RESEARCH

Research Posts

Wrestling with the Hedge Fund paradox20210611155650

Wrestling with the Hedge Fund paradox

June 11, 2021
Absolut Alternative, a German periodical focused on institutional investors, asked DBi to write a comprehensive history of the liquid alternative space. This is the English version of an article titled, Herausforderung Hedgefunds-Paradoxon, that was published in May 2021....
With Inflation on the Horizon, How Can Retail Investors Protect Themselves?20210223092038

With Inflation on the Horizon, How Can Retail Investors Protect Themselves?

February 23, 2021
Managed Futures Strategies Might Hold the Key Legendary macro investor Stan Druckenmiller recently laid out a scenario where 4-5% inflation in the near term is possible or maybe even probable.[1]  Fiscal stimulus, the “biggest increase in pent up demand globally since the 1920s” and monetary st...
Dusting Off Graham and Dodd? Hedge Funds Say the Value Rotation is Real20210112155847

Dusting Off Graham and Dodd? Hedge Funds Say the Value Rotation is Real

January 12, 2021
Have hedge funds bought into to the much-discussed value factor rotation that began in the Fall? The short answer is yes, in a big way. Strategies that replicate portfolios of hedge funds using factor models can determine how hedge funds are positioned today across major equity markets, and how thos...
Hedge Funds Are Back!20201130122213

Hedge Funds Are Back!

November 30, 2020
While pundits love to beat up on hedge funds these days, hedge funds may have a more compelling opportunity set today and the hurdle to demonstrate value will likely be low over the coming years...
The Case For Replication Of Equity Long/Short Hedge Funds20200106115405

The Case For Replication Of Equity Long/Short Hedge Funds

January 6, 2020
In the wealth management space, many allocators are confronted with a dilemma:      ...
The Case For Replication Of Managed Futures Hedge Funds20191205095358

The Case For Replication Of Managed Futures Hedge Funds

December 5, 2019
Factor-based replication of managed futures hedge funds may solve the two principal issues with investing in the space. First, replication of a portfolio of funds provides diversification of single manager risk, a serious issue when there is a 30% or more dispersion among top and bottom managers eac...
Trend-Following Index Managers Have So Far Failed to Replicate Managed Futures’ Performance20191121133911

Trend-Following Index Managers Have So Far Failed to Replicate Managed Futures’ Performance

November 21, 2019
The evidence that investors can reliably replicate managed futures' performance with low cost, trend-based indices is scant. To read more, click here ...
Understanding The Key Landmines In Liquid Alternatives20191004143610

Understanding The Key Landmines In Liquid Alternatives

October 4, 2019
A version of this first appeared in Absolute Return here Investors are understandably frustrated with liquid alternatives. The average liquid alternative fund has underperformed its hedge fund brethren by around 200 bps per annum, which is meaningful when hedge funds themselves have been delivering ...
Should Fundamental Investors Own Managed Futures Today?20190909174403

Should Fundamental Investors Own Managed Futures Today?

September 9, 2019
Like most of you, I am a fundamental investor at heart. I started my career in the hedge fund business working for famed value investor Seth Klarman (whose book, Margin of Safety, is treasured by those lucky enough to have a copy). The lessons of intrinsic value stuck. I am also a believer that mark...
Rethinking Managed Futures in a Low Fee World20190708012104

Rethinking Managed Futures in a Low Fee World

July 8, 2019
Managed futures as a strategy (before high hedge fund fees) has delivered strong performance since 2000 – higher returns than equities with far lower volatility. As a diversifier, managed futures offer more “bang for the buck” than bonds, commodities and REITS. These results are obscured by excessiv...
The practitioner’s guide to investing in managed futures20190619052608

The practitioner’s guide to investing in managed futures

June 19, 2019
Plenty of white papers extoll the diversification benefits of investing in managed futures strategies.  Those papers principally highlight long-term statistical benefits:  low correlation to traditional asset classes and strong historical performance during down equity markets.  Add managed futures ...
Generation two liquid alternatives20180912213647

Generation two liquid alternatives

September 12, 2018
Executive Summary Generation One liquid alternatives suffered from three issues: poor performance, high fees and/or unpredictable results. Dissatisfaction today reflects in part a disconnect between the asset allocation/diversification objective and how funds were added to retail investor portfoli...
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