Note Are markets becoming more unstable?
Readers of financial news may believe that ‘market corrections’, or ‘shocks’, or ‘five-sigma events’ are more common than they used to be. Winton Capital Management look at the historical data for a number of financial markets and find that there is no evidence for increasing (...)
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Interview Bruno Crastes : « Our models are still based on an enhanced version of the Black-Litterman model »
Former star managers of Amundi, Bruno Castres and Vincent Chailley have created H2O Asset Management, a London-based alternative management company. In an interview with Next-Finance, Bruno Castres unveils the firm’s objectives and (...)
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Regulation Regulatory prospects: 2012 and beyond
2009 was a year of intense reflection on the functioning of the financial sector. There followed an intense regulatory activity in 2010, unfortunately with few formal adoptions of regulations. 2011 marked the surge of the will to succeed with provisional schedules. Where do (...)
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Stories Key Quant: New revelation of systematic management
"Key Quant”. The saga of Robert Baguenault de Viéville and Raphael Gelrubin could be summarized in these two words, the name of the company they run. Specialized in systematic trend-following management strategies (trend following (...)
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News Alternatives already add alpha in 2013
Hedge funds have started 2013 on a high note; the Lyxor Hedge Fund Index was up +1.6% in January. Twelve Lyxor Strategy Indices out of 14 ended the month in positive territory, led by the Lyxor L/S Equity Market Neutral Index (+5.1%), the Lyxor L/S Equity Long Bias Index (...)
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Innovation GAM launches GAM Systematic Global Equity Market Neutral
The GAM Systematic Global Equity Market Neutral fund uses systematic strategies and proprietary trading systems to invest in global single-name equities. Designed to deliver returns uncorrelated with a long-only equity (...)
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Strategy Five reasons why special situations outlook is brightening
Special Situations strategies have been under pressure in 2020, both on their event and credit arbitrage books. Due to their long structural market beta, managers have underperformed early this year. They have retraced most but not all they have (...)
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News Merger Arbitrage Expected to Continue Its Climb in Q4
As the third quarter came to an end, it is time to take some perspective. The summer lull fuelled risk assets after a turbulent first half (MSCI World +4.5% in Q3) and hedge funds benefitted from it. Strategies with higher betas outperformed, such as L/S Equity and (...)
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News George Soros Quantum posted worst year performances since 2002
George Soros’s Quantum Endowment Fund last year turned in its worst performance in nine years. The nearly $28 billion fund posted a «disappointing» 2.63% positive returns in 2010...
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Note To succeed in selling one’s hedge fund just when performance is deteriorating: an impossible equation ?
The number of funds on sale in Europe is in free fall because the owners have no choice other than mergers, even liquidation, because of rapidly declining performance which makes it impossible to sell at a good (...)
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Innovation Nobles Crus, the perfect blend of wine and finance
Launched in 2008, Nobles Crus is a Luxembourg Sicav investing in the top graded wines and that has registered since launch a performance of 27.65%.
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Pedagogy Using Risk Premia for a true diversified portfolio
For investors seeking meaningful diversification of their portfolios, alternative beta strategies (sometimes called liquid risk premia) have low or no market beta and, if executed correctly, have low correlations to the major asset (...)
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News Sunny Summer for Hedge Funds
The Lyxor Hedge Fund index was up a healthy +0.7% since the beginning of August, with progress in most strategies, supported by the positive performance of risky assets. The Bank of England’s activism and the Brexit timeline getting pushed back contributed toward easing (...)
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Opinion Has the selloff left scars on stock pickers and trend-followers?
Hedge funds strongly recovered from the selloff, with only two exceptions: i) the fixed income funds, flat this week, still isolated from the epicenter, and ii) neutral equity funds, still suffering from sector and factor rotations. This week, we checked if the selloff (...)
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Opinion Combining différent styles for risk premia strategies
According to Ronen Israel, principal at AQR Capital Management, four investment “styles” — Value, Momentum, Carry and Defensive — have emerged as compelling sources of alternative returns, backed by economic theory and decades of data across geographies and asset (...)
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