Fri, Jun 22, 2018
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Alternative Market Briefing

Opalesque Exclusives – Funds of hedge funds’ liquidity constraints and fees generate negative alpha compared to l/s hedge funds

Monday, June 13, 2011

From Kirsten Bischoff, Opalesque New York:

In a white paper recently released by French firm Orion Financial Partners the firm found that long/short equity hedge funds notched much better performance than UCITS funds and specialty fund of hedge funds. The firm researched returns listed with Eurekahedge and found that "over the period 2005-2011…hedge funds have significantly outperformed UCITS funds and specialized fund of hedge funds respectively around +2.3% and +5.2% in annual terms." The strength of single manager l/s hedge funds was also on display as the firm’s research showed that they exhibited better Sharpe ratios and lower levels of extreme risk compared to the other vehicles.

The paper goes on to say, "More surprisingly, fund of funds posted a negative alpha over the estimation period," which the firm attributes to the additional fee layer, and the tighter liquidity constraints faced by fund of funds managers that have to deal with the lockup and redemption periods of the funds they invest into (which were largely related to the 2008 crisis.

Investors currently have three options for different types of vehicles through which to gain hedge fund exposure: hedge funds, UCITS funds and fund of funds. The paper concludes that While UCITS funds offer higher levels of liquidity, this factors into those managers’ ability to generate alph......................

To view our full article Click here

Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing

 



  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. Paper: The performance of stocks actively pitched by hedge funds[more]

    Using a novel dataset drawn from investment conferences from 2008 to 2013, I show that hedge funds take advantage of the publicity of these conferences to strategically release their book information to drive market demand. Specifically, hedge funds sell pitched stocks after the conferences to ta

  2. North America - US fundraising for special purpose acquisition vehicles hits record this year[more]

    From AFR.com: Special purpose acquisition vehicles (spacs) are hitting the US market at the fastest rate on record, attracting the likes of Goldman Sachs and hedge fund investor Daniel Loeb for the two largest such deals in 2018. Spacs have raised $US4.5bn so far in 2018, the largest amount fo

  3. Investing - Man Group and AQR try to take aim at private equity industry, Hedge funds poised to be winners in AT&T-Time Warner deal[more]

    Man Group and AQR try to take aim at private equity industry From FT.com: The popularity of private equity investments has prompted asset managers such as Man Group and AQR to devise strategies that aim to replicate PE returns but at a much lower cost to investors. Both companies a

  4. News Briefs: David Stemerman's hedge fund holdings shrank before his run for governor, nvestment manager TSW triggers succession plan, Alan Howard joins Peter Thiel investing in Cologne-based fintech startup[more]

    David Stemerman's hedge fund holdings shrank before his run for governor But the U.S. holdings of Stemerman's Greenwich hedge fund, Conatus Capital, shrank from $2.6 billion at the apex to just over $1 billion before he announced his move into politics. (Hartford Courant) Inv

  5. British Empire: Pershing's 23% discount 'unsustainable'[more]

    From Citywire: The wide discount on Pershing Square Holdings (PSH) is 'unsustainable' and puts star hedge fund manager Bill Ackman under pressure, says British Empire (BTEM). Pershing is the third largest holding in the £850 million British Empire trust, managed by Joe Bauernfreund, which sp