Sat, Jul 4, 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. Opalesque Exclusive: New systematic strategy managed alongside research firm outperforms S&P500[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: An emerging CTA manager explains how he runs his strategy, which is based on an index produced by a research firm. Peter Turk is head of

  2. Opalesque Exclusive: New systematic strategy embraces machine learning[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: The founder of a New York-based systematic trading firm, which offers a hybrid between alpha strategies and alternative feta at lower fees, describes his approa

  3. Larry Robbins' hedge fund Glenview buys 1m Tenet Healthcare shares[more]

    Komfie Manalo, Opalesque Asia: Glenview Capital Management said it bought an additional 979,482 shares at Tenet Healthcare Corp valued at $53.80 million, raising its stakes in the healthcare services company to 15.16%, reported

  4. Legal - Grayson’s hedge funds under scrutiny for possible ethics violations, Court rejects hedge fund’s motion to block merger of Samsung affiliates[more]

    Grayson’s hedge funds under scrutiny for possible ethics violations From Freebeacon.com: Rep. Alan Grayson is finding himself in hot water over managing hedge funds that bear his name, actions that are in possible violation of House ethics rules. Sitting members of Congress are prohibite

  5. Hedge funds decline in June as stocks tumble on Greek woes[more]

    From Bloomberg.com: Hedge funds posted losses across strategies last month as uncertainty over whether Greece will remain in the euro sent global stock markets tumbling. Winton Capital Management declined about 3.1 percent in June in its $12.1 billion Winton Futures Fund, leaving it down 1.9 percent

 

banner