: Yong Chen, Sophia Zhengzi Li, Yushan Tang, Guofu Zhou Abstract This paper identifies nine factors out of a large set of anomalies and macroeconomic factors for explaining hedge fund returns by using machine learning methods. The new factor model outperforms existing models both in sample and out-of-sample. Moreover, the model leads to a significant reduction in hedge fund alphas compared with other models, while revealing substantial cross-sectional performance heterogeneity. Further subsample analysis provides evidence of style shifting in the hedge fund industry. Overall, the proposed factors quantify well strategies and risk exposures of hedge funds and can be used for fund performance evaluation.…

Redemption Trend Slows as Hedge Funds Profitable Again in November

Net Redemption Trend Remains Unbroken Through November 2022 Hedge fund net redemptions slowed somewhat in November to -$20.05 billion, or -0.42% of industry assets. November’s outflows followed -$52.97 billion in redemptions in October, and -$48.59 billion in September. It was a continuation of a trend that began in February that has cumulatively sapped more than $288 billion from the hedge fund industry. A $135.17 billion November trading profit brought total hedge fund industry assets to nearly $4.90 trillion as the month ended.…

Advisor-hedge fund connections, information flows and deal outcomes in mergers and acquisitions

Written By: Michael Bowe, Olga Kolokolova, Lijie Yu Abstract This paper examines the impact of investment banks’ prime brokerage connections to hedge funds on the choice of an advisor and the deal outcome in M&As. Acquirers are more likely to choose advisors connected to hedge funds that hold equity in the target before the deal announcement. Such connections reduce deal duration, increase the likelihood of deal completion, and increase the acquirer abnormal return when target firms are characterised by a high degree of information asymmetry, suggesting an ‘indirect toehold’ mechanism of information transmission.…

Redemption Pressure Ratchets Up Worryingly for Hedge Funds and Systematic CTAs

Hedge Fund Outlook Gets Grim in October October redemptions from hedge funds outpaced subscriptions by -$52.97 billion, resulting in a -1.12% contraction of industry assets. This followed September’s net redemption figure of -$48.59 billion which was heretofore the largest net outflow for calendar year 2022. October’s outflows cap an unbroken trend of hedge fund redemptions dating back to February which has reclaimed nearly $268 billion from the industry A $71.03 billion trading profit during the month brought total hedge fund industry assets to more than $4.74 trillion as October ended.…

In Spite of Heavy September Redemptions, Q3 Net Outflows Materially Lower than Q2’s

CTAs Endure Worst Quarter of Investor Flight Since the Pandemic Began Hedge fund redemptions grew in September to -$48.59 billion (-0.98% of industry assets). September’s outflows follow net redemptions of -$18.93 billion in August and -$16.88 billion in July. In total, redemptions exceeded subscriptions in Q3 2022 by -$84.40 billion. This represents a modest slowdown from Q2’s redemption activity in which industry redemptions swamped subscriptions by -$92.08 billion. For the year to date interval, hedge funds have suffered an excess of -$203.75 billion redemptions over new subscriptions. A -$185.16 billion trading loss during the month brought total hedge fund industry assets to $4.71 trillion as September ended.…

2022 Survey Of The Top 50 Hedge Funds: Third Quarter Update

The Top 50's Remarkable Outperformance Spiking volatility fueled by rising interest rates, high energy costs, and sustained inflation sent the market plummeting by nearly 24% through the first three quarters of the year. Russia's increased shelling of critical Ukrainian infrastructure as winter sets in is turning the war even more horrific. This is ratcheting up geopolitical tensions and global economic uncertainty as Europe appears headed for recession that's likely to jump the Atlantic and hit the US in 2023. And growing liquidity concerns threaten to turn this troublesome brew toxic. All this makes the Top 50 hedge funds’ performance even more noteworthy. The group was up nearly 4.5% year-to-date through September, outpacing the market by 28 percentage points. Outperformance continues to be driven by multistrategy, volatility arbitrage, and global macro funds. In addition to extensive data reporting and analysis, this update includes interviews and commentary from Graham Capital Management's Ken Tropin, hedge fund manager Dan Zwirn, economic historian Niall Ferguson, economist and senior fellow at the American Enterprise Institute Desmond Lachman, and New York Times columnist Thomas Friedman.…

Luck or skill: What drives hedge fund performance persistence?

