Comments on: Alternative Viewpoints: Sustainable Hedge Fund Performance http://allaboutalpha.com/blog/2008/03/31/alternative-viewpoints-sustainable-hedge-fund-performance/ Hedge funds, portable alpha, 130/30 and alpha-centric investing Fri, 12 Mar 2010 16:56:36 +0000 http://wordpress.org/?v=abc hourly 1 By: Shelly Jacobs http://allaboutalpha.com/blog/2008/03/31/alternative-viewpoints-sustainable-hedge-fund-performance/comment-page-1/#comment-102910 Shelly Jacobs Mon, 05 May 2008 19:58:40 +0000 http://allaboutalpha.com/blog/2008/03/31/alternative-viewpoints-sustainable-hedge-fund-performance/#comment-102910 Been trying to "break" our models that have been back & forwarded tested ad nauseam, and thus far am unable to do so. IMHO it's our risk control & adaptive money management, coupled with a periodic reoptimization followed by daily total rescreening of our 30+ algorithms that has created the robustness of our risk:reward ratio and non-leveraged returns. Just damn sustainable performance! Saying that, perhaps our log normal return bell curve will begin to skew if we take on too much investment, i.e., in excess of $3B, non-leveraged? Difficult to say, in practice, as it is typically the manager's goal to accept a larger asset pool if expected lower returns, making up with the larger pool of assets to earn the management & performance incentive fee. So do we stick with $3B as a limit and take our 50% incentive fee above the benchmark, or do we simply accept unlimited client assets at the orthodox 1%/20% and make it up on the volume of assets? I suppose if I am able to break our adaptive models, then I'll have my answer. Been trying to “break” our models that have been back & forwarded tested ad nauseam, and thus far am unable to do so. IMHO it’s our risk control & adaptive money management, coupled with a periodic reoptimization followed by daily total rescreening of our 30+ algorithms that has created the robustness of our risk:reward ratio and non-leveraged returns. Just damn sustainable performance!

Saying that, perhaps our log normal return bell curve will begin to skew if we take on too much investment, i.e., in excess of $3B, non-leveraged? Difficult to say, in practice, as it is typically the manager’s goal to accept a larger asset pool if expected lower returns, making up with the larger pool of assets to earn the management & performance incentive fee. So do we stick with $3B as a limit and take our 50% incentive fee above the benchmark, or do we simply accept unlimited client assets at the orthodox 1%/20% and make it up on the volume of assets?

I suppose if I am able to break our adaptive models, then I’ll have my answer.

]]> By: Javi http://allaboutalpha.com/blog/2008/03/31/alternative-viewpoints-sustainable-hedge-fund-performance/comment-page-1/#comment-94543 Javi Tue, 01 Apr 2008 15:26:17 +0000 http://allaboutalpha.com/blog/2008/03/31/alternative-viewpoints-sustainable-hedge-fund-performance/#comment-94543 "funds with a limited exposure to the equity market consistently and significantly outperform equity and bond markets" I don't think that if I have a fund exploring betas in non equity/bond asset classes, I am creating alpha... “funds with a limited exposure to the equity market consistently and significantly outperform equity and bond markets”

I don’t think that if I have a fund exploring betas in non equity/bond asset classes, I am creating alpha…

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