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A Broader Look at Hedge Fund Returns Data

In a recent video blog, I examined the dubious nature of the reported performance analytics of three different hedge funds. As I noted, most hedge funds report risk-adjusted performance and correlation measures based off of monthly returns data. Because a significant number of hedge funds appear to calculate monthly returns using stale prices, these measures make hedge fund results look better than they actually are. Now, I’m going to illustrate how these same biases exist in....

Video Blog on Interpreting Hedge Fund Returns Data
In this video blog, I walk through an example of how I responded to a prospective client who was interested in investing in hedge funds that looked particularly enticing based on their marketing collateral.
 
 
 
Dissecting Hedge Fund Returns
Last week I posted a link to an article in The Economist noting the generally poor performance hedge funds have experienced in recent years. While I thought the article was generally well done, I wanted to dig a bit deeper into hedge fund performance using the HFRX Global Hedge Fund Index, in particular exploring the article’s decision to benchmark ....
Happy Holidays and New Year from MFW
Hope everyone is enjoying the holidays and looking forward to the new year. All I have to pass along this week are a couple of good articles I’ve read and a recent B.S. Report podcast.
 
 
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Reviewing the SPIVA Scorecard
I spent some time this weekend reading Standard & Poor's mid-year 2012 scorecard report, which is an absolute wealth of analytical information on how traditional active managers are doing relative to benchmark indexes. As prior academic work has generally noted, the results haven’t been great. The S&P study is interesting because it’s updated twice a year and covers U.S. stock funds, internatio....