Written By: Ekaterina Ipatova, Mamata Parhi, Tapas Mishra, Kaizad Doctor Abstract This paper produces multiple fund-of-funds’ portfolios based on sorting and a novel nonparametric approach to lend in-depth insights into the extent hedge fund returns display higher order (non-linear) persistence patterns. By exploiting monthly data from Hedge Fund Research Database between 1999:1 to 2015:12, an out-of sample exercise provides robust evidence of performance persistence over the time horizon. However, up to 80% of hedge funds appear to be ‘lucky’ performers, confirmed upon undertaking a battery of robustness measures. We name those ‘lucky’ hedge funds, which pass the classical persistence selection procedure and are selected ‘by accident’ with regard to funds with persistent returns. We argue that these funds are unlikely to experience significant outperformance in the future. Our non-parametric identification mechanism allows for a reduced number of persistent funds, enabling practitioners to focus on a few with meaningful qualitative scrutiny. Moreover, we expand the debate in the literature by analysing post-crisis data and demonstrating that after the 2008 crisis, the proportion of genuinely persistent funds got significantly reduced.…

Hedge Funds and Managed Futures Industries Both Perpetuate Redemption Trends in August

Redemptions from Hedge Funds Exceed Subscriptions for the Seventh Month in a Row The pace of Hedge Fund redemptions accelerated slightly in August to -$18.92 billion (-0.38% of industry assets). August’s outflows followed -$16.88 billion in net redemptions in July. Even with August’s slight increase, however, net redemptions remain in a slower trend than we observed in the late spring and early summer periods of 2022 in which April saw -$22.40 billion in excess redemptions; May booked -$27.53 billion; and June showed -$42.14 billion. A -$54.13 billion trading loss during the month brought total hedge fund industry assets to more than $4.96 trillion as August ended.…

Retail Hedge Funds

Written By: Andrew J. Sinclair, Chuyi Zhang Abstract We use a novel fund-level measure to identify 877 retail hedge funds. On average, retail funds do not underperform, either on an absolute basis or relative to institutional funds. In the cross-section, 14.3% of retail funds produce positive alpha and performance is predictable: funds with low systematic risk outperform, and poor performing funds persistently underperform. Turning to investor behavior, retail investors are “hot money” and are more likely to divest following poor performance. They do not exhibit selection ability but are not “dumb money,” and they also chase alpha and ignore (or avoid) common factor returns.…

BarclayHedge: The Leader in Alternative Investment Data

BarclayHedge Data Enables You To: Eliminate countless hours spent collecting and compiling data Gain consistent and timely reporting of data Perform comprehensive manager comparisons and peer group analysis Benchmark funds against similar strategies and relevant indices Perform correlation analysis for factsheets and investor presentations Assess the risk and reward of adding a fund to a portfolio Understand overall flows into strategies and regions…

Hedge Funds Ride the Swell in Equity Markets While Investors Get Circumspect on Redemptions

Most Regions See On-Going Hedge Fund Redemptions in July, but Trading Profit Boosts AUM Investors continued trimming their exposures to risk assets in July, albeit at a somewhat less frantic pace than we have observed over the prior four months. This manifested as slowing net redemptions from hedge funds in July to -$16.88 billion (-0.35% of industry assets). July’s outflows followed -$42.14 billion in June, -$27.53 billion in redemptions in May and -$22.40 billion in April. A $124.13 billion trading profit during the month helped to prop up total hedge fund industry assets to more than $4.99 trillion as July ended.…

Incorporating Alternative Risk Premia into Balanced Portfolios: Is there any added value?

Written by: Francesc Naya, Jahja Rrustemi, Nils S. Tuchschmid Abstract Evaluating the performance of Alternative Risk Premia products as standalone investments is not sufficient to conclude whether these products add value to institutional investors, whose portfolios are largely composed of well-diversified equity and bond allocations, and usually smaller ones to alternatives assets, including alternative risk premia products. In this article, we study whether the inclusion of ARP products add value to two well-known benchmarks of balanced allocations: the 60/40 world equity/bond portfolio and the Pictet LPP 2015-60 index. Taking a sample period from 2016 to May 2021 of live ARP products, we find that a systematic allocation to ARP with no equity exposure significantly improves risk-adjusted performance measures, due to risk reduction, even though it caused a small drag in compounded return over the long term. This impact is somehow similar to the one many investors seek in Trend-Following funds or Tail-Hedge products, for which we compare results. Finally, the drag in performance disappears if one can dynamically manage the inclusion of ARP into the balanced portfolios, even though it is well-known that market timing ability is at the very least a rare asset.…

