Thu, Jul 31, 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. Opalesque Exclusive: Kyria Capital Management bets on women hedge fund managers[more]

    Bailey McCann, Opalesque New York: As hedge fund assets top $3 trillion, and long/short strategies get more crowded than ever, with every manager hunting for even the tiniest bit of alpha, a new firm has emerged that claims its own edge – women. A recent Rothstein Kass study showed women-owned a

  2. Hedge fund manager Winton Capital making headway with long-only strategy[more]

    From PIonline.com: North American investors are helping Winton Capital Management Ltd. make progress — albeit slowly — toward its founder's goal of becoming a $100 billion company. The firm's ticket to quadrupling its assets under management is unlikely to be one of its scientifically designed manag

  3. Opalesque Roundtable: Success in hedge fund marketing not linked to performance, but investor appetite[more]

    Komfie Manalo, Opalesque Asia: Success in marketing a fund is not linked to the performance, but to investor appetite, to the way you can market the fund, and to how much time you can spend to raise assets, said Antoine Rolland, the CEO of incubator and seeding firm

  4. Opalesque Radio: Now is a good time to buy protection cheaply in the options market[more]

    Benedicte Gravrand, Opalesque Geneva: Investors are showing an increased interest in risk parity funds and strategies, Opalesque reported last year. Risk parity strategies have the

  5. The Big Picture: Charlemagne Capital smoothes risk out of frontier market investing with portfolio approach[more]

    Benedicte Gravrand, Opalesque Geneva: Opalesque recently talked to one of the portfolio managers of the Oaks funds, which are emerging and frontier market hedge funds focusing on equity long/short with a directional approach. They are run by