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"Hedge funds are poised to record their worst performance since 2011, according to JPM.Here are the highlights:Relative to a bond/equity portfolio benchmark, with weights chosen to reflect the relative distance of bond and equity volatility from that of HFs, HFs underperformed by -1.7% YTD.It is not only that HFs appear to have delivered a negative alpha for a second year in a row, the properties of both their cross sectional and time series return distributions have been also disappointing.It is the first time since 2011 that the portion of the HF universe delivering returns of less than -10% YTD is larger than the portion of HF returning above 10%.The skewness of HF daily return distribution so far this year has been more negative and its kurtosis higher than that of either bonds or equities.By looking at their skewness and kurtosis combined, HFs have not only delivered worse convexity than last year but they appear to have delivered the lowest convexity since 2011.It is ironic that the HF categories that have suffered the most, Event Driven and Equity Long/Short, were the ones which together* received* the highest inflows YTD.The relative growth of Equity L/S and Fixed income-based Relative Value Arbitrage, which represent the highest HF sectors in terms of AUM, indicates higher appetite by investors for Relative Value strategies"
"Hedge funds are poised to record their worst performance since 2011, according to JPM.Here are the highlights:Relative to a bond/equity portfolio benchmark, with weights chosen to reflect the relative distance of bond and equity volatility from that of HFs, HFs underperformed by -1.7% YTD.It is not only that HFs appear to have delivered a negative alpha for a second year in a row, the properties of both their cross sectional and time series return distributions have been also disappointing.It is the first time since 2011 that the portion of the HF universe delivering returns of less than -10% YTD is larger than the portion of HF returning above 10%.The skewness of HF daily return distribution so far this year has been more negative and its kurtosis higher than that of either bonds or equities.By looking at their skewness and kurtosis combined, HFs have not only delivered worse convexity than last year but they appear to have delivered the lowest convexity since 2011.It is ironic that the HF categories that have suffered the most, Event Driven and Equity Long/Short, were the ones which together* received* the highest inflows YTD.The relative growth of Equity L/S and Fixed income-based Relative Value Arbitrage, which represent the highest HF sectors in terms of AUM, indicates higher appetite by investors for Relative Value strategies"
[text] Hedge Funds Suffer Worst Year Since 2011 | Zero Hedge
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