Sat, Dec 20, 2014
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
New Managers March 2012

Peter Urbani' Statistics
Peter Urbani's quantitative analysis of emerging managers' performance

Opalesque Emanagers Index Easily Replicable With Relatively Low Tracking Error Peter Urbani

One of the recommendations of The Association for Investment Management and Research (AIMR), now part of the CFA Institute, with respect to its guidelines for benchmarks is that they be replicable.

With this in mind, we this month attempt to recreate the Emanagers index using the Opalesque Emerging Managers database. The Index is equally weighted with notional new money pro-rated to new funds as they enter the index.

Based on the available underlying data and bearing in mind that the index is retroactively updated each month, we were able to recreate the index returns with a tracking error of 3.33% or -33 basis points per annum to the actual index compound annual return (CAGR) of +16.55%.

We then performed a four moment risk and return attribution analysis, which incorporates the effects of the higher order moments ( skewness and Kurtosis ) via the calculation of co-skewness and co-kurtosis matrices, on the ex post performance of the Index portfolio.

Extrapolating the cone of uncertainty into the future based on the underlying statistics of this calculation suggests an expected return of +9.96% over the next 12 months.

Two caveats here are obviously that this is based entirely on past performance and ......................

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 - Big hedge funds win again on PetSmart, Riverbed, RBS sells real estate loans to hedge fund Cerberus, Talisman energy speculation: Which hedge funds could benefit?[more]

    Big hedge funds win again on PetSmart, Riverbed From CNBC.com: Another week, another set of wins for activist investors. On Sunday, pet supply retailer PetSmart agreed to the largest leveraged buyout of the year at $8.7 billion. Hedge fund firm JANA Partners had been pushing for a sale a

  2. Outlook - Hedge fund manager who remembers 1998 rout says prepare for pain, Bond guru Bill Gross predicts U.S. economic growth to dip to 2%[more]

    Hedge fund manager who remembers 1998 rout says prepare for pain From Bloomberg.com: Stephen Jen landed in Hong Kong in early January 1997 as Morgan Stanley’s newly minted exchange-rate strategist for Asia. He was soon working around the clock when investors began targeting the region’s

  3. Investing - Hedge funds get boost from healthcare in 2014, Paulson & Co takes stake in Salix on heels of inventory issues[more]

    Hedge funds get boost from healthcare in 2014 From Valuewalk.com: The healthcare sector started the year on a turbulent note, as stocks of many major biotechnology companies were battered. However, most of the players in this sector have bounced back. The BarclayHedge Healthcare & Biotec

  4. Comment - High fees and low performance hit hedge funds[more]

    From FT.com: Disenchantment over high fees and lackluster performance may finally be turning the tide against hedge funds, fresh data suggest. Despite generally weak returns since the global financial crisis, hedge funds have enjoyed positive net inflows every year since 2010. This helped assets und

  5. Performance - Lansdowne, Man Group, other hedge funds profit from shorts in oil, Turmoil boosts hedge funds that bet against Russia, oil, CTAs post strongest returns since December 2010[more]

    Lansdowne, Man Group, other hedge funds profit from shorts in oil From Valuewalk.com: The rising short interest in oil companies implies that the worst for oil is yet to come. Data from Markit shows that short exposure in energy sector of S&P 500 is still looming close to the highest mar