Sat, Feb 13, 2016
A A A
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. Asia - Hedge fund manager Kyle Bass estimates China's foreign reserves below critical level[more]

    From Nasdaq.com: Investor Kyle Bass stepped up his attack on China's currency, arguing in an investor letter distributed Wednesday that the second-largest economy's foreign reserves are "already below a critical level." The comments mark the latest effort by hedge funds and other investors to raise

  2. Investing - Some hedge funds want to make subprime auto loans next big short, 11 hedge funds that are “all in” on the FANG stocks, Hedge funds short London luxury homes, Cynet raises $7 million from U.S. hedge fund[more]

    Some hedge funds want to make subprime auto loans next big short From Bloomberg.com: A group of hedge funds, convinced they have found the next Big Short, are looking to bet against bonds backed by subprime auto loans. Good luck finding a bank willing to do the trade. Money manage

  3. Investing - Hedge funds see selloff in European bank stocks as buying opportunity[more]

    From WSJ.com: The massive selloff in European bank stocks and bonds is overdone and presents a “phenomenal” buying opportunity, according to some of Europe’s top hedge-fund managers. Despite a 28% slump in European bank stocks this year, including a 38% fall in Deutsche Bank AG and a 34% drop in Soc

  4. Legal - Carlyle accused of fraud by ex-employee, Hedge funds win CDS breach of contract suit against Deutsche Bank, Hedge fund asks for OK on $27.5m Goldman CDO deal, SFO examines Barclays hedge fund profits[more]

    Carlyle accused of fraud by ex-employee From AI-CIO.com: A former portfolio manager claims he was fired for blowing the whistle on “crazy” and “irresponsible” investments. Carlyle Group has been sued by a former portfolio manager for one of its hedge funds, who accused the firm of “knowi

  5. Illiquid assets are all the rage for hedge funds[more]

    From Valuewalk.com: …Institutional investors are increasingly turning to illiquid assets and active management strategies to combat macroeconomic trends, anticipated market volatility and diverging monetary policy, according to a new survey by Blackrock. And this week, Bloomberg has reported that at