Tue, Mar 20, 2018
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. John Paulson, once the industry's largest hedge fund, to return some investors' money[more]

    Komfie Manalo, Opalesque Asia: John Paulson is reported to be retuning some of his investors' money as a number of his hedge funds continue to suffer setbacks, reports

  2. Investing - Hedge funds amass big bets against world's leading advertisers, Investor Elliott Management buys tiny stake in Wipro[more]

    Hedge funds amass big bets against world's leading advertisers From FT.com: Hedge funds have amassed bearish bets of more than $3bn against the world's largest advertising companies in an attempt to profit as the industry undergoes ongoing wrenching disruption and slowing growth. Funds i

  3. News Briefs - Investcorp to launch a $100 million PE fund for Omani pension funds[more]

    Bahrain-based investment firm Investcorp will soon launch a $100 million fund dedicated to Oman's Pension Funds as part of its investment plan. 'The Opportunities Fund' will be focused on private equity investments in the U.S. and Europe and will target mid-sized companies across a broad range of se

  4. DoubleLine's Gundlach sees U.S. 10-year Treasury yield rising, weighing on stocks[more]

    From Reuters/Streetinsider.com: Jeffrey Gundlach, the chief executive of DoubleLine Capital and known on Wall Street as the "Bond King," said on Tuesday the yield on the U.S. 10-year Treasury note will likely move higher and pressure riskier assets including equities and junk bonds. Gundlach, on an

  5. SEC charges Theranos CEO Holmes with fraud[more]

    Bailey McCann, Opalesque New York: The SEC has charged Elizabeth Holmes, founder and CEO of Theranos and its former President Ramesh "Sunny" Balwani with raising more than $700 million from investors through an elaborate, years-long fraud in which they exaggerated or made false statements about t