was doing some research and reading and came across this. pretty interesting read.

I read this earlier today. Covers the factor model research

Next you guys are going to tell me the DDM doesn’t work.

PX90, on the other hand, is known to produce effective results.

its px90x

thanks for the link. anyone else look into low beta vs high beta reserach?

Prof from AQR in my hedge fund class talked about it…

all these models look cool and sleek but in the real world how accurate are they? funny how index funds outperform 85% of the hedge funds…hedge funds full of top school grads in dark suits, expensive watches, and “I own part of the world” attitude. yeah yeah we need active investors to have an efficient market, which in turn, makes index investing worthwhile. So, let the rich invest in hedge funds and people like me will stick to index funds…but of course this is AF and everyone here are PM and CIOs and big shots right?

That’s a misleading statement. First, what index are we talking about, the S&P 500? Okay, how many hedge funds are benchmarked to the S&P? Pretty much none of them. Fair to compare the S&P to an absolute return hedge fund? No.

Do many absolute return hedge funds deliver? No. That’s another issue though.

SP500 is almost never the benchmark for most HFs out there. We are equity and fixed income - both domestic. We divide our performance by asset class and size and few other categories…and use appropriate benchmarks for each “portfolio”. Most hedge funds do this for their internal performance tracking. quite tedious and lots of excel monketying around but it does give out fairly detailed performance reports. BO ftw hahaha

Before mgmt fees and incentive fees, yes, HFs do perform on par or even several bps above their respective benchmarks. But after the 2% mgmt fees and 17% (our fees) incentive fees…well we lag the benchmark. All performances are after fees because at the end of the day that is the money the investors take home…

I don’t know about you but for me, maybe bc i am no big shot with gold plated Paladium JPM Credit Card…I don’t care whether the hedge fund is macro fund, arb fund, high yield, event driven, equity, etc…I just care about how much I made net. After fees, it is tough to beat a portfolio of index funds or low cost etfs. Just my opinion from what i have seen from my employer and my fellow friends’ funds.

love it

^i know right. still looking for more readings on low vs high beta research

My man… next you’re gonna be telling me that warren buffet is just a predictable, but one off 10 sigma event…

Title could’ve included a trailing M.

CAPM is sure crap but I bet your forecast is crappier!! Leave it to CFA types and finance profs to obsess about the accuracy of a risk-adjusted discount rate to several decimal places, then slap a 5% growth rate cause you have five fingers on your hand and be done with it.

Can’t you hate on both?

Agree CAPM is CRAPM would have made my day

This has been quietly infuriating me ever time I see this thread pop up.


Candid :wink: