Alpha Mail - A monthly email update from AllAboutAlpha.com
Dear Alpha Mail Subscriber:
 
No matter how hard the hedge fund industry tries to emphasize its aim of generating uncorrelated "absolute" returns, the media seems intent in comparing it to equity indices (despite the fact that many hedge funds ply their trade in markets other than equities anyway).
This week is no different with several media outlets reporting that hedge funds have beaten the S&P year to date.  The resulting optimism seems to have unearthed rebuttals to several common (negative) assumptions about hedge funds.  July's most popular AllAboutAlpha.com posts read like a list of retorts to accusations of hedge funds being overleveraged ("More evidence that the amount of leverage used by hedge funds was never as great as many assumed"), expensive ("HF fee squeeze - Not such a new thing"), and lacking in integrity ("Closer look at the CFA Institute's survey of integrity shows HFs not as bad as reported.")
Assumptions about the Sharpe Ratio ("Debate over value of Sharpe Ratio in HF analysis continues in new academic study") and the CAPM itself ("How Hollywood, lotteries and mutual funds show that all risk is relative") have also recently been challenged.
Summer is often a time of reflection and renewal.  If last month's most popular posts are any indication, we may see a very different hedge fund community emerge in September than went in last June.
Then again, summer is only half over...

Last Month's Most Popular Posts 
  1. A closer look at the CFA Institute's survey of "Integrity" shows HFs not as bad as reported: Under constant suspicion, particularly by members of their own industry, the reputation of hedge fund managers may not actually be suffering any more now than in previous years.
  2. More evidence that the amount of leverage used by hedge funds was never as great as many assumed: Despite evidence such as used syringes and bottles of unmarked pills, the typical hedge fund may not have juiced up on Vitamin "L" as much as commonly believed.
  3. AAA Exclusive - 7 questions for Roger Ibbotson: Yale professor and erstwhile entrepreneur Roger Ibbotson is back at it again, this time as a hedge fund manager who dishes out his thoughts on regulation, fees and liquidity to AllAboutAlpha's Andrew Saunders.
  4. Debate over value of Sharpe Ratio in HF analysis continues in new academic study:  Love it or hate it, the Sharpe Ratio engenders strong emotions.  Last year, an academic paper said it was just as good as more "exotic" measures.  Now a new paper says that's not so.
  5. HF fee squeeze - Not such a new thing: The AllAboutAlpha.com myth-debunking unit was also at work on the perennial question of fees.  While new evidence suggests start-ups may have adjusted their fees recently, industry-wide management fees haven't really fallen off a cliff or anything.
  6. Age-old private equity valuation debate re-ignited by new accounting rules: AllAboutAlpha's Konstantin Danilov funds that perhaps nowhere is the debate over mark-to-market more fundamental than in private equity.
  7. How Hollywood, lotteries and mutual funds show that all risk is relative: A fascinating new study confirms what we all suspected: Keeping up with the Joneses is more important than absolute wealth.
  8. Alpha/Beta "Separation" doesn't actually require "separating" anything:  If you think there is a time and a place for active management and for passive management, then why buy them together in a fixed and rigid proportion in the form of an active long-only fund?
  9. With hedge funds back in the black, how are the hedge fund "clones" doing?: Here's one instance where the sequel may be better than the original - at least for now.
  10. Can HF return autocorrelation actually predict how easy it will be to eventually redeem? :  Researchers have found that funds with similar characteristics - say long redemption terms - also have similar serial autocorrelation.  Coincidence?

Enjoy the beach, the patio, the cottage or whatever locale helps you renew.  You'll need the energy this fall for what looks to be a historic time for alternative investments.
 
Happy Alpha Hunting,
 
Christopher Holt, Managing Editor
AllAboutAlpha.com
[email protected]
 


Wednesday, August 12, 2009

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