Browsing: Performance, Analytics & Metrics

Performance, Analytics & Metrics

Northill: In Defense of Active Management

Aug 27th, 2016 | Filed under: Allocating to A.I., Alpha & Beta, Benchmarking & Performance Attribution, Newly Added, Performance, Analytics & Metrics

Northill Capital, a London-based asset manager, has released a report defending active asset management from the common charge that it cannot, after costs, beat the passive managers. That is an old and familiar subject for debate. What cannot be debated, because it is a simple matter of definition and arithmetic,Read More


Best Practices for Private Equity Sponsors in an Age of Increasing Scrutiny

May 23rd, 2016 | Filed under: Benchmarking & Performance Attribution, Newly Added, Other Issues in Private Investments, Performance, Analytics & Metrics, Private Equity, Private Investments, Risk management, Risk Management Strategies & Processes

By John Czapla, Parag Patel and Shane Newell, Valuation Research Corporation As the demand for transparency rises for private equity and hedge funds, the spotlight is increasingly focusing on valuation practices. There are an important number of reasons why the valuation process has become important, and they are essential forRead More


Tricky Times for Hedge Funds and a Lot of Negative YTD Performances

May 22nd, 2016 | Filed under: Benchmarking & Performance Attribution, Equity Hedge Funds, Fees, Hedge Fund Strategies, Hedge Funds, Indexes, Newly Added, Performance, Analytics & Metrics, Structure of the Hedge Funds Industry

A slim majority of hedge fund managers are in the red year to date, through April, according to the latest report from Eurekahedge. Specifically, 51.4% of managers have negative YTD performance. Over the same period in 2015, the analogous number was only 21.2%. That is a good indication of whatRead More


Eurekahedge: From Latin America to Middle Earth 

Mar 20th, 2016 | Filed under: Allocating to A.I., CTA, Hedge Funds, Macro and Managed Futures Funds, Newly Added, Performance, Analytics & Metrics

The latest report from Eurekahedge tells us that hedge funds worldwide are down year-to-date through February, -1.27 percent. Dividing the industry by geographic mandates, Latin America is the only region to post YTD gains, +1.9% due to a rally in oil and commodities. Table 1, adapted from the report below,Read More


Eurekahedge: Performance after the ECB Underwhelms

Jan 28th, 2016 | Filed under: Benchmarking & Performance Attribution, Equity Hedge Funds, Hedge Funds, Macro and Managed Futures Funds, Newly Added, Performance, Analytics & Metrics

The latest Eurekahedge report says that regional mandates for the month of December 2015 produced quite mixed results. Asia ex-Japan managers yielded the best results, gains of 1.45%. Their Japanese counterparts produced 0.27%. In annual terms, Asia ex-Japan funds delivered 8.23% in 2015. Such funds saw an annual AUM growthRead More


Eurekahedge: All Regional Mandates Up for November

Dec 23rd, 2015 | Filed under: Allocating to A.I., Benchmarking & Performance Attribution, Event-Driven Hedge Funds, Hedge Funds, Newly Added, Performance, Analytics & Metrics

Faille takes a quick trip around the world with the assistance of Eurekahedge's numbers and graphs showing performance in November 2015 and year to date.Read More


Institutions Thinking About Interest Rates and Volatility

Dec 15th, 2015 | Filed under: Allocating to A.I., Benchmarking & Performance Attribution, Endowments & Foundations, Institutional Asset Management, Institutional Investing, Newly Added, Performance, Analytics & Metrics

In recent months, even the anticipation of Fed Reserve tightening has been able to send markets into a tizzy. Now the actual tightening is at last upon us. Both Natixis and Reuters surveys speak to the way the buy-side and sell-side see this. Read More


DB Global Prime: Hedge Funds See Steady Combined Inflows, But Lots of Action

Nov 29th, 2015 | Filed under: Asset Managers, Benchmarking & Performance Attribution, Equity Hedge Funds, Hedge Fund Strategies, Hedge Funds, Industry Size & Managers, Newly Added, Performance, Analytics & Metrics, The A.I. Industry

