Do Hedge Fund Managers have Stock-Picking Skills?
Transcript of Do Hedge Fund Managers have Stock-Picking Skills?
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mjh}}lalmhplek4 Pbc rcmeiick`hplek} hrc wclgbpc` pewhr`} ihksahmpsrlkg alri}* rcvrc}ckplkg
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Lk pbl} }cmplek L chilkc pbc vcraerihkmc ea pbc rcmeiick`hplek} ih`c o| QLM
iciocr}+ QLM rcmeiick`hplek} p|vlmhjj| }phpc pbhp pbclr l`ch} }besj` oc mek}l`crc` jekg)
pcri lkqc}pickp} hk` kep }berp pcri prh`c}+ Pe mhvpsrc pbl} keplek ea jekg)pcri vcraerihkmc* L
vcraeri i| mhjmsjhplek} eqcr berltek} ea ekc)* pwe)* hk` pbrcc)|chr}+ L mhjmsjhpc hokerihj
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hoesp pbc vrcacrhojc pcmbklxsc aer `cpcrilklkg jekg)rsk hokerihj vcraerihkmc+ H} Ohrocr hk`
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iekpbj| `hph rhpbcr pbhk `hlj| `hph+ Pbc cqckp vcrle` rcpsrk `hph ocglk ek pbc alr}p ea pbc iekpb
aejjewlkg pbc `hpc pbