Mon, Nov 30, 2015
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
New Managers November 2012

Peter Urbani' Statistics - Missed opportunities by large managers

This month we look at the performance of the Equity Long and Short Picks by the top 696 large hedge funds represented in the Goldman Sachs VIP Hedge Fund Index during Q3 2012.

Goldman Sachs calculates both Long Basket and Short Basket VIP Indices. Both Indices contain 50 stocks. Weights in the Long Basket are proxied by the frequency with which the stocks appear in the top 10 holdings of the underlying universe of hedge funds. Weights in the Short Basket are proxied by the $ Value of the shorts. The results are published quarterly by Goldman Sachs in their Quarterly Hedge Fund Trend Monitor.

For the purposes of this article we have used the Goldman Sachs data derived from 13F Filings and recalculated the results using both the above-mentioned weighting system and an equally weighted long and short basket. We assume Longs and Shorts are matched with both accounting for 50% of the overall Long Short Portfolio.

In addition, we also calculate the Portfolio Opportunity Distribution (POD) for each of the baskets. The POD method is a methodology popularised by Ron Surz and can be thought of as a Monte Carlo simulation of possible portfolios and returns built from the same underlying selection universe but with random weights. The distribution of Portfolio returns generated by this method represents the range of possible portfolios that might have eventuated from the same selection universe or Opportunity set had different weights been used.

What the findings show for Q3 is fairly unequivocally that the Long positions taken by the underlying managers were generally better than those of the broader underlying market as proxied by the S&P500. However, most funds did not reach the potential returns that the PODs indicated were availabl......................

To view our full article please login

This article was published in Opalesque's New Managers a top-down monthly analysis, news and research publication on the global emerging manager space.
New Managers
New Managers
New Managers

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. Other Voices: Hedge fund marketing and the selling cycle[more]

    By Bruce Frumerman. How long is the selling cycle now? That’s a question my financial communications and sales marketing consulting firm has been asked on a regular basis by hedge fund firm owners and sales people, ever since we opened the doors to our firm in 1987 pre-crash. Wa

  2. People - Solus Alternative Asset Management adds chief strategist from BTIG[more]

    From Daniel Greenhaus joined hedge fund manager Solus Alternative Asset Management as managing director and chief strategist. He will work closely with Chris Bondy, Solus’ chief economist, managing director and executive vice president, said Chris Pucillo, CEO and chief investmen

  3. Opalesque Roundtable: Seeding deal terms can be onerous for hedge funds[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: Executives from fund of funds firms, family offices, a placement agent, a private equity firm, and an accounting firm gathered in Connecticut last month for the

  4. Opalesque Roundtable: Family offices flock to co-investment[more]

    Bailey McCann, Opalesque New York: Co-investments have been a hot topic for pension funds in recent years, as they try to move away from high fees and improve transparency. But now, family offices are more readily getting into the mix and establishing in-house deal teams, according to the delega

  5. More institutional investors invest in CTAs compared to last year despite dissatisfaction with performance[more]

    Benedicte Gravrand, Opalesque Geneva: "Despite a strong start to 2015 for CTAs in Q1, commodity market conditions have made return generation difficult for fund managers over much of the rest of the year to date," says Preqin’s November