2022 Survey Of The Top 50 Hedge Funds: Mid-Year Update

A First Half Of Historic Divergence July brought some relief: a market rally, a soaring jobs report, and inflation numbers that didn’t accelerate as commodity prices continued their decline. This may suggest to some investors we’re past the worst of the bear market. But inflation remains stubbornly high, rising interest rates are threatening recession, food and energy insecurity are growing more acute, and serious supply chain issues remain. Somewhat forgotten: The tragic six-month Russian war against Ukraine shows no signs of letting up, exacerbating macroeconomic and security problems and raising geopolitical tensions. All of this has contributed to one of the market's worst first-half starts since the Great Depression. More remarkable that the Top 50 Hedge Funds ended the first half of 2022 in the black, outpacing the market by 21 percentage points.…

Sustained Redemptions from Hedge Funds Make Visible Dent in 2022’s All Time AUM Record

Via Reinvested Profits and New Starts, CTA Industry Continues to Achieve New Heights The pace of hedge fund redemptions accelerated in June to -$42.14 billion, equivalent to a reduction of industry AUM of -0.83%. June’s outflows were up from -$27.53 billion in redemptions in May and -$22.40 billion in April. June marked the fifth month in a row in which redemptions outpaced subscriptions. Since February 2022, when the trend began, outflows have exceeded inflows by a combined -$130 billion USD. A -$173.10 billion trading loss in June brought total hedge fund industry assets to $4.87 trillion as the month ended.…

Advisory Firm Paths to Side-By-Side Management and Mutual Fund Performance

Written by: Jongwan Bae, Timothy Haight, Chengdong Yin Abstract We examine the performance of mutual funds under side-by-side (SBS) management with hedge funds from a new perspective. Using SEC filings to identify advisory firms engaged in SBS management, we find that mutual fund performance is affected by an advisory firm’s path to SBS management (i.e., whether they started with mutual funds or hedge funds). While no significant path effects are observed when SBS advisers started with mutual funds, we observe significant outperformance when SBS advisers started with hedge funds. However, the performance benefit provided by SBS advisers that started with hedge funds becomes insignificant when SBS management is conducted at the portfolio manager level. Further analysis suggests that these effects relate to the relative contributions of mutual funds and hedge funds to advisers’ total assets and compensation. SBS advisers that started with mutual funds rely heavily on mutual funds for both assets and compensation, which could explain why mutual fund performance does not suffer when these advisers expand into hedge funds. Meanwhile, SBS advisers that started with hedge funds derive more of their assets from mutual funds, though hedge funds generally contribute more to their total compensation. These patterns suggest there are adviser-level incentives to deliver strong mutual fund performance (which attracts capital from new investors) and manager-level incentives to favor hedge funds (which increases compensation).…

Most Hedge Fund Subsectors Lose Money and Investor Capital in May

Despite Recent Outperformance, Subscriptions to CTAs Apparently Slowing Hedge Fund redemptions accelerated slightly in May to -$27.53 billion (-0.54% of industry assets), up from -$22.40 billion a month earlier. A -$26.36 billion trading loss in May brought total Hedge Fund industry assets to $5.07 trillion as the month ended.…

Hedge Fund Performance: A Quantitative Survey

Written by: Fan Yang, Tomas Havranek, Zuzana Irsova, Jiri Novak Abstract We provide the first quantitative survey of the empirical literature on hedge fund performance. We examine the impact of potential biases on the reported results. Empirical analysis in prior studies has been plagued by fragmentation of underlying data and by limited consensus on how hedge fund performance should be measured. Using a sample of 1,019 intercept terms from regressions of hedge fund returns on risk factors (the “alphas”) collected from 74 studies published between 2001 and 2021 we show that inferences about hedge fund returns are not significantly contaminated by publication selection bias. Most of our monthly alpha estimates adjusted for the (small) bias fall within a relatively narrow range of 30 to 40 basis points. Considering several partitions of our sample, we document a modest publication bias only for estimates based on instrumental variables (IV), for which relatively large standard errors are common and that tend to be less precise. In contrast, studies that explicitly control for the potential biases in the underlying data (e.g. the backfilling bias and the survivorship bias) report lower alphas. Our results demonstrate that despite the prevalence of the publication selection bias in numerous other research settings, publication may not be selective when there is no strong a priori theoretical prediction about the sign of estimated coefficients, which may induce greater readiness to publish statistically insignificant results.…

