Performance, Analytics & Metrics

GFIA Hedge Fund Manager Review: The End of an Era

Nov 3rd, 2014 | Filed under: Alpha Strategies, Emerging markets, Performance, Analytics & Metrics, Timely Research, Today's Post

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.


Hedge Funds and Position Crowding

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

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.


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

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

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.


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, Today's Post

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


Asset Allocation & the Practical Application of Time-Window Analysis

Sep 14th, 2014 | Filed under: Asset allocation, Performance, Analytics & Metrics, Today's Post

Guest columnist Andrew Smith, CAIA, on performance analysis and its effect on asset allocation.


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

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

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


Eurekahedge: Europe-Focused Managers Took Hits in July

Aug 20th, 2014 | Filed under: Emerging markets, Performance, Analytics & Metrics, Today's Post

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.


All Regional Mandates in Positive Territory YTD

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

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.


A Challenge to Bayesian Probability

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

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.


Tactical Alpha and Persistence in Hedge Fund Returns

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

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


GMI Numbers-Crunching Predicts Stock Returns

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

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.


Japanese Investors Sticking with Hedge Funds, Expect Nikkei Rise

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

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.


The Skorina Report: Endowment Performance at Flagship State Schools

May 22nd, 2014 | Filed under: Alpha Hunters, Endowments & Foundations, Featured Post, Guest Posts, Performance, Analytics & Metrics, The Skorina Report, Today's Post

Charles Skorina revisits his famous "public Ivys" study.


Hedge Funds: The Transparent, the Opaque and the Tiered

May 18th, 2014 | Filed under: Best Practices, Performance, Analytics & Metrics, Today's Post

Seventy-one percent of private equity/real estate investors, and 89% of hedge fund investors, say they have decided against investing in at least one new fund due to their concern over its lack of transparency.


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, Today's Post

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


Why Do Investors Love Large Hedge Funds?

May 8th, 2014 | Filed under: Hedge Fund Industry Trends, Hedge Fund Strategies, Institutional Investing, Performance, Analytics & Metrics, Today's Post

Jeff Malec, CAIA, looks at why large hedge funds have all the fun and get all the money.


Performance Drag in Alternative Multi-manager Mutual Funds

May 5th, 2014 | Filed under: Alternative Mutual Funds, Hedge Fund Industry Trends, Hedge Fund Strategies, Institutional Investing, Performance, Analytics & Metrics, Retail Investing, Timely Research, Today's Post

Guest columnists Andrew Beer and Michael Weinberg look at the opportunities that lie in the largely untapped alternative mutual fund markets.


Keep Hope Alive: Look at Standard Deviations

Apr 28th, 2014 | Filed under: Hedge Fund Industry Trends, Hedge Fund Strategies, Performance, Analytics & Metrics, Today's Post

We'll suppose you're an investor with a dream. You want to get in on the ground floor of something that will be really big. You can't be risk averse then, can you?


Beware the Hedge Fund Indices of March, Caesar

Apr 14th, 2014 | Filed under: Hedge Fund Industry Trends, Hedge Fund Strategies, Performance, Analytics & Metrics, Today's Post

Japan-focused funds had three consecutive months of negative returns this quarter. These numbers look particularly jarring in contrast to the 2013 returns, from back in the days when Abenomics was being hailed as a success.


Investment Views on Emerging Markets Exposure Brighten

Mar 24th, 2014 | Filed under: Emerging markets, Hedge Fund Industry Trends, Hedge Fund Strategies, Performance, Analytics & Metrics, Today's Post

Have the emerging market assets and the funds focused thereon warranted this return of confidence by their recent returns? The answer to this question can't be any more emphatic than, "yes, somewhat."


Deloitte to Hedge Funds: Emulate the Agility of a Skier

Feb 10th, 2014 | Filed under: Alpha Strategies, Alternative Mutual Funds, Hedge Fund Industry Trends, Hedge Fund Strategies, Institutional Investing, Performance, Analytics & Metrics, Risk management, Today's Post

Deloitte's pie graphs emphasize the degree to which both hedge funds and PE vehicles have become dependent upon institutions in general, and detached from the retail market. But Deloitte says that 2014 "will likely see additional efforts by alternative fund managers to engage the retail investor base by taking their alternative investment strategies mainstream."


Are you looking for Alpha? Or Absolute Return?

Jan 16th, 2014 | Filed under: Alpha Hunters, Alpha Seekers, Hedge Fund Industry Trends, Performance, Analytics & Metrics, Today's Post

Rene Levesque, guest author, looks at the differences between absolute return and alpha and answers the question: can you absolutely return alpha?


It’s Always Relative…That Is, In Performance

Jan 9th, 2014 | Filed under: Alpha Strategies, Hedge Fund Industry Trends, Performance, Analytics & Metrics, Today's Post

Guest columnist Diane Harrison considers performance. What's the alternative?


Japan, China, India: Two Big Exceptions and a Rule

Dec 8th, 2013 | Filed under: Emerging markets, Performance, Analytics & Metrics, Today's Post

Even after the worst of the U.S. debt ceiling crisis passed, concerns about the Yen and unsatisfactory second-quarter performance numbers weighed the Nikkei down.


