Alternatively, equities and futures are among the most liquid securities in which hedge funds invest, and not surprisingly, the average first-order serial correlations for equity market neutral, long/short equity, and managed futures are 5.1 percent, 9.5 percent, and-0.6 percent, respectively.
However, the category fixed effects in model 5 do differ in some ways from those of models 2-4, with significant coefficients for emerging markets, equity market neutral, and multi-strategy, as well as for managed futures, suggesting significant differences between the full graveyard sample and the subsample of funds with status code 1.
Equity Market Neutral
and Sector: Technology/Healthcare posted more modest declines, with these declining -0.40% and -0.90% for June, respectively.
It said equity market neutral strategies were expected to be among the best performers in 2016 following strong performance last year.
On a net basis, 32% of investors said they were increasing their exposure to fundamental equity market neutral, up from 17% last year, and 18% to systematic equity market neutral, versus 11% last year.
By launching PTR-Agora, an equity market neutral
fund with a long/short investment approach, Pictet Asset Management (Pictet AM) has enlarged its Total Return fund range.
Global equity markets were broadly impacted by the increase in risk aversion, with weakest areas of performance in Fundamental Growth only partially offset by gains in Short Biased and Equity Market Neutral
However, with hedge funds, they are bullish on equity market neutral
strategies, which he says do well in markets with larger dispersion.
The firm added that fundamental equity long/short, fundamental equity market neutral
and event driven are the top three most sought after alternative '40 Act mutual fund strategies over the next 12months.
The new funds complement two existing American Century-managed funds, Equity Market Neutral
and Market Neutral Value, which will be rebranded with the AC Alternatives name, the fund firm says.
The Fixed Income Arbitrage and Equity Market Neutral
sectors experienced the largest asset inflows on a percentage basis, with inflows in November equal to 2.64% and 1.06% of the October 2012 levels, respectively;
The three most-cited quantitative strategies by respondents were commodity trading advisor, quant equity market neutral
and quant equity.