Hedge Funds Experience Redemptions of $22 Billion in April

CTAs Continue to See Inflows Which Push Assets to New All-Time High of $380.59 Billion Hedge fund redemptions slowed somewhat in April though the trend continued. The month’s outflows totaled $22.40 billion, 0.44% of industry assets, a reduction from the $35.37 billion in outflows the industry experienced in March. A $131.83 billion trading loss during the month brought total hedge fund industry assets to nearly $5.11 trillion as April ended.…

2022 Survey of the Top 50 Hedge Funds

Hedge Fund Investing During a Time of War Like the 2020 edition, this year’s survey collides with a seismic event — a geopolitical shock wrapped around soaring inflation, rising interest rates, and weakened supply chains. Several key takeaways: Over the past five years through 2021, the Top 50 hedge funds collectively generated net annualized returns that trailed a red-hot S&P 500 by just several percentage points, but did so with significantly less risk. The group’s largely uncorrelated returns produced a 5-year Sharpe Ratio that was more than 60 bps higher than the market. Equity, multistrategy, and credit funds led the way, and nearly half of the Top 50 were smaller funds, managing less than $1 billion. As was shown in the 2020 survey, the current Top 50 funds have again preserved capital better than the S&P 500 during the first quarter drawdown. They delivered positive returns, having outpaced a declining market by more than 7 percentage points through March. This year’s survey includes interviews with leading managers and allocators from Citadel, Amundi, Generali, EFG International, NS Partners, along with six hedge fund managers who made this year’s Top 50.…

Decentralized Finance, Crypto Funds, and Value Creation in Tokenized Firms

Written by: Douglas Cumming, Niclas Dombrowski, Wolfgang Drobetz, Paul P. Momtaz Abstract Crypto Funds (CFs) represent a novel investor type in entrepreneurial finance. CFs intermediate Decentralized Finance (DeFi) markets by pooling contributions from crowd-investors and investing in tokenized startups, combining sophisticated venture- and hedge-style investment strategies. We compile a unique dataset combining token-based crowdfunding (or Initial Coin Offerings, ICOs) data with proprietary performance data of CFs. CF-backed startup ventures obtain higher ICO valuations, outperform their peers in the long run, and benefit from token price appreciation around CF investment disclosure in the secondary market. Moreover, CFs beat the market by roughly 2.5% per month. Their outperformance is persistent, suggesting that CFs deliver abnormal returns because of skill, rather than luck. These performance effects for CFs and CF backed startups are driven by a fund’s investor network centrality. Overall, our study paves the way for research on what some refer to as the “crypto fund revolution” in entrepreneurial finance.…

Are Investors Finally Ready to Tap the Brakes on Their Hedge Fund Allocations?

Managed Futures Funds Continued Absorbing Investor Capital, Albeit at a Slower Rate Hedge fund net redemptions accelerated in March totaling -$35.37 billion, a reduction of -0.70% of industry assets. March’s outflows follow -$3.19 billion in redemptions in February. Nevertheless, a combination of new market entrants and an aggregate $18.24 billion trading gain for the month brought total industry assets to nearly $5.14 trillion as March ended.…

Hedge Fund Investment in ETFs

Written by: Douglas Cumming, Pedro Monteiro Abstract This paper examines the causes and consequences of hedge fund investments in exchange traded funds (ETFs) using U.S. data from 1998 to 2018. The data indicate that transient hedge funds and quasi-indexer hedge funds are substantially more likely to invest in ETFs. Unexpected hedge fund inflows [outflows] cause a rise [reduction] in ETF investments, and the economic significance of unexpected flow is more than twice as large for transient than quasi-indexer hedge funds. Expected hedge fund flows are statistically unrelated to ETF investments on average. When ETF investment is accompanied by an increase in unexpected flow, hedge fund alphas are higher. When ETF investment is accompanied by an increase in expected flow, hedge fund alphas are lower. The data are consistent with the view that hedge fund ETF investment unrelated to unexpected flow is an agency cost of delegated portfolio management.…

