Sat, Aug 27, 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. 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