- This study compares the performance of discretionary versus systematic hedge funds, split into macro and equity strategies, using data from 1996-2014
- Some investors suggest that systematic strategies perform worse, have returns more easily explained by risk factors and are more homogeneous than their discretionary counterparts
- We note 74% of assets are discretionary, perhaps reflecting these views
- Our data suggest that these beliefs are incorrect
A version of this paper has been published in The Journal of Portfolio Management and in 2017 was recognised as an ‘Outstanding Article’ in the 19th Annual Bernstein Fabozzi / Jacobs Levy Awards.
The link to the full paper can be found here:
https://www.iijournalseprint.com/JPM/Man/Sum17ManvsMachine33r/index.html
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