New Entrants Push Global Hedge Fund Industry Over $5 Trillion Threshold Despite February Shunting

Managed Futures Funds Suddenly Back in Vogue and in the Money The hedge fund industry was unable to build much momentum on January’s net inflows. February saw broad trading losses and redemptions that collectively led to marginal net outflows of -$3.19 billion and a reduction in industry assets of -0.07%. Nevertheless, BarclayHedge’s model indicated an increase in industry AUM to $5.04 trillion—a result driven by a significant number of funds coming online in the first months of the year. However, things looked very different in managed futures funds’ corner of the world in February. CTAs swung back to net inflows with net inflows totaling +$2.93 billion, increasing industry assets by nearly a percentage point. Moreover, industry inflows were buoyed by increasing interest in all four CTA subsectors.…

The All-Weather Portfolio Approach: The Holy Grail of Portfolio Management

Written by: Youssef Louraoui Abstract This research article aims to analyze the All-Weather strategy advocated by the very famous hedge fund manager Ray Dalio. Through an analysis of nearly 10 year of market data, we have selected ETF funds to replicate the investment principle by using a classic approach. We present the different results that suggest an overall performance that converge with the original analysis proposed in the Bridgewater Associates (2009) research paper that shows the benefits of the All Weather approach on the overall portfolio risk/return trade-off.…

Hedge Funds Continue Winning Investor Favor, Raking in Another $11.29 Billion in January

January Investor Behavior Strikes Cautiously Optimistic Tone The hedge fund industry resumed attracting capital in January, scooping up $11.29 billion in new assets, good for an increase of 0.24% in total industry assets. A -$117.92 billion trading loss for the month left total industry assets at the $4.80 trillion mark as January closed. “End of year profit-taking, tax-harvesting and rebalancing in December 2021 broke an impressive nine-month run of net inflows to the hedge fund industry. Happily, January marked a return to net inflows, albeit in a somewhat more circumspect manner: Investors gave over an additional $11.29 billion to managers on the month,” observed Ben Crawford, Head of Research at BarclayHedge. “It is notable, however, that January 2022’s net inflows were less than 40% of the industry’s uptake a year ago and also well below the mean monthly inflow from 2021.”…

2021 Global Survey of the Top 50 Hedge Funds: Q4 Update

Fourth Quarter Market and Performance Update The S&P 500 soared nearly 29% in 2021, nearly half of which was generated just in the 4th quarter in spite of clear threats to growth. It was during these last 3 months of the year when the gap between the index and the Top 50 Hedge Funds drastically expanded from nearly 5% to more than 18%. While most of the 50 sustained their historical annualized returns, two basic factors drove last year’s performance gap. One: the 10 largest contributors to the S&P 500’s returns were responsible for more than one-third of the index’s total gains. Two: the reversal in fortunes suffered by a handful of veteran hedged equity and global macro managers who had a long history of consistent solid returns. This report will explore why this occurred. Note: two thirds of the 4th-quarter gains linked to the index's top contributors’ were lost during the first 7 weeks of 2022 —before Russia invaded Ukraine.…

Which Investors Drive Factor Returns?

Written by: Morad Elsaify Abstract Different investors hold different portfolios. To explain this phenomenon, I build a model in which investors have different information processing capabilities. The model predicts that highly capable investors specialize in factor timing, hold more volatile and dispersed portfolios, and reduce average risk premia and volatility. Using novel empirical measures of investors’ capabilities and information choices, I find that hedge funds are the most capable investors, while insurance companies and pension funds are the least. Variation in factor timing ability is the primary driver of these differences. Investors’ portfolios exhibit properties consistent with the model’s predictions. Using a demand system approach, I show that hedge funds have the greatest per-dollar impact on expected returns, shrinking expected returns in the factor zoo by nearly 40% per $1 trillion of invested capital.…

$39.8 Billion in December Profits Elevate Industry AUM to Record $4.80 Trillion

December Hedge Fund Outflows Merely Accentuate a Year of Spectacular Investor Interest After nine consecutive months of inflows, the hedge fund industry saw funds flow out of the sector in December with -$20.4 billion in net redemptions. December’s redemptions represented -0.44% of hedge fund industry assets. A $39.8 billion trading profit in December brought total industry assets to nearly $4.80 trillion at year end.…

