Fri, Sep 19, 2014
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

GFIA study: Historical statistical risk metrics are poor predictors of future risk

Monday, September 06, 2010
Opalesque Industry Update - GFIA pte ltd, the Singapore based specialist in skill-based managers in Asian and emerging markets, has released a study on the usefulness of some of the more commonly used risk metrics in the hedge fund industry. The study was conducted on a universe of 316 funds with at least 2 years of track record, sourced from the Asiahedge database.

Summary findings include:
• Statistical risk measures did not persist during the financial crisis, suggesting that historical statistics are not a precise decision tool for allocators.
• However almost half funds in the universe demonstrated high persistency in the relative “riskiness” of a fund with its peer group.

Peter Douglas CAIA, principal of GFIA, commented: “We have always focussed our practice on qualitative assessments of funds and their managers, and have always been nervous of investors’ reliance on statistical measures as a decision tool. Our research confirms that it’s a mistake to consider statistical risk measures such as standard deviation (volatility), downside deviation, etc., to be accurate indicators of future risks. These measures, however, are quite likely to remain relatively constant between peer funds, especially for funds at the extreme ends of the risk spectrum.”

(press release)


The GFIA group of companies was founded by its principal, Peter Douglas, CAIA, FICP. In January 2010 an Asia-based family became a substantial strategic shareholder in the group holding company. GFIA has no corporate affiliations. www.gfia.com.sg


Bg

What do you think?

   Use "anonymous" as my name    |   Alert me via email on new comments   |   
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. SEC charges 19 investment firms and one trader for breach of Rule 105[more]

    Benedicte Gravrand, Opalesque Geneva: The Securities and Exchange Commission (SEC) started a push to enhance the enforcement of Rule 105 of Regulation M last year to uncover hedge funds and private equity firms that have illegally participated in an offering of a stock after short selling it duri

  2. Fund managers, bullish on Europe, anticipate monetary policy separation of Fed and ECB[more]

    Komfie Manalo, Opalesque Asia: At least 202 fund managers with $556bn of assets under management said that while the European Central Bank (ECB) has eased its monetary policy that sent sentiments towards Europe to pick up, the Fed is expected to hike its rate in the spring of 2015. Investor

  3. News Briefs - Limited partners of investment managers may be subject to self-employment taxes, Just one week left until NYC's Rocktoberfest[more]

    Limited partners of investment managers may be subject to self-employment taxes On September 5, 2014, the Internal Revenue Service (“IRS”) issued Chief Counsel Advice 201436049, concluding that members of an investment manager were subject to self-employment taxes with respect to their e

  4. Institutions - Adviser's faith in hedge funds unshaken by CalPERS' move Advisers weigh in on CalPERS’ decision, Gina Raimondo sees no reason to follow California’s lead, exit hedge funds, Danish pension funds step up 'alternative investments'[more]

    Adviser's faith in hedge funds unshaken by CalPERS' move From WSJ.com: Financial advisers who use hedge funds in their clients' portfolios say they aren't rethinking that approach after a huge California pension fund announced plans to exit the hedge-fund market. The decision by the Cali

  5. Short Selling - Notorious U.S. short-seller targets Alibaba[more]

    From Wantchinatimes.com: A notorious American short-seller appears to have "targeted" Chinese internet giant Alibaba on the eve of its historic public listing on the New York Stock Exchange, reports Chinese web portal Hexun. Alibaba's highly-anticipated listing on Friday could potentially be the big