The Pitfalls of Mainstream Asset Allocation: Linear versus Non-Linear Risk

Oct 24th, 2013 | Filed under: Asset allocation, Performance, Analytics & Metrics, Risk management, Today's Post

Guest columnist firm Tesseract looks at mainstream asset allocation and its various risks.


Rowady’s Thoughts on Volatility, Data and Crowds

Oct 21st, 2013 | Filed under: Algorithmic and high-frequency trading, Performance, Analytics & Metrics, Today's Post

A recent article on the use of catalytic events to predict volatility, written by Paul Rowady of the TABB Group, provides food for thought for derivative traders, crystal-ball gazers, and compliance officers alike.


On Two Quantitative and Objective Execution Benchmarks

Oct 1st, 2013 | Filed under: Best Practices, Performance, Analytics & Metrics, Today's Post

As a matter of fiduciary responsibility and best business practice, Woodbine says, firms need to conceive of a trading strategy that will optimize their trade execution against objective and quantitative benchmarks, and connect with counterparties who will advance this goal.


Measurement Matters: Measuring Trading Performance

Sep 5th, 2013 | Filed under: Performance, Analytics & Metrics, Risk management, Today's Post

CAIA curriculum writers look at the most important metrics.


Building a Successful Fund Firm From the Start

Aug 21st, 2013 | Filed under: Best Practices, Commodities, CTA, Hedge Fund Industry Trends, Hedge Fund Operations and Risk Management, Performance, Analytics & Metrics

Grant Jaffarian, AlphaTerra LLC, discussed the importance of messaging


Are CTAs Simply Broken? A Short Critique

Aug 19th, 2013 | Filed under: Commodities, CTA, Performance, Analytics & Metrics, Today's Post

Guest columnist Andrew Beer looks at CTA performance.


Squeezed Margins and a Move to the Clouds

Jun 12th, 2013 | Filed under: Infrastructure, Performance, Analytics & Metrics, Today's Post

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."


Doing Penance for the Draw-down

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

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.


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, Today's Post

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


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, Today's Post

“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.


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, Today's Post

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


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, Today's Post

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.


Like Wine: Hedge Funds Have a ‘Terroir’

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

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.


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, Today's Post

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.


Canada’s Hedge Funds Are Worthy of the Name

Sep 3rd, 2012 | Filed under: Alpha Strategies, Performance, Analytics & Metrics, Today's Post

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


A Word of Caution on the Modified Distribution

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

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


Idiosyncratic Risk Puzzle Solved: Not All Investors Are The Same

Nov 20th, 2011 | Filed under: Alpha Strategies, CAPM / Alpha Theory, Performance, Analytics & Metrics, Today's Post

Intuition (codified by many models) suggests that investors have to be bribed to accept risk, so that there ought to be a positive link for any given class of security between the amount of risk, and thus the measurement of volatility, on the one hand, and expected return on the other. A puzzle arises, then, from empirical research indicating that “idiosyncratic” volatility, that is, the volatility due to the characteristics of a specific security, is negatively correlated with return once one passes the mid-point of the range of volatility.


Hedge Puppies are Still Top Dogs When it Comes to Performance

Oct 18th, 2011 | Filed under: Academic Research, Alpha Strategies, Hedge Fund Industry Trends, Performance, Analytics & Metrics, Today's Post

The latest version of a yearly analysis tells the same old story about performance, now backed up by fifteen years of data. And the potential rewards of investing with smaller funds go beyond what you see in the database statistics.


Survey: Inflows Don’t Reflect Performance Differences

Oct 12th, 2011 | Filed under: Hedge Fund Industry Trends, Hedge Fund Strategies, Performance, Analytics & Metrics, Today's Post

By Christopher Faille A new report on hedge fund inflows indicates that the rate at which money is coming into the hedge fund industry reflects that industry’s improved performance, but that if these figures are segmented by strategy or geography, the different rates at which they are attracting money do not very accurately reflect their […]


New Survey Concludes Finding Alpha Is Difficult

Oct 5th, 2011 | Filed under: Alpha Strategies, Institutional Investing, Performance, Analytics & Metrics, Private Equity, Timely Research, Today's Post

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


Passivity, Activity, and Alpha in Currency Management

Oct 2nd, 2011 | Filed under: Alpha Strategies, Currencies, Hedge Fund Operations and Risk Management, Hedge Fund Strategies, Performance, Analytics & Metrics, Today's Post

By Christopher Faille Passive and active investments are often contrasted as if the distinction is self-evident. It isn’t. Even for an unambitious long-only equity indexed fund, trades have to be executed in order to maintain the desired balance, and these trades can be executed either well or poorly, in ways that help or hurt the […]


Sibling Rivals: CAPM versus The Risk Parity Portfolio

Aug 16th, 2011 | Filed under: CAPM / Alpha Theory, Hedge Fund Industry Trends, Hedge Fund Operations and Risk Management, Institutional Investing, Performance, Analytics & Metrics, Today's Post

By Christopher Faille A presentation by Samuel Kunz, chief investment officer of the Policeman’s Annuity and Benefit Fund, Chicago, to the CFA Institute 2011 Asset and Risk Allocation conference addressed the pros and cons of “risk parity.”  His presentation makes it seem that risk-parity portfolios (RPP) and the Capital Asset Pricing Model (CAPM) are sibling […]