DB Prime's researchers have highlighted the multi-year outflows from EM to DM. EM equity inflows in particular reached a peak in early 2011. Since then EM equities have seen an outflow which has benefitted primarily Europe and Japan within the developed world. Read More


A Curtain Opener for the Australia Forum

Sep 13th, 2015 | Filed under: Alternative Beta & Hedge Fund Replication, Hedge Fund Regulation, Performance, Analytics & Metrics

Paul Chadwick, chairman of AIMA Australia, says that the hedge fund industry in Australia is at an "inflection point." Faille reflects on that ubiquitous expression, and then turns to Australia's new Investment Manager Regime. Read More


Billion Dollar Claim from Black Swan Fund: Not from Taleb

Sep 7th, 2015 | Filed under: CAPM / Alpha Theory, Performance, Analytics & Metrics

As regular readers of this blog may recall, I have found much to admire in the writings of Nassim Nicholas Taleb. So I am happy that he had decided to put some distance between himself and a recent claim that Universa made $1 billion when bad news from China shook the world's markets in late August. Read More


The Skorina Report: Fearless Forecast Says That Endowment Returns Will Disappoint in FY2015

Sep 3rd, 2015 | Filed under: Alpha Hunters, Alpha Seekers, Alpha Strategies, Endowments & Foundations, Hedge Fund Strategies, Institutional Investing, Performance, Analytics & Metrics

Guest columnist Charles Skorina looks at the potential for 2016 endowment returns and finds them to be somewhat lacking... Could alternatives ride to the rescue?Read More


Foundations: They’ve Taken a Blow from “Subdued” Markets

Sep 2nd, 2015 | Filed under: Hedge Fund Industry Trends, Hedge Fund Strategies, Indexes, Institutional Investing, Liquid Alts, Performance, Analytics & Metrics, Risk management

Both private and community foundations depend heavily on U.S. equities. Indeed, domestic equities remained the bright spot while other strategies underperformed in 2014. A new report from a collaboration of the Council on Foundations and Commonfund provides food for thought about the reversal in foundation returns in that year. TheRead More


Alternative Investments By the Numbers: Top 5 2015 YTD Takeaways

Jul 23rd, 2015 | Filed under: Alpha Strategies, Hedge Fund Industry Trends, Hedge Fund Strategies, Liquid Alts, Performance, Analytics & Metrics, Private Equity

Guest columnist Andre Boreas takes a look at the alternative investment universe year-to-date 2015 by the numbers.Read More


The Core Satellite Model: How to Cut Hedge Fund Fees in Half Part II

Jun 25th, 2015 | Filed under: Alpha Hunters, Alpha Seekers, Alpha Strategies, Fees, Hedge Fund Industry Trends, Performance, Analytics & Metrics

Andrew Beer continues his discussion on slashing hedge fund fees without burning yourself or your clients.Read More


Headline Factors and Hedge Fund Success

Jun 23rd, 2015 | Filed under: Indexes, Macroeconomics, Performance, Analytics & Metrics

European mandated hedge funds, benefitting from improved expectations regarding that region, are up 5.54% year to date, says Eurekahedge. Wait: improved expectations? Yes, notwithstanding continued Greek drama. Read More


Mladina on Peeling the Onion: Looking for Idiosyncratic Skill

Jun 21st, 2015 | Filed under: Currencies, Emerging markets, Indexes, Performance, Analytics & Metrics

Factor models will evolve as researchers untangle what value is to be attributed to what factor. Model selection, then, has to remain flexible to keep pace with such research, and must of course remain useful for the investment decision makers. Read More


How to Cut Hedge Fund Fees in Half-Part One

May 31st, 2015 | Filed under: Fees, Hedge Fund Industry Trends, Institutional Investing, Performance, Analytics & Metrics

