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