Anti-Herding by Hedge Funds, Idiosyncratic Volatility and Expected Returns

Written by: Sara Ali, Ihsan Badshah, Riza Demirer Abstract Utilizing a dataset of 1,899 U.S. hedge funds, we present evidence of anti-herding behaviour among hedge fund managers in the U.S. Hedge funds anti-herd primarily based on fundamental information and irrespective of market volatility and credit deterioration conditions although funding illiquidity has a stronger effect on the formation of anti-herding behaviour across the majority of hedge fund schemes analysed. Interestingly, however, we observe a greater deal of heterogeneity across the different hedge fund categories, particularly during crisis periods, with certain hedge fund schemes including Convertible Arbitrage, Equity Market Neutral and Fixed Income Arbitrage experiencing herding driven by the COVID-19 induced market uncertainty. More importantly, we document significant economic implications of anti-herding and show that hedge funds associated with high degree of anti-herding earn significantly higher excess returns over those with low degree of anti-herding, particularly in the intermediate and long horizons up to one year. At the same time, hedge funds that anti-herd experience greater idiosyncratic volatility in subsequent periods, presenting a novel perspective to the relationship between anti-herding, idiosyncratic volatility and expected returns. While the finding of antiherding in the hedge fund industry is not unexpected as the main attraction of hedge funds is to devise proprietary trading strategies that is based on private information, our findings provide novel insight to the link between idiosyncratic volatility and expected returns in the context of anti-herding in the hedge fund industry.…

Nine Consecutive Months of Positive Net Inflows Push Hedge Fund AUM to $4.69 Trillion Mark

Global Hedge Fund Assets Reach $4.69 Trillion in November as Most Regions See Inflows The hedge fund industry extended its monthly inflow streak to nine consecutive months in November bringing in $19.3 billion in new assets. November’s inflows represented 0.41% of hedge fund industry assets. With the addition of November’s inflows, the hedge fund industry has added $199.8 billion in new assets over the nine-month period. A trading loss of nearly -$40.0 billion during the month brought total industry assets to nearly $4.69 trillion as November ended.…

Rapid Rebound from September Losses Stokes Continuing Investor Interest in Hedge Funds

$4.66 Trillion Industry Rewarded with $26.5 Billion More to Manage The hedge fund industry posted inflows for an eighth consecutive month in October, attracting $26.5 billion in new assets, equivalent to a 0.59% jump in industry assets. Over the eight-month run, Hedge Funds have packed on a total of $180.5 billion in new AUM. $44.0 billion in monthly trading profits pushed total hedge fund industry assets to more than $4.66 trillion as October ended.…

2021 Hedge Fund Survey - Q3 Update

Third quarter volatility ended up sending many trends sideways, leaving the market and the hedge fund industry flat for the period. Meanwhile, hedged equity, macro, and emerging market managers helped the Top 50 funds add nearly two full percentage points during the quarter. This select group outperformed the BarclayHedge average hedge fund return by 2.3% through the first 9 months of 2021, narrowing the amount by which it trails the market.…

2021 Hedge Fund Survey - Mid-Year Update

The 2021 hedge fund survey published in June, which ranked the 50 top-performing funds over the trailing five years through 2020, found as a group they continued to outperform their peers and kept pace with the market during the first quarter. Through the 2nd quarter, the Top 50 again outperformed the hedge fund industry, led by distressed securities and hedged equity managers. But a relentless bull market surged ahead, ignoring inflation fears, unanticipated rise in 10-year Treasury prices, a flattening yield curve, and a rising dollar--factors that weighed on fixed-income, credit and macro strategy returns.…

Investors Plow Another $18.3 billion into Hedge Funds in July Pushing Industry AUM to $4.40 Trillion

Managed Futures Funds Return to Winning Ways--Pick Up $920 million in New Capital

The hedge fund industry continued adding to assets in July with $18.3 billion in inflows. July’s inflows represented 0.4% of industry assets, according to the Barclay Fund Flow Indicator published by BarclayHedge, a division of Backstop Solutions. August marked the industry’s fifth consecutive month of inflows, coming on the heels of $16.6 billion in June, $36 billion in May, $23.3 billion in April and $19.1 billion in March.…

