Sat, Dec 3, 2016
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Alternative Market Briefing

Commonfund paper looks at how equity rally has impacted manager selection

Thursday, August 28, 2014

Bailey McCann, Opalesque New York:

A new paper from Commonfund examines how the prolonged rally in equity markets could be impacting manager selection as it becomes harder to separate luck from skill in a portfolio. "Chasing Winners: the Appeal and the Risk" is authored by members of its Hedge Fund Strategies Group, Kristofer Kwait, Managing Director, Head of Hedge Fund Research, and John Delano, Director.

The paper shows that many hedge fund managers have benefited from outsized gains due to the extended broad market rise. Investors are often influenced strongly to select those hedge fund managers that have produced outsized recent performance. However, this strategy can work against investors in the long run since it is implicitly based on the manager’s ability to track market movements across investment environments -- even though evidence for this ability within the manager universe is not robust. This strategy also discounts alpha, which evidence suggests is a better measure for producing long-run results.

Data in the paper cautions investors away from chasing winners, as over the long term performance is not assured and is often attributable to specific market conditions over any real skill. Additionally, experiment results also suggest that alpha – in this case, return not accounted for by beta to the broad equity market, in......................

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. M&A - AllianzGI to acquire Sound Harbor Partners, SS&C completes acquisition of Wells Fargo's Global Fund Services business[more]

    AllianzGI to acquire Sound Harbor Partners Allianz Global Investors (AllianzGI), an active investment manager, announced that Sound Harbor Partners, a US private credit manager led by Michael Zupon and Dean Criares, have agreed to join its fast-growing Private Debt Platform. Under the te

  2. Europe - UK investors to pay more tax on money in offshore funds, Do you want to hand your money to super-algo or a Swiss banker?[more]

    UK investors to pay more tax on money in offshore funds From FT.com: Hedge funds in Dublin and Luxembourg are set to be hit by new rules that will force UK investors to pay more tax on the money they hold in offshore funds. As part of the government’s Autumn Statement on the country’s fi

  3. Hunt for yield pushes more investors into riskier assets[more]

    From FT.com: Pension funds and insurance companies have increasingly embraced riskier assets in their hunt for higher returns over the past five years. Alternative assets such as property, infrastructure, private equity and hedge funds have been bought up by institutional investors in a world where

  4. People - Nectar Financial hires senior investment team, Texas A&M replaces retiring foundation investment chief, Ex-Cadwalader partner Woolery makes another sudden exit, How to become a Python coder at a top hedge fund, by the co-CTO of Man AHL[more]

    Nectar Financial hires senior investment team Nectar Financial AG, a Swiss financial technology company for wealth and asset management, has announced that it has hired two key senior leaders to spearhead its digital asset management efforts. The company also announced that it has entere

  5. Activist News - Cognizant has introductory discussion with activist investor Elliott; to review letter, Starboard Value makes huge investment in Hewlett Packard, Hedge fund calls for removal of First NBC Bank CEO[more]

    Cognizant has introductory discussion with activist investor Elliott; to review letter From Indiatimes.com: Cognizant said it had an introductory discussion with Elliott Management after receiving the activist hedge fund's letter asking for a board shakeup, a buyback, a dividend and chan