Absolute Returns

The 668 firms with at least $1bn in assets under management (AUM) now control $2.75tn out of the total $3.13tn held by the hedge fund industry

The first quarter of 2016 has seen the conjuncture of a significant rise in the Epsilon Correlation Index with a drop of the Epsilon Trend Index, confirming a moderately challenging environment for trend following strategies over the last 12 months. Those CTAs with the right approach resisted.

Hedge funds’ returns weakened in sympathy with last week’s retreat in risky assets. Losses were mild in general, with few notable underperformers. By contrast, CTAs outperformed, recouping their earlier losses as yields and oil weakened. Funds keeping a low beta also performed well, the neutral and variable equity funds especially.

There has been much discussion over the recent weeks on the outflows suffered by the hedge fund industry. Several data providers estimated the decline in global hedge fund capital in the first quarter of 2016 at about USD 15bn.

The governor of the Bank of Japan (BoJ), Haruhiko Kuroda, was given a clear mandate by the Prime Minister in 2013, to end the deflationary pressure which had been weighing on the country since 1998. In order to do so, the governor implemented an ultra-aggressive monetary strategy, based on massively increasing securities purchases by the central bank...