Guest columnist Andrew Beer takes on hedge fund fees. In part one of the series he looks at the investor aggregation model.Read More


Eurekahedge on Asia in March, and on Asia Over the Years

Apr 28th, 2015 | Filed under: Currencies, Emerging markets, Hedge Fund Strategies, Indexes, Performance, Analytics & Metrics

According to Eurekahedge the hedge fund industry globally returned $54.1 billion in performance gains in the first quarter 2015. This is the greatest first-quarter gain since before the global financial crisis. Read More


More Global Mandates, Fewer EM Mandates, and Other Changes

Mar 23rd, 2015 | Filed under: CTA, Institutional Investing, Performance, Analytics & Metrics, Risk management

Eurekahedge's latest report gives a number of timelines for grappling with changes in the hedge fund world: since 2007; since January 2013; YTD January 2015. In any frame, you don't have to be a meteorologist....Read More


Why Constraints on Hedge Funds Matter

Mar 8th, 2015 | Filed under: Alpha Strategies, Alternative Mutual Funds, Hedge Fund Industry Trends, Hedge Fund Strategies, Indexes, Performance, Analytics & Metrics

Andrew Beer looks at what happens when talented hedge fund managers try and perform within the constraints of the mutual fund structure. Read More


Arbitrage 101: When Voting Has Negative Value

Feb 11th, 2015 | Filed under: Hedge Fund Strategies, Performance, Analytics & Metrics

Reuters is now reporting that major investors seek the opportunity to convert their voting shares of Twenty-First Century Fox into non-voting shares, because the voting shares are trading at a discount. Faille takes Reuters' anonymous sources at their words for the purposes of discussion. He doesn't think these investors will get their convertibility. Read More


The Danger of Indices

Feb 1st, 2015 | Filed under: Indexes, Performance, Analytics & Metrics

A useful benchmark or a dangerous prop? Guest columnist Andrew Beer looks at the hidden dangers in indices.Read More


What Happens to Hedge Funds if 2008 Market Conditions Repeat?

Dec 4th, 2014 | Filed under: Hedge Fund Industry Trends, Hedge Fund Strategies, Performance, Analytics & Metrics

Guest columnist Don Steinbrugge examines what might happen to hedge funds if there's a 2008 "Groundhog Day" in the markets.Read More


The Best Offense is a Good Defense: Profiting from Hedging

Dec 3rd, 2014 | Filed under: Asset allocation, CAPM / Alpha Theory, Performance, Analytics & Metrics, Risk management

A regime switching model may treat a high-volatility environment as one “regime,” and a low-vol environment as its successor regime. The idea, as it applies to risk management, then, is simply to be ready in either setting for the switch to the other. This is both playing defense and playing offense. It is both managing risk and pursuing alpha. Read More


The Growing Problem of Calculating Performance Fees

Dec 2nd, 2014 | Filed under: Alpha Strategies, Performance, Analytics & Metrics

A new white paper produced jointly by FundCalcs and Global Perspectives looks at the growing complexity of calculating performance fees.Read More


Wars and Failed Mergers Make for a Tricky October

Dec 1st, 2014 | Filed under: Emerging markets, Performance, Analytics & Metrics, Risk management

Only two hedge fund strategies performed in the positive numbers in October, the rest were all in the red. Managed futures did best, according to the Eurekahedge numbers, benefitting from their short positions on oil prices. Read More


GFIA Hedge Fund Manager Review: The End of an Era

Nov 3rd, 2014 | Filed under: Alpha Strategies, Emerging markets, Performance, Analytics & Metrics

In what will be its last regular monthly report on such matters, GFIA tells us that a sharp correction hit markets in Asia ex Japan in September, and tells us of some of the funds that defied the outgoing tide. Read More


Hedge Funds and Position Crowding

Oct 23rd, 2014 | Filed under: Hedge Fund Strategies, Performance, Analytics & Metrics

