Emerging Hedge Funds Generate More Statistically Significant Alpha and Less Significant Beta Than Traditional Assets
New quant study says Emerging Hedge Funds generate more statistically Significant Alpha and less Significant Beta than Traditional Assets, but Cornish Fisher modification to Value at Risk potentially wrong almost half the time.
New York, NY, January 29, 2012 --(PR.com)-- Opalesque, the world's largest subscription-based publisher in the alternative investments area, has launched "New Managers", a monthly research publication on emerging hedge fund managers.
The Launch Issue of New Managers features a cutting-edge quantitative study by Peter Urbani on Emerging Managers. Issue 1 (36 pages) of New Managers can be downloaded here: http://www.opalesque.com/index.php?act=archiveNM&and=download_NM&iID=2
Important findings of the Study include:
• Hedge funds' return distributions are not normal twice as often as those of traditional long-only funds.
• Cornish Fisher modification to Value at Risk potentially wrong almost half the time
• Hedge funds display slightly more than half of the time statistically significant alpha when measured with non-linear copula methods
An initial screening of the Opalesque Emerging Managers Database (http://www.opalesquesolutions.com/emanagers) revealed that compared to traditional long-only investments, hedge funds have return distributions that are not normal twice as often as those of traditional long-only funds.
Urbani also found that the Cornish Fisher modification to Value at Risk, which a lot of funds now use, is potentially wrong almost half the time. Urbani found that emerging hedge funds generate more statistically significant Alpha and less significant Beta than traditional assets - but more Beta than indicated by linear methods.
When using non-linear copula methods to measure it, both traditional - and hedge-funds have statistically significant alpha almost half of the time when measured relative to their means - and hedge funds slightly more than half of the time.
This is not being picked up in most academic studies because of their prevalent use of linear regression, whereas the sampled emerging manager hedge fund universe is highly non-linear.
Issue 1 of New Managers also features:
• December results for Opalesque's Emerging Managers (EManagers) indices.
• An analysis how emerging managers are dealing with current high levels of scrutiny from regulators and investors (especially in the U.S.)
• Maiden fund launches and analysts' findings on emerging managers
Download Issue 1 (36 pages) of New Managers here: http://www.opalesque.com/index.php?act=archiveNM&and=download_NM&iID=2
A subscription to New Managers is included for Gold subscribers of Opalesque's Alternative Market Briefing publication. In addition, Gold subscribers have full access to the Emerging Manager Database (http://www.opalesquesolutions.com/emanagers).
Set up Alternative Market Briefing Gold and get permanent access to those resources:
http://www.opalesque.com/Registration-Subscription-Alternative-Market-Briefing.html
About Opalesque:
In 2003, with the publication of its daily Alternative Market Briefing, Opalesque successfully launched an information revolution in the hedge fund media space: "Opalesque changed the world by bringing transparency where there was opacity and by delivering an accurate professional reporting service." - Nigel Blanchard, Culross. This hybrid financial news service, which combines proprietary industry news stories and filtered third party reports, has been credited by many industry insiders with delivering precise, accurate, and vital information to a notoriously guarded audience.
Each week, Opalesque publications are read by more than 700,000 industry professionals in over 150 countries. Opalesque is the only daily hedge fund publisher which is actually read by the elite managers themselves (http://www.opalesque.com/op_testimonials.html).
For more information, please go to http://www.opalesque.com
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The Launch Issue of New Managers features a cutting-edge quantitative study by Peter Urbani on Emerging Managers. Issue 1 (36 pages) of New Managers can be downloaded here: http://www.opalesque.com/index.php?act=archiveNM&and=download_NM&iID=2
Important findings of the Study include:
• Hedge funds' return distributions are not normal twice as often as those of traditional long-only funds.
• Cornish Fisher modification to Value at Risk potentially wrong almost half the time
• Hedge funds display slightly more than half of the time statistically significant alpha when measured with non-linear copula methods
An initial screening of the Opalesque Emerging Managers Database (http://www.opalesquesolutions.com/emanagers) revealed that compared to traditional long-only investments, hedge funds have return distributions that are not normal twice as often as those of traditional long-only funds.
Urbani also found that the Cornish Fisher modification to Value at Risk, which a lot of funds now use, is potentially wrong almost half the time. Urbani found that emerging hedge funds generate more statistically significant Alpha and less significant Beta than traditional assets - but more Beta than indicated by linear methods.
When using non-linear copula methods to measure it, both traditional - and hedge-funds have statistically significant alpha almost half of the time when measured relative to their means - and hedge funds slightly more than half of the time.
This is not being picked up in most academic studies because of their prevalent use of linear regression, whereas the sampled emerging manager hedge fund universe is highly non-linear.
Issue 1 of New Managers also features:
• December results for Opalesque's Emerging Managers (EManagers) indices.
• An analysis how emerging managers are dealing with current high levels of scrutiny from regulators and investors (especially in the U.S.)
• Maiden fund launches and analysts' findings on emerging managers
Download Issue 1 (36 pages) of New Managers here: http://www.opalesque.com/index.php?act=archiveNM&and=download_NM&iID=2
A subscription to New Managers is included for Gold subscribers of Opalesque's Alternative Market Briefing publication. In addition, Gold subscribers have full access to the Emerging Manager Database (http://www.opalesquesolutions.com/emanagers).
Set up Alternative Market Briefing Gold and get permanent access to those resources:
http://www.opalesque.com/Registration-Subscription-Alternative-Market-Briefing.html
About Opalesque:
In 2003, with the publication of its daily Alternative Market Briefing, Opalesque successfully launched an information revolution in the hedge fund media space: "Opalesque changed the world by bringing transparency where there was opacity and by delivering an accurate professional reporting service." - Nigel Blanchard, Culross. This hybrid financial news service, which combines proprietary industry news stories and filtered third party reports, has been credited by many industry insiders with delivering precise, accurate, and vital information to a notoriously guarded audience.
Each week, Opalesque publications are read by more than 700,000 industry professionals in over 150 countries. Opalesque is the only daily hedge fund publisher which is actually read by the elite managers themselves (http://www.opalesque.com/op_testimonials.html).
For more information, please go to http://www.opalesque.com
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Matthias Knab
+91-80-41275853
http://www.opalesque.com/
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