Using data from 1996 to 2014, we investigate misconceptions regarding the performance of discretionary and systematic hedge funds.
Using data from 1996 to 2014, we investigate misconceptions regarding the performance of discretionary and systematic hedge funds.
December 2016
- 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
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