http://allaboutalpha.com/blog/2007/03/06/magellan-a-frankenfund-professor/ A finance blog about hedge funds, portable alpha and alternative investing. Thu, 09 Feb 2012 19:03:08 +0000 http://wordpress.org/?v=abc hourly 1 http://allaboutalpha.com/blog/2007/03/06/magellan-a-frankenfund-professor/comment-page-1/#comment-6707 allaboutalpha.com: Welcome to AllAboutAlpha.com Wed, 23 May 2007 00:37:39 +0000 http://allaboutalpha.com/blog/2007/03/06/magellan-a-frankenfund-professor/#comment-6707 [...] This is clearly a “holding-based” approach to analyzing manager value-add that differs from the traditional returns-based approach which infers the make-up of a portfolio from the way it responds to exogenous variables.  The return-based approach was, of course, first popularized by William Sharpe late last century (for modern examples of such detective work, see this Amaranth case study or this Fidelity Magellan case study).   [...] [...] This is clearly a “holding-based” approach to analyzing manager value-add that differs from the traditional returns-based approach which infers the make-up of a portfolio from the way it responds to exogenous variables.  The return-based approach was, of course, first popularized by William Sharpe late last century (for modern examples of such detective work, see this Amaranth case study or this Fidelity Magellan case study).   [...]

]]> http://allaboutalpha.com/blog/2007/03/06/magellan-a-frankenfund-professor/comment-page-1/#comment-1634 All About Alpha » Blog Archives » Schneeweis: Monthly hedge fund data might be leading us astray Thu, 15 Mar 2007 01:46:46 +0000 http://allaboutalpha.com/blog/2007/03/06/magellan-a-frankenfund-professor/#comment-1634 [...] Thomas Schneeweis is an academic. So he views the primary benefits of managed accounts not as operational, but as analytical. He argues that daily and weekly return data (usually only available via a managed account) is superior to the more common monthly data used in the hedge fund industry. Schneeweis tells All About Alpha that monthly data hides all sorts of things from, for example, volatility during the last week of every month, to a high correlation to intra-month shocks.  (Ross Miller of SUNY Albany shows the power of daily data in his recent paper on Fidelity Magellan’s uncomfortably high market correlation.) Â Ã‚ Ã‚ Ã‚  [...] [...] Thomas Schneeweis is an academic. So he views the primary benefits of managed accounts not as operational, but as analytical. He argues that daily and weekly return data (usually only available via a managed account) is superior to the more common monthly data used in the hedge fund industry. Schneeweis tells All About Alpha that monthly data hides all sorts of things from, for example, volatility during the last week of every month, to a high correlation to intra-month shocks.  (Ross Miller of SUNY Albany shows the power of daily data in his recent paper on Fidelity Magellan’s uncomfortably high market correlation.) Â Ã‚ Ã‚ Ã‚  [...]

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