Man vs. Machine: Comparing Discretionary and Systematic Hedge Fund Performance

Campbell R. Harvey, Professor

Investment Strategy Advisor, Man Group

Sandy Rattray

CIO, Man Group

Otto van Hemert, PhD

Director of Core Strategies, Man AHL

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

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

Important information
Topics: Quantamental Multi-asset

Similar

Strategic Rebalancing

Academic Research read 1 MIN
June 2020

Strategic Rebalancing

New research introduces a strategic rebalancing technique that could mitigate portfolio drawdowns.

The Best of Strategies for the Worst of Times

Academic Research read 4 min
July 2019

The Best of Strategies for the Worst of Times

What steps can an investor take to mitigate the impact of a large equity correction?

Volatility Scaling's Impact on the Sharpe Ratio

Academic Research read 2 min
April 2019

Volatility Scaling's Impact on the Sharpe Ratio

When does volatility scaling improve the unconditional Sharpe ratio compared to a buy-and-hold position?

View all