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Alternative Market Briefing

Opalesque Roundup: Do artificial intelligence hedge funds outperform? It depends - hedge fund news, week 34

Monday, September 09, 2019

In the week ending September 6th 2019, a study said that hedge funds that use AI-based computer models to help with trading have been outperforming the hedge fund benchmark for the past year. Based on three-year cumulative returns, these funds have outperformed the Preqin All-Strategies Hedge Fund benchmark by a margin of three percentage points, returning +26.96% over the past three years versus +23.87% for all hedge funds. While in isolation this difference does not seem significant enough to give AI funds an edge in the market, parsing the three-year volatility and Sharpe ratio data shows that AI funds have slightly more favorable risk-adjusted parameters.

However, proving the point that commercial fund databases classify and collect data in divergent ways and that time frames also matter, Eurekahedge said artificial intelligence led funds have returned just 2.77% this year up to the end of July, compared with a return of 6.36% for the wider hedge fund universe.

Further in performance news, CTAs reported positive performance again in August, following a strong July as the SG CTA Index was up 3.45%, adding to gains of over 10% year-to-date for these firms, which would put them on track for their best year since 20......................

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