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

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

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:​

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