Move over! It's crowded in here. What happens when hedge funds crowd a trade? Guest columnist Andrew Beer looks at hedge fund performance and the crowded trade.Read More


Hedge Funds: Good Run for India, but Troubles in Brazil

Oct 21st, 2014 | Filed under: Emerging markets, Indexes, Performance, Analytics & Metrics

India accounts for much of the positive showing of Asia ex-Japan in the hedge fund world YTD. That positive showing, in turn, may be attracting asset flow. Read More


Signs of a Renaissance in Emerging Manager ‘Alpha’

Oct 2nd, 2014 | Filed under: Alpha Seekers, Alpha Strategies, Hedge Fund Strategies, Institutional Investing, Performance, Analytics & Metrics

Guest columnist Peter Urbani looks at emerging managers and why they may be re-emerging and bringing alpha with them.Read More


Merger Arb: Getting Your Stick to Where the Puck Will Be

Sep 8th, 2014 | Filed under: Alpha Strategies, Legislation/Court rulings, Performance, Analytics & Metrics

Christopher Faille speaks to Matt Porzio, the VP of Strategy and Product Marketing at Intralinks, about the data behind Intralinks' DFI. Read More


Eurekahedge: Europe-Focused Managers Took Hits in July

Aug 20th, 2014 | Filed under: Emerging markets, Performance, Analytics & Metrics

Banco Espirito Santo, and its CEO Salgado, had emerged from an earlier round of crisis (way back in 2012) with a roseate smell. Their latest smell ... not so good. Read More


All Regional Mandates in Positive Territory YTD

Jul 28th, 2014 | Filed under: Alpha Strategies, Emerging markets, Performance, Analytics & Metrics

The latest report from Eurekahedge mentions that though instability is "brewing again in the Middle East," things have settled down a bit in Eastern Europe. This report was written prior to the shoot down of a Malaysian jet over the Ukraine. Read More


A Challenge to Bayesian Probability

Jul 23rd, 2014 | Filed under: CAPM / Alpha Theory, Performance, Analytics & Metrics

The stakes, for mathematics, finance, and the overlap of the two, are pretty high. So my ears pricked up when I heard of a sweeping challenge to Bayesianism. Read More


Tactical Alpha and Persistence in Hedge Fund Returns

Jul 7th, 2014 | Filed under: Alpha Hunters, Alpha Strategies, Hedge Fund Strategies, Performance, Analytics & Metrics

Guest columnist Andrew Beer looks at the consistency of hedge fund returns and finds them, well, lacking...Read More


GMI Numbers-Crunching Predicts Stock Returns

Jun 30th, 2014 | Filed under: Alpha Strategies, CAPM / Alpha Theory, Performance, Analytics & Metrics

Starting with 350 available metrics of corporate governance and/or forensic accounting, GMI Ratings has boiled their model down to just 64, and from those they get three scores. Read More


Japanese Investors Sticking with Hedge Funds, Expect Nikkei Rise

Jun 29th, 2014 | Filed under: Currencies, Hedge Fund Industry Trends, Performance, Analytics & Metrics

Why it is possible that the recent uptick in animal spirits in Japan comes largely from a sense that Abenomics as originally conceived has run its course, and that Abe and the rest of the gang there will have to move on shortly. Read More


The Skorina Report: Endowment Performance at Flagship State Schools

May 22nd, 2014 | Filed under: Alpha Hunters, Endowments & Foundations, Performance, Analytics & Metrics

Charles Skorina revisits his famous "public Ivys" study.Read More


Why are Hedge Fund Assets Reaching All-time Highs?

