Tue, Jan 27, 2015
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Alternative Market Briefing

How much hedge fund return is explained by dynamic beta asks MPI

Tuesday, February 14, 2012

By Beverly Chandler, Opalesque London: A new case study from Markov Processes International reveals how their predictive analytic techniques could be used to reproduce beta exposures of hedge funds. Using MPI’s research, the firm tried to capture dynamic betas embedded in the $23bn Bridgewater Pure Alpha II Fund. This fund is the flagship fund of Bridgewater Associates - the world’s largest alternative investment management firm with $125m under management. The fund has a target volatility of 18%.

In terms of analysing the fund’s performance, particularly against its peers, MPI calculated a sub universe of 61 funds drawn from the HFR, EurekaHedge and HedgeFund.Net hedge fund databases. They found that between January 1992 and November 2011, Bridgewater Pure Alpha II’s annualized performance was 14.44% with an annualized standard deviation of 14.60%.

MPI was able to identify that the Bridgewater Pure Alpha Fund II and the two other funds from the peer analysis – Millennium International and GAMut Investments – had significantly outperformed the S&P 500 Index.

However, beyond that, MPI says: "The different performance paths of these funds suggest that the impressive outperformance over the various market cycles of the past twenty years stem from very different alpha and/or beta investment strategies employed by the fund managers".

The firm decided to drill down further to find out how the outperforman......................

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. Investing - U.S. investors favor currency hedged Europe ETFs as euro tumbles, Quants win back investors as Swiss franc fuels volatility gains, David Einhorn's $7bn hedge fund is loading up on this stock, Hedge fund BlueMountain Capital unveils Ocwen Financial short, claims default on notes[more]

    U.S. investors favor currency hedged Europe ETFs as euro tumbles From Reuters.com: U.S. investors stung by the falling euro who want to stay invested in Europe are turning to exchange-traded funds designed to strip out the impact of the region's currency. The biggest among so-called "cur

  2. News Briefs - Millennials use tech tools to jump into investing, Winklevoss twins to launch bitcoin exchange with FDIC insured deposits, Robertson’s legacy from hedge funds to New Zealand, Real estate managers exploring smaller open-end funds[more]

    Millennials use tech tools to jump into investing It is the Facebookification of monetary investing. From social networking platforms that enable young investors to stick to every other's stock-picking mojo, to internet sites for initially-timers hungry for a piece of the Silicon Valley

  3. Top performing private equity firms you should invest in[more]

    Komfie Manalo, Opalesque Asia: Professor Oliver Gottschalg of Paris-based HEC Business School, also known as Ecole des Hautes Etudes Commerciales de Paris has released his annual ranking of the top performing private equity firms. The 2014 HEC-DowJones Private Equity Performance Ranking

  4. Comment - Why invest in hedge funds if they don't outperform the market?[more]

    From Forbes.com: Hedge funds have always been a bit exotic and an enigma to some, but bottom line they are supposed to produce good returns using a range of strategies including global macro, event driven and relative value (arbitrage). And, sophisticated or high-net-worth individuals (HNWIs) could

  5. Owen Li 'truly sorry' for blowing up $100m of hedge fund’s assets[more]

    From CNBC.com: A hedge fund manager told clients he is "truly sorry" for losing virtually all their money. Owen Li, the founder of Canarsie Capital in New York, said Tuesday he had lost all but $200,000 of the firm's capital—down from the roughly $100 million it ran as of late March. "I take r