Tue, Mar 19, 2024
A A A
Welcome Guest
Free Trial RSS pod
Get FREE trial access to our award winning publications
Alternative Market Briefing

MSR Investments says Calpers was right to ditch hedge funds as fees can eat up to 50% of gross returns

Wednesday, September 17, 2014

Komfie Manalo, Opalesque Asia:

Commodity trading advisor MSR Investments sided with the California Public Employees' Retirement System’s decision to ditch its hedge fund investments.

MSR Investment founder and CEO Michael S. Rulle Jr., said that the Sharpe Ratios reported by hedge fund indices (and by definition hedge funds themselves) are significantly overstated due to the fact that serial correlation is not included in the calculation of estimated annual volatility.

Rulle said, "The Credit Suisse Broad Hedge Fund Index, for example, reports an annualized Sharpe Ratio of 0.802 from inception through May 2014 when its actual annual Sharpe Ratio (i.e. the Sharpe Ratio that directly calculates the standard deviation of 20 years of annual returns) is 0.54." In his essay entitled, Average Annual Fees on Investable Hedge Fund Indices and Fund of Fund Indices can and do reach 50% of Gross Returns (download here), Rulle said he intended to demonstrate that in addition to being subject to notable serial correlation, hedge fund returns are hampered by excessive "path dependent" fee structures and also uncertain return expectations.

The hedge fund fee discussion

According to Rulle, hedge funds assets ......................

To view our full article Click here

Previous Opalesque Exclusives                                  
Previous Other Voices                                               
Access Alternative Market Briefing

 



  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. KKR raises $6.4bn for the largest pan-Asia infrastructure fund[more]

    Laxman Pai, Opalesque Asia: The New York-based global investment firm KKR has raised a record $6.4bn for its second Asia-focused infrastructure fund, underlining investors' continued appetite for private markets. According to a media release from the alternative assets manager, the figure top

  2. Bucking the trend, top hedge fund makes plans for a second SPAC[more]

    From Institutional Investor: SPACs aren't dead. At least not to the folks at Cormorant Asset Management. The life sciences firm, whose hedge fund topped its peers in 2023, is confident it will match the success of its first blank-check company. Last week, the life sciences and biopharma speciali

  3. Benefit Street Partners closes fifth fund on $4.7 billion[more]

    Bailey McCann, Opalesque New York: Benefit Street Partners has closed its fifth flagship direct lending vehicle, BSP Debt Fund V, with $4.7 billion of investable capital across the strategy. Benefit Street invests primarily in privately originated, floating rate, senior secured loans. The fun

  4. 4 hedge fund themes that are working in 2024[more]

    From The Street: A poor earnings report from Tesla (TSLA) has not hurt the indexes on Thursday. The decline in Tesla stock, which is losing its position in the Magnificent Seven pantheon, is more than offset by strong earnings from IBM (IBM) and ServiceNow (NOW) . In addition, the much higher-t

  5. Opalesque Exclusive: A global macro fund eyes opportunities in bonds[more]

    Bailey McCann, Opalesque New York for New Managers: Munich-based ThirdYear Capital rebounded in 2023, following a tough year for global macro. The firm's flagship ART Global Macro strategy finished the year up 1