By continuing on this site you have agreed to cookies being placed and accessed by this website. More information and adjusting cookie settings.
‘In general, historical hedge fund performance is overstated’There is also the ‘backfill bias’, says Molenaar. “Funds build up a track record, but do not necessarily report it. But once they have a good track record to report, they do so and then also include the good years from the past too. This bias has an estimated positive effect of 2% on the results. There have been attempts in the last few years to improve data quality and it has recently become more reliable, but it is a slow process.“
‘Managed futures do well when equities perform poorly’The correlation of hedge funds with equities is not constant, it fluctuates, says Molenaar. “On average, the correlation of the overall hedge fund market is between 60 and 80%. In terms of diversification this is not very good. But for global macro and managed futures it is less than 40%, which is more suitable for diversification. After the fall of Lehman brothers in 2008, correlation of global macro and equity market neutral with equities rose, while correlation of managed futures fell. In other words, during this crisis managed futures offered better protection.”
Sign up for our email newsletter to receive updates and to stay informed about upcoming webinars.