May 12th, 2014 | Filed under: Alpha Hunters, Asset allocation, Institutional Investing, Media Coverage of Hedge Funds, Performance, Analytics & Metrics

Guest columnist Don Steinbrugge looks at why allocators continue to invest in hedge funds, even when the media thinks they shouldn't.Read More


Squeezed Margins and a Move to the Clouds

Jun 12th, 2013 | Filed under: Infrastructure, Performance, Analytics & Metrics

The world of cash equities trading is changing and will continue to change, says Celent. Brokerages will have to outsource in order to reduce costs and restore their margins: and some of the outsourcing will involve "the cloud."Read More


Doing Penance for the Draw-down

May 20th, 2013 | Filed under: Alpha Strategies, CAPM / Alpha Theory, Performance, Analytics & Metrics

Under standard portfolio theory assumptions, it takes three times longer to recover from the maximum draw-down for a particular strategy than it does to get there. Fortunately, those assumptions seem to be wrong in a way that allows for a more rapid return to a high water mark. Read More


How Hedge Funds Need to Adapt Part II

Apr 21st, 2013 | Filed under: Hedge Fund Industry Trends, Hedge Fund Operations and Risk Management, Hedge Fund Strategies, Institutional Investing, Performance, Analytics & Metrics

Part II of a new SEI report on hedge funds and adapting to survival.Read More


How Hedge Funds Need to Adapt: Part I

Apr 7th, 2013 | Filed under: Alpha Strategies, Hedge Fund Industry Trends, Hedge Fund Strategies, Performance, Analytics & Metrics

“Few managers would be surprised,” SEI says, “that nearly one-third of the institutions queried in SEI’s 2012 survey reported making their due diligence processes more robust over the last two years.” The new robustness in the search for the nature and sustainability of the funds’ edge involves a new granularity, the questioning of specific investment decisions in the context of portfolio construction models.Read More


Smaller Hedge Fund Managers Outperform: A Study of Nearly 3,000 Equity Long/Short Hedge Funds

Feb 18th, 2013 | Filed under: Alpha Strategies, Hedge Fund Industry Trends, Hedge Fund Strategies, Performance, Analytics & Metrics

Beachhead Capital looks at performance in the long/short equity sector and finds that small funds outperform the large.Read More


Women and Alternatives: A Long-Deferred Tipping Point

Jan 16th, 2013 | Filed under: Alpha Strategies, Hedge Fund Industry Trends, High-net-worth investors, Institutional Investing, Performance, Analytics & Metrics

If you are managing the portfolio of an institution that invests in hedge funds, you might want to ensure that some sizable portion of the HF-allocated assets go to funds managed by women-led firms. In this, you will have company. Read More


Like Wine: Hedge Funds Have a ‘Terroir’

Jan 3rd, 2013 | Filed under: Alpha Strategies, Hedge Fund Industry Trends, Performance, Analytics & Metrics

Hedge fund partners and traders in a given city socialize together, they talk shop, and they may have histories together in other local institutions before opening their respective hedge fund firms. They naturally develop locally distinctive ideas and practices, such as the value emphasis in Boston, or the relatively lower fees distinctive to Dallas.Read More


Top 10 Operational Risks: The ninth and tenth risk areas in a 10-part series

Nov 12th, 2012 | Filed under: Performance, Analytics & Metrics, Risk management

SEI put together a 10-part guide as an effective risk management tool to set the foundation for operational excellence. Below are excerpts from chapters nine and ten, now available for download at www.seic.com/OpsSurvivalGuide.Read More


Canada’s Hedge Funds Are Worthy of the Name

Sep 3rd, 2012 | Filed under: Alpha Strategies, Performance, Analytics & Metrics

Amitesh Kapoor's research into Canadian hedge funds and mutual funds shows that the hedgers really do have a performance edge.Read More


A Word of Caution on the Modified Distribution

Jan 29th, 2012 | Filed under: Hedge Fund Operations and Risk Management, Performance, Analytics & Metrics

Peter Urbani looks at Cornish Fisher and modified VaR as a function of skewness.Read More


New Survey Concludes Finding Alpha Is Difficult

Oct 5th, 2011 | Filed under: Alpha Strategies, Institutional Investing, Performance, Analytics & Metrics, Private Equity

The second in a three-part series on private equity from SEI shows that alpha is a bit slippery these days.Read More