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Alternative Market Briefing

Eurekahedge: Artificial intelligence hedge funds outperform average global hedge fund

Thursday, March 16, 2017

Benedicte Gravrand, Opalesque Geneva:

Data provider Eurekahedge has looked at the performance of artificial intelligence (AI)/machine learning hedge funds and found that they have outperformed the average global hedge fund for all years excluding 2012 (from 2011 to 2016). Furthermore:

  • Barring 2011 and 2014, returns for AI/machine learning hedge funds have outpaced those for traditional CTA/managed futures strategies, while underperforming systematic trend-following strategies only for the year 2014 when the latter realised strong gains from short energy futures.
  • Over both the five, three and two year annualised period, AI/machine learning hedge funds have outperformed both traditional quants and the average global hedge fund, delivering annualised gains of 7.35%, 9.57% and 10.56% respectively over these periods.
  • AI/machine learning hedge funds have also posted better risk-adjusted returns over the last two and three year annualised periods compared to all peers, with Sharpe ratios of 1.51 and 1.53 over both periods respectively.
  • While returns have been more volatile compared to the average hedge fund, AI/machine learning funds have posted considerably lower annualised volatilities compared with systematic trend following strategies.

Trading models upgrade The growth of quantit......................

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