Fri, Feb 23, 2018
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. Opalesque Exclusive: Global Sigma captures February's long-vol trade[more]

    Bailey McCann, Opalesque New York for New Managers: Florida-based Global Sigma rode February's volatility to new highs. The firm's AGSF strategy is up +2.8 percent through February 16 and +4.2 percent YTD a

  2. Art & Motion launches collectible car alternative investment vehicle[more]

    Komfie Manalo, Opalesque Asia: Luxembourg-based Art & Motion has launched a new investment vehicle dedicated to vintage cars and exceptional high-quality vehicles as this collectible market has grown exponentially the turn of the centu

  3. Investing - Hedge funds turn short on tech just as stock rally takes off, After biggest short, speculators slash bearish US bond bets as supply deluge looms[more]

    Hedge funds turn short on tech just as stock rally takes off From Newsmax.com: A key group of investors has just missed out on the biggest tech-stock rally since 2014. Hedge funds and other large speculators turned net short on Nasdaq 100 Index futures for the first time in 21 months, ac

  4. Low volatility funds fail to protect investors[more]

    From FT.com: A number of exchange traded funds (ETFs) designed to protect investors from sharp stock market gyrations lost more money than mainstream US stocks during a sell-off this month, underperforming in precisely the conditions in which they were meant to thrive. Low volatility ETFs, lau

  5. Legal - Hedge funds fight to save M&A arbitrage strategy, Fannie Mae and Freddie Mac ruling blow to hedge funds[more]

    Hedge funds fight to save M&A arbitrage strategy From FT.com: Hedge funds which use the US courts to wring higher prices for merger and acquisition deals are fighting to save the lucrative investment strategy, after a Delaware court ruling that threatens to shut it down. Verition Partner