Hedge Fund Industry’s AUM Swells to a Staggering $4.32 Trillion in June

Investors diverted an additional $16.6 billion to hedge funds in June. The month’s inflows represented 0.4% of assets and continued an inflow trend that saw $36 billion in new assets in May, $23.3 billion in April and $19.1 billion in March, according to the Barclay Fund Flow Indicator published by BarclayHedge, a division of Backstop Solutions.…

Hedge Funds Eke Out a 9th Consecutive Month of Gains with a 0.07% Return in July

Emerging Markets in Asia and Latin America Hammered by Global Uncertainty

The hedge fund industry tallied its 9th straight month of gains in July with an overall return of 0.07%, according to the Barclay Hedge Fund Index compiled by BarclayHedge, a division of Backstop Solutions. By comparison, the S&P 500 Total Return Index gained 2.38% in July. For the year to date interval, the Barclay Hedge Fund Index was up 8.95% as of the close of July versus 17.99% for the S&P 500 Total Return Index.…

Growth in Hedge Fund Assets Accelerates as Net Inflows Leap Nearly 55% Month-over-Month

CTAs March on to Seventh-Straight Month of Positive Net Flows with $3.3 Billion Pickup in May

Investors poured another $36 billion into hedge funds in May, adding nearly a percentage point of growth to industry assets. May marked the third consecutive period of net inflows in what appears to be an accelerating trend. The Barclay Fund Flow Indicator published by BarclayHedge, a division of Backstop Solutions, shows $19.1 billion in net inflows in March, a 22% jump in April ($23.3 billion) followed by a nearly 55% leap in May.…

Uncertainty Begins to Cloud Brightening Economic Narrative; Barclay CTA Index Sheds -0.18% in June but Up 4.69% YTD

Rocked by Both Washington and Beijing, Crypto Rout Continues: Down Another -7.35% in June

Managed futures funds reversed course in June losing -0.18% following four consecutive months in the black, according to the Barclay CTA Index, compiled by BarclayHedge, a division of Backstop Solutions. The year-to-date picture remained positive, however, with CTAs up 4.69% cumulatively through June.…

Reports of the Death of the Tech Bull-Run Exaggerated; BarclayHedge Index Compounded Return of 8.95% YTD

Every Subsector of the Hedge Fund Industry in the Black through June 2021, According to Backstop BarclayHedge

The hedge fund industry continued its winning ways in June, returning +0.88% on the month, according to the Barclay Hedge Fund Index compiled by BarclayHedge, a division of Backstop Solutions. This marks the eighth consecutive month of positive results for hedge funds. On a year-to-date basis, the Barclay Hedge Fund Index shows a compounded return of +8.99%.…

Hedge Fund Assets Grow Nearly 40% YoY After Posting $23.3 Billion in April Net Inflows

All CTA Sectors Grow YoY; Industry Assets Up Nearly 19% Since April 2020

Net Inflows of $23.3 billion in April signaled a continued vote of investor confidence in the hedge fund industry. This result represented an increase in industry AUM of .6% on the month and built momentum on the previous month’s $19.1 billion increase in hedge fund assets, according to the Barclay Fund Flow Indicator published by BarclayHedge, a division of Backstop Solutions. Industry trading profits exceeded $55.5 billion in April and carried the industry’s aggregate AUM figure past the $4.18 trillion mark.…

Managed Futures Funds Advance Solidly in May Despite Uneasiness Elsewhere

May Sees Crypto Assets Shed a Trillion Dollars’ Worth of Market Cap

Managed futures funds ground out another solid batch of returns this month, yielding 0.81% and making May the fourth period in a row of gains for the CTA industry. For the year-to-date interval, CTAs have earned their investors a return of 4.85% according to the Barclay CTA Index, compiled by BarclayHedge, a division of Backstop Solutions.…

Hedge Funds Return 2.14%, Up 7.06% Year to Date, According to Backstop BarclayHedge

All Hedge Fund Sectors but One in the Black for the Month as Economic Indicators Suggest the Recovery Is Gaining Speed

The hedge fund industry added to its gains in April, returning 2.14% as the industry posted a sixth consecutive month in the black, according to the Barclay Hedge Fund Index compiled by BarclayHedge, a division of Backstop Solutions. By comparison the S&P 500 Total Return Index gained 5.34% in April.…

Hedge Funds Return 1.23% in March, Up 4.93% Year to Date, According to Backstop BarclayHedge

