- Advertisement -
- Advertisement -

Related

CTA-space oddities

Report: Alternative Fixed Income

- Advertisement -

Stockholm (HedgeNordic – Teaser) – Generally speaking, there are two oddities in investor behavior with regards to CTAs and hedge funds, especially among larger investors. The first oddity has to do with size, expressed as Assets under Management (AuM). In general, large AuM is perceived as good, while small AuM is perceived as bad. The consequence of this perception is that managers with large AuM become larger. Managers with small AuM do not. Other qualities, like expected performance, play a secondary role.

Is this rational? From a strict risk/return perspective, it is not. A growing number of academic studies, as well as research from various providers within the alternative investment management industry, arrive at the same conclusion: large AuM is positively correlated with past performance (relative to peer groups), and negatively correlated to future performance. Simply put, , their best days are behind them. Are there exceptions to this? Of course! But the focus on a few very large managers that have recently performed well obscures the fact that smaller and younger managers have – on average – a better risk-adjusted performance than their larger peers. So why do some investors continue to favor already very large managers? The arguments put forth are not convincing, and can be summarized as follows:

You can read the full article on pages 37-39 in the Special Report on CTA & Macro Strategies 2016.

 

Picture: (c) iurii—shutterstock.com

Subscribe to HedgeBrev, HedgeNordic’s weekly newsletter, and never miss the latest news!

Our newsletter is sent once a week, every Friday.

Latest Articles

Nordic Fund Boutiques Building Strength Through Consolidation

The Nordic asset management industry is experiencing an accelerating wave of consolidation, particularly among boutique firms, including those with roots in the hedge fund...

Hafnium Navigates Early Stress Test Following March Launch

Timing a hedge fund launch is never easy and getting it right can be make-or-break for long-term success. French-Danish duo Alexis Dubois and Victor...

Ex-Velliv PM Joins Lærernes Pension

After Danish pension provider Velliv dismissed its entire alternatives team earlier this year as part of a broader strategic shift towards passive strategies, its...

Bitcoin-Focused Anna Secures Full AIFM License

Anna Asset Management, which runs a momentum-driven strategy focused on Bitcoin futures, has been granted a full license as an alternative investment fund manager...

Bright Spots Emerge Amid Difficult March for Nordic Hedge Funds

Although March already feels like a distant memory amid the turbulence of April, Nordic hedge funds also faced a challenging month back then. All...

Mandatum Managed Futures Maintains Momentum

Mandatum Managed Futures Fund was named the “Best Nordic Managed Futures Fund” at the Nordic Hedge Award for the second year in a row,...

Allocator Interviews

In-Depth: Megatrends

Voices

Request for Proposal

- Advertisement -