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Hedge Fund Analytix Samples and Examples |
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Hedge Fund Analytix Samples and Examples |
| S&P Directional/Tactical Index: U.S. Equity Exposure |
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Directional/Tactical hedge funds are showing U.S. Equity exposure at new high levels. |
| S&P Managed Futures Index: Short the U.S. Dollar |
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Managed Futures funds are showing negative (short) dollar exposure, but not nearly so short as in January. |
| Asset Class Factors (Managed Futures Index) |
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Managed Futures are long bonds, and stock in U.S. and globally. Short the dollar |
| Global Positioning Factors (Directional/Tactical Index) |
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Dir/Tactical hedge funds show significant positive sensitivity in five key global regions (including U.S. bond market). |
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S&P Hedge Fund Index Correlations |
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Arb funds show no significant correlations to five other S&P classes. |
| S&P-to-DJ Correlations |
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Correlations not significant at .05 are suppressed. DJ Convertible Arbitrage strategy index (left column above) is essentially uncorrelated with any S&P strategy indexes. DJ Market Neutral (2nd from right column) is significantly correlated only with S&P Arbitrage, at .271. DJ and S&P Long-Short indexes are highly correlated (red circle). |
| 12-Month Performance |
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Managed Futures lost 8% in the twelve months ended March 31. This strategy also generated the highest volatility, with a standard deviation of 17%. The Dow Jones Distressed Securities Strategy Benchmark had the highest 12-month return of almost 12%, with very low volatility of StD=2.7%. |
| 1-Month Performance |
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