MPI Blog

I. Performance Projections - February 2010

The following analysis provides return projections for several hedge fund equity indices for February 2010. By conducting this analysis on a monthly basis, we are essentially creating a synthetic track record for hedge fund index replication. Compared to general back-testing procedures that use historical data, our approach projects the monthly performance before the actual returns are available. Hence, we cannot modify the data to generate more desirable results. Thus, it may be viewed as a “true” projection.

MPI’s analysis projects that the majority of hedge fund strategies will generate positive returns (around 1%) in February 2010. The exception is the emerging market strategy which is projected to produce negative results in February.

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Daniel Li Monthly Hedge Fund Return Projections

I. Performance Projections - January 2010

The following analysis provides return projections for several hedge fund equity indices for January 2010. By conducting this analysis on a monthly basis, we are essentially creating a synthetic track record for hedge fund index replication. Compared to general back-testing procedures that use historical data, our approach projects the monthly performance before the actual returns are available. Hence, we cannot modify the data to generate more desirable results. Thus, it may be viewed as a “true” projection.

Based on our analysis, most hedge fund strategies will enter the New Year with a loss in January. According to Table 1, nearly all strategies will post a negative return (more than 1%) with long/short equity and emerging market finishing in last place.

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Daniel Li Main, Monthly Hedge Fund Return Projections

Daniel Li Monthly Hedge Fund Return Projections

I. Performance Projections - November 2009

The following analysis provides return projections for several hedge fund equity indices for November 2009. By conducting this analysis on a monthly basis, we are essentially creating a synthetic track record for hedge fund index replication. Compared to general back-testing procedures that use historical data, our approach projects the monthly performance before the actual returns are available. Hence, we cannot modify the data to generate more desirable results. Thus, it may be viewed as a “true” projection.

Based on our analysis, November 2009 is projected to be another solid month for the majority of hedge fund strategies. Hedge fund composite indices are projected to post positive 1-2% returns and a strong rebound is expected for emerging market indices in November.

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Daniel Li Monthly Hedge Fund Return Projections

I. Performance Projections - October 2009

The following analysis provides return projections for several hedge fund equity indices for October 2009. By conducting this analysis on a monthly basis, we are essentially creating a synthetic track record for hedge fund index replication. Compared to general back-testing procedures that use historical data, our approach projects the monthly performance before the actual returns are available; hence, we cannot modify the data to generate more desirable results. Thus, it may be viewed as a “true” projection.

Investor sentiment negatively changed in October–a move which is also reflected in the projected performance of hedge fund indices. For all six indices, we project that only emerging market and composite indices will post positive returns (not greater than 1%.) Note that the convertible arbitrage index is projected to produce a negative return for the first time since January 2009.

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Daniel Li Monthly Hedge Fund Return Projections

Bill Miller is on the front page again, but this time it is good news. The famed manager was featured in a recent cover story by Barron’s titled “It’s Miller Time”.

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Daniel Li Main, Mutual Funds

I. Performance Projections - September 2009

The following analysis provides return projections for several hedge fund equity indices for September 2009. By conducting this analysis on a monthly basis, we are essentially creating a synthetic track record for hedge fund index replication. Compared to general back-testing procedures that use historical data, our approach projects the monthly performance before the actual returns are available; hence, we cannot modify the data to generate more desirable results. Thus, it may be viewed as a “true” projection.

Since the Dow Jones Average was created in 1896, September has been the worst performing month in the market. However, our September projections indicate that most hedge fund strategies will produce significant positive returns. According to Table 1, market neutral strategy will continue its lackluster performance around 0%, long/short equity and composite strategies will post above 1% returns, and emerging market will reach positive 5% gains.

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Daniel Li Monthly Hedge Fund Return Projections

I. Performance Projections - August 2009

The following analysis provides return projections for several hedge fund equity indices for August 2009. By conducting this analysis on a monthly basis, we are essentially creating a synthetic track record for hedge fund index replication. Compared to general back-testing procedures that use historical data, our approach projects the monthly performance before the actual returns are available; hence, we cannot modify the data to generate more desirable results. Thus, it may be viewed as a “true” projection.

Although the market posted positive returns in August, our projections show clear signs of slowed momentum for most hedge fund strategies. According to Table 1, only convertible arbitrage strategy will produce considerable positive returns (average 2%) in August. Based on our analysis, all other strategies will post slight positive returns (less than 1%) and the composite index will enter negative territory.

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Daniel Li Monthly Hedge Fund Return Projections

I. Performance Projections - July 2009

The following analysis provides return projections for several hedge fund equity indices for July 2009. By conducting this analysis on a monthly basis, we are essentially creating a synthetic track record for hedge fund index replication. Compared to general back-testing procedures that use historical data, our approach projects the monthly performance before the actual returns are available; hence, we cannot modify the data to generate more desirable results. Thus, it may be viewed as a “true” projection.

Given the market rally in July, our findings project another solid month for the majority of hedge fund strategies. According to Table 1, all hedge fund strategies (with the exception of equity market neutral) will produce considerable positive returns. Based on our analysis, the emerging market and convertible arbitrage strategies will deliver an average of 4% monthly returns in July.

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Daniel Li Monthly Hedge Fund Return Projections

I. Performance Projections - June 2009

The following analysis provides return projections for several hedge fund equity indices for June 2009. By conducting this analysis on a monthly basis, we are essentially creating a synthetic track record for hedge fund index replication. Compared to general back-testing procedures that use historical data; our approach projects the monthly performance before the actual returns are available. Hence, we cannot modify the data to generate more desirable results. Thus, it may be viewed as a “true” projection.

Based on our analysis, June return projections are quite unique when compared to the previous several months. Essentially, our findings project that the average 5% month-by-month rally (since March) will come to a halt for most hedge fund strategies. As shown in Table 1, the majority of hedge fund strategies will produce around 1% or even negative returns—with the exception of convertible arbitrage strategy which continues a positive return of more than 2%. The emerging market strategy is projected to produce negative returns in June (despite the positive 9% May return).

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Daniel Li Monthly Hedge Fund Return Projections