Thu, Mar 5, 2015
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. Outlook - Philippe Jordan predicts 'alternative beta' to displace hedge funds, Stan Druckenmiller says Europe, Japan stocks will outpace U.S.[more]

    Philippe Jordan predicts 'alternative beta' to displace hedge funds From Investordaily.com.au: The disappointing performance of hedge funds in recent years is a result of "too much money chasing too little alpha", argues Capital Fund Management. Speaking to InvestorDaily, CFM partner Phi

  2. Investing - Seth Klarman of Baupost outlines his investment process as major stock market indices are stretched, Myriad hedge fund sold bulk of its Alibaba stake last year[more]

    Seth Klarman of Baupost outlines his investment process as major stock market indices are stretched From Valuewalk.com: As hedge fund manager Seth Klarman, leader of the $28 billion Baupost Group, reviews 2014 performance and considers investors gained near 7 percent on the year, he cons

  3. Investing - As rig count falls, hedge funds pile into long crude futures, Parus tactically shifts long/short exposure ratios, Mario Draghi outflanking Kuroda as bearish euro bets surge, Prime Capital’s 500.com bet derailed after 41% drop[more]

    As rig count falls, hedge funds pile into long crude futures From 247wallst.com: In the week ended February 27, the total number of rigs drilling for oil in the United States came in at 986, compared with 1,019 in the prior week and 1,430 a year ago. Including 281 other rigs mostly drill

  4. Opalesque Exclusive: dbSelect’s top ten FX strategies average almost 10% in January[more]

    Benedicte Gravrand, Opalesque Geneva: In one of Deutsche Asset & Wealth Management (AWM)’s hedge fund platforms, called dbSelect, a number of FX Strategies did very well in January. dbSelect is a managed investment platform for unf

  5. Opalesque Exclusive: SEC’s Mark J. Flannery warns hedge funds against valuation misconduct[more]

    Komfie Manalo, Opalesque Asia: Securities and Exchange Commission chief economist and director of Division of Economic and Risk Analysis (DERA) Mark J. Flannery has warned of the risks posed by market misconduct, particularly in the true valuation of assets by hedge fund managers. In his