Encouraging Economic Indicators Fuel Equity Markets and Lead to Monthly Gains for Most Hedge Fund Sectors

The hedge fund industry continued its positive run in March returning 1.23% for a fifth consecutive month in the black, according to the Barclay Hedge Fund Index compiled by BarclayHedge, a division of Backstop Solutions. By comparison the S&P 500 Total Return Index gained 4.38% during the month.…

Hedge Funds Return 2.68% in February, Up 3.76% Year to Date, According to Backstop BarclayHedge

Encouraging Signs of Economic Recovery Boost Investor Confidence as Nearly All Sectors Post Monthly Gains

The hedge fund industry continued its positive run in February, returning 2.68% for the month, according to the Barclay Hedge Fund Index compiled by BarclayHedge, a division of Backstop Solutions. By comparison, the S&P Total Return Index gained nearly 2.76% in February.…

Barclay CTA Index Returns 1.38% in November, According to Backstop BarclayHedge

New all-time highs in equity markets joined with uptrends in industrial metals, energy and crop markets to set the stage for a profitable month

Managed futures funds broke a two-month slump in November, posting a 1.38% return for the month, according to the Barclay CTA Index, compiled by BarclayHedge, a division of Backstop Solutions. For the year-to-date, CTAs were up 2.60% through November.…

Hedge Fund Industry Returns 5.54% in November, According to Backstop BarclayHedge

Historic equity market performance, encouraging COVID-19 vaccine news help hedge fund industry to positive month after back-to-back monthly losses

The hedge fund industry reversed two consecutive months of losses in November, returning 5.54% for the month, according to the Barclay Hedge Fund Index, compiled by BarclayHedge, a division of Backstop Solutions. By comparison, the S&P 500 Total Return Index was up 10.9% for November.…

Hedge Fund Industry Loses 0.11% in October, According to Backstop BarclayHedge

Spiking COVID-19 infection rates, new government lockdowns, stalled U.S. stimulus efforts contribute to a second straight month of hedge fund losses

The hedge fund industry posted a second consecutive monthly loss in October, down 0.11% for the month, according to the Barclay Hedge Fund Index, compiled by BarclayHedge, a division of Backstop Solutions. Once again, however, the hedge fund industry outperformed the S&P 500 Total Return Index, which was down nearly 2.66% in October.…

Hedge Fund Industry Loses 0.65% in September, According to Backstop BarclayHedge

Rising infection rates, second stimulus uncertainty and contested election concerns bring an end to a five-month run of hedge fund gains

After five straight months in the black, hedge funds posted a negative number in September losing 0.65% for the month, according to the Barclay Hedge Fund Index, compiled by BarclayHedge, a division of Backstop Solutions. The hedge fund industry outperformed the S&P 500 Total Return Index, which was down 3.80% in September.…

Hedge Funds Post a Second Straight Month of Inflows Adding $10.5 Billion in July, According to Backstop BarclayHedge

A drop in unemployment numbers, percentage declines in Covid-19 death rates and rising equity markets buoy investors’ confidence

Hedge funds experienced a second straight month of inflows in July, bringing in $10.5 billion as the industry continued to shake off spring’s pandemic-driven redemption trend. July’s new assets built on June’s $15.1 billion in inflows.…

Hedge Fund Industry Gains 2.42% in August, According to Backstop BarclayHedge

Most hedge fund sectors benefit as a fifth consecutive month of positive equity returns fuels investor confidence

As Wall Street experienced its best August since the 1980s, the hedge fund industry posted its fifth straight positive month returning 2.42% in August, according to the Barclay Hedge Fund Index, compiled by BarclayHedge, a division of Backstop Solutions. By comparison, the S&P 500 Total Return Index was up 7.19% in August.…

Hedge Fund Industry Gains 2.76% in July, According to Backstop BarclayHedge

Stronger than expected June job numbers, hopes for additional government stimulus and vaccine optimism spur investors, driving all hedge fund sectors to a profitable July

The hedge fund industry turned in a fourth consecutive positive month in July as stock markets’ continued strong performance contributed to a 2.76% return, according to the Barclay Hedge Fund Index, compiled by BarclayHedge, a division of Backstop Solutions. By comparison, the S&P 500 Total Return Index was up 5.64% in July and closed at an all-time month-end high.…

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