Mon, May 29, 2017
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. Investing - Tudor Jones backs AI hedge funds, Massive hedge fund trades highlight insider buying: GE, Pentair, Tempur Sealy, Apollo Global and more, Hedge funds big wigs are buying consumer and selling tech, here's the stocks[more]

    Tudor Jones backs AI hedge funds From FT.com: Hedge fund magnate Paul Tudor Jones has invested in a brace of artificial-intelligence powered "quantitative" hedge funds, underscoring the increasing acceptance that the industry will need to turn more to technology and away from traditional

  2. Soon hedge fund investors won't bet on a man, they will bet on a machine[more]

    From Forexlive.com: The Wall Street Journal is in the midst of a 17-part series that looks at the rise of quant funds. The AUM and money invested in quant funds still trails traditional asset managers but the gap is closing. What's truly amazing is volume. Quant funds make up 27% of trading vo

  3. Investing - China's HNA wants to invest in Value Partners, Risk parity investors reap rewards from rebalancing act, SoftBank's $100 billion tech fund rankles VCs as valuations soar[more]

    China's HNA wants to invest in Value Partners From Reuters.com: HNA Group has alighted on a logical, if pricey, target in Hong Kong. The deal-hungry Chinese travel conglomerate known for overpaying wants to invest in Value Partners, one of Asia's few sizeable independent asset managers,

  4. Opalesque Exclusive: Investors warm to ESG, but seek standardization[more]

    Bailey McCann, Opalesque New York: Asset managers and asset owners plan to double their investment in Environmental, Social and Governance (ESG) driven strategies over the next two years, according to a survey from BNP Paribas Securities Services. The report, "Great Expectations: ESG - what's nex

  5. Opalesque Roundtable: France's hidden strengths in AI and machine learning[more]

    Komfie Manalo, Opalesque Asia: All nations offer their strengths and weaknesses, but one that is undisputed is the quality of the French scientists, claimed Guillaume Vidal, co-founder of French technology startup Walnut Algorithms at the