Mon, Sep 26, 2016
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
New Managers May 2012

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

Big is not always beautiful

One possible criticism of the Emanagers Index is its relatively small sample size of around 300 funds. This gives rise to the possibility that the returns of the Emanagers index may be inflated by survivor bias or possible cherry picking of funds. To mitigate against this, I this month updated some earlier research on Do Emerging Managers Add Value?, using the larger Eurekahedge database of over 10,000 funds.

In this research, we constructed Emerging and Established manager indices that control for both size and age. The three main emerging manager indices constructed are:

Eurekahedge < 36 months old and < $300m AUM,

Eurekahedge < 24 months old and < $200m AUM,

Eurekahedge < 12 months old and < $100m AUM.

And their established manager counterparts which are age-based only:

Eurekahedge > 36 months old,

Eurekahedge > 24 months old,

Eurekahedge > 12 months old.

In, addition we constructed a size based index: TOP 100 Funds by AUM. And, as a control, compared our results against the HFR New and Established Managers Indices and the Opalesque Emanagers Total Index. The results are fairly unequivocal.

Whilst the magnitude of the alpha (excess return between Emerging and Established Manager Index) differs in magnitude depending of which database is used, the results are broadly similar. The excess returns of the HFR New Managers Index is around +2.46%, the Eurekahedge Emerging Managers < 36 months and < $300m AUM +3.93%, and the Opalesque Emanagers Total Index +3.60%. The Top 100 Funds by AUM Index has slightly positive to slightly negative alpha depending on which Estab......................

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. North America - Acela fight splits hedge fund Connecticut and old money enclaves[more]

    From Bloomberg.com: Connecticut’s residential coastline is two worlds, the one of newcomer millionaires and one whose wealth and New England roots span generations. Now, their differences over a rail route threaten to gum up plans for the U.S. Northeast’s fastest-ever trains. About 30 miles from Man

  2. Activist News - Caesars offers creditors another $1.6bn, would spell end of hedge fund ownership, Activist investors double chance of CEO exits[more]

    Caesars offers creditors another $1.6bn, would spell end of hedge fund ownership From Calvinayre.com: Casino operator Caesars Entertainment has improved its offer to junior creditors to over $5b, but the offer is only good until Friday. On Wednesday, Caesars added an extra $1.6b to the $

  3. Opalesque Exclusive: Modern investor tools (2): A platform that does the job for you[more]

    Benedicte Gravrand, Opalesque Geneva: A new series on technology providers that assist asset allocators. There is disruption in the investor part of the world of hedge funds, coming from platforms that can replace traditionally-run search and analysis. Here is one of them. L

  4. Hedge funds saw four consecutive months of outflows in August, but assets still up by $17.6bn YTD[more]

    Komfie Manalo, Opalesque Asia: Hedge funds witnessed four consecutive months of outflows with investor redemptions totaling $23.8bn as of end of August, data provider Eurekahedge said in its monthly report. But total hedge fund assets grew by

  5. Trend reversals lead to losses as managed futures drops 1.52% in August[more]

    Komfie Manalo, Opalesque Asia: Trend reversals in August have led managed futures traders to lose 1.52% last month according to the Barclay CTA Index compiled by BarclayHedge. The Index is up 0.62% year to dat