Mon, Aug 29, 2016
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. Strategies - The 'Holy Grail' hedge fund strategy to handle a black swan the size of World War I, Hedge funds get more pushback on terms as enthusiasm for strategy wanes[more]

    The 'Holy Grail' hedge fund strategy to handle a black swan the size of World War I From IBTImes.co.uk: To illustrate a strategic gap common to today's portfolio managers, George Sokoloff, PhD, founder and CIO at Carmot Capital, proposes an interesting thought experiment – a breakdown of

  2. Institutional investors - Investors set to increase allocation to private debt, With investment income key, Richmond retirement system faces funding challenges[more]

    Investors set to increase allocation to private debt Investors are set to increase their allocation to private debt, with 60% revealing they believe the private debt market will grow over the next 12 months, according to a new study by Elian, a leading funds services provider. 41%

  3. Investing - Hedge funds snap up banks, unload Apple, Some of hedge funds' favorite stocks are finally starting to beat the market, Einhorn's Greenlight shifts positions, Treasury yield climbs to two-month high as Fischer joins hawks, 9 stocks smart investors put their money in last quarter[more]

    Hedge funds snap up banks, unload Apple From Barrons.com: Prominent hedge funds have a newfound love of big banks, and some have a distaste for shares of Apple, regulatory filings released last week show. The filings suggest that the funds have been pivoting their portfolios in recent mon

  4. Chesapeake energy seeks $1 billion loan to refinance debt[more]

    From Bloomberg.com: Chesapeake Energy Corp. is seeking a $1 billion loan as the company battered by cratering fuel prices and credit downgrades takes a step to address its $9 billion debt load. The natural gas producer hired Goldman Sachs Group Inc., Citigroup Inc. and Mitsubishi UFJ Financial Group

  5. Institutions - Nordic pension funds magnify focus on unlisted and direct investing, building up teams[more]

    From IPE.com: As bond yields remain at low or negative levels, pension funds and other institutional investors in the Nordic region are stepping up efforts to find higher returns by adding more unlisted investments to portfolios and are expanding in-house teams in order to do this, according to new