Hedge Fund Analytix

Hedge Fund Asset Exposures Point to Market Trends

Canny Managers.  Hedge funds, particularly managed futures (CTA) funds are aggressive investors and traders.  They go long or short, and they cross asset classes readily.  Most important, they are consistent trend-followers.  when trend-following goes too far--gets overdone--the contrarian principles come into play.  Research shows that when CTA funds go to extreme exposures in aggregate, trend reversal is getting near.  For summary evidence, go to Exposure Metrics  (pdf).

Reverse Engineering.  Hedge Fund Analytix tracks CTA fund exposures in analysis of their returns streams.  Like any portfolio, hedge fund returns "behave" statistically like the behavior of their components.  In tracking the evolving returns behavior, we reverse-engineer the stats to see how component assets are driving the returns.

No hedge fund Exposure tracking services are currently offered.

HFA Weekly (4 pages pdf) shows summary exposure stats, plus complete exposure paths in four assets (stocks, bonds, U.S. Dollar, and aggregate commodities).  Brief commentary is included.  

Once a month, HFA 4th Friday  (9 pages pdf) delivers all those weekly stats and graphs, plus objective statistical inference for forward returns.  Current exposure levels are matched against all prior exposures, showing returns distributions from prior similar occasions.  Priors are tested for difference from "all other" occasions and statistical significance is measured for objectivity.  Sample examples are linked at center of the home page.