Thu, Aug 17, 2017
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. Opalesque Exclusive: Albright Capital puts a value lens on emerging markets[more]

    Bailey McCann, Opalesque New York: Over the past decade, investors have steadily increased investments in emerging markets private funds. Allocations to the cohort have increased from $93 billion in December 2006 to $564 billion in September 2016, according to data from research firm Preqin. Howe

  2. Other Voices: Crisis risk offset; about time?[more]

    This article was authored by Russell Barlow, global head of hedge fund solutions at London-based Aberdeen Asset Management. Like the ubiquitous force of gravity, when financial markets rise they must fall. The quest

  3. Comment: "Long-Term Investing": What managing drawdown risk can do to your long-term returns[more]

    Matthias Knab, Opalesque: Real Investment Advice writes on Harvest Exchange: Last week, I was having lunch with a prospective portfolio management client discussing the curre

  4. Jasper Capital International joins Hedge Fund Standards Board[more]

    Komfie Manalo, Opalesque Asia: Diversified and systematic investment firm Jasper Capital International has become the second China-based signatory to the Hedge Fund Standards Board (HFSB), an organization that brings hedge fund managers and investors together to set standards for the hedge fund i

  5. Investing - Hedge-fund honchos including David Tepper are loading up on Alibaba, Billionaire hedge fund manager Stanley Druckenmiller is betting big on the Chinese consumer, Big-name U.S. hedge funds shed healthcare stocks during the rally in second-quarter, U.S. hedge funds bearish on FAANG stocks in second-quarter, Hedge fund titan Viking Global made a $680 million bet on scandal-plagued Wells Fargo[more]

    Hedge-fund honchos including David Tepper are loading up on Alibaba From CNBC.com: David Tepper's Appaloosa Management and three other he ge funds took new stakes in Chinese e-commerce giant Alibaba in the second quarter, according to the latest quarterly filings. Appaloosa disclos