Sat, Aug 1, 2015
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
New Managers February 2012

Perspectives
Recent research, surveys and views on emerging managers

Study: Smaller funds and younger funds outperform their peers

According to a recent study, hedge funds with greater managerial incentives, smaller funds and younger funds outperform their peers, while hedge funds with strict share restrictions are not associated with higher risk-adjusted returns. It also showed that using a consolidated database will help researchers avoid biases.

The study, "Revisiting 'Stylized Facts' About Hedge Funds - Insights from a Novel Aggregation of the Main Hedge Fund Databases," by Juha Joenvaara and Pekka Tolonen of the University of Oulu (Finland) and Robert Kosowski of Imperial College Business School (London), aims to present stylised facts about hedge fund performance and data biases based on a new database aggregation - stylized facts being simplified presentations of empirical findings.

The study's objective is to help hedge fund researchers when they compare results across different studies by highlighting differences between databases and "their effect on previously documented results."

The study used a comprehensive hedge fund database and documented "economically important positive" risk-adjusted performance of the average fund "while differences in magnitude are due to differences in fund size and data biases, but not differences in fund risk exposures."

As this performance does not stick with any of the databases when using value-weighted returns, the analysts show this is tied to fund size and bigger biases in certain databases. (A value-weighted market return is a weighted average of all stock returns, with the weights given by the market value of the stock issue at the end......................

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: Despite bumpy June/July, CTAs hold on[more]

    Bailey McCann, Opalesque New York: To say that things have been rocky in managed futures recently is putting it mildly. In June, the industry saw its worst month on a performance basis in the past four years. Then yesterday,

  2. Investing - Hedge fund billionaires bet on London as revival gathers pace[more]

    From Bloomberg.com: London’s fund industry is bouncing back, and U.S. billionaires Steven A. Cohen and Ken Griffin are grabbing a piece of the action. Griffin’s Citadel and Millennium Management, a hedge fund run by Israel Englander, have bulked up in London, where asset growth is outpacing the U.S.

  3. Other Voices: Same day reporting and the evolving role of fund administrators[more]

    By: Scott Price, Head of Business Development and Client Management for North America, Maitland Ernst & Young’s latest glob

  4. Opalesque Roundup: Hedge fund assets rose to 11th consecutive quarterly record level: hedge fund news, week 31[more]

    In the week ending 24 July, 2015, the total global hedge fund industry assets rose to the 11th consecutive quarterly record level in 2Q15 to $2.97tln; Eurekahedge reported that hedge funds raised $93bn in the first six months of 2015; The SS&C GlobeOp Forward Redemption Indicator for July 201

  5. Cowen Group, Inc. to acquire Conifer Securities[more]

    Cowen Group, Inc. and Conifer Securities, LLC had announced the signing of a definitive agreement under which Cowen will acquire Conifer Securities, the prime services division of Conifer Financial Services LLC. The transaction, the terms of which have not yet been disclosed, was approved by the boa

 

banner