Wed, Sep 2, 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. Cliff Asness attracts $360 million as liquid alternative funds hold up[more]

    From Bloomberg.com: As U.S. stocks suffered their worst month in more than three years in August, Clifford Asness’s managed futures fund was able to profit. Investors are taking notice. The $9.12 billion AQR Managed Futures Strategy Fund pulled in an estimated $360 million in net subscriptions last

  2. Performance - Einhorn and Loeb's hedge funds both decline 5% in August, Some target-date funds miss in the market turmoil[more]

    Einhorn and Loeb's hedge funds both decline 5% in August From Reuters.com: Hedge fund billionaires David Einhorn and Daniel Loeb saw their main funds lose roughly 5 percent in August during a dramatic market sell off, two people familiar with their returns said on Monday. Einhorn's

  3. Opalesque Exclusive: When the SEC calls, fund managers need to get out of their own way[more]

    Bailey McCann, Opalesque New York: New pressure is hitting alternative investment funds from all angles. So far this month both hedge fund and private equity players have seen enforcement actions, and subsequent fines over fees, disclosures, and misleading statements. Citi one of the biggest

  4. Fortress hedge fund manager David Dredge says markets trouble on the way[more]

    From AFR.com: David Dredge of global hedge fund Fortress has built a career studying, predicting and protecting against the world's major financial crises. The recent convulsions in global sharemarkets are "just the beginning" of a painful adjustment as money drains from the emerging market economie

  5. North America - Puerto Rico agency plans talks with hedge fund creditors[more]

    From WSJ.com: Puerto Rico’s Government Development Bank is planning to begin confidential debt-restructuring talks with hedge funds that own its bonds as early as next week, said a person familiar with the matter. The parties are set to discuss a plan under which the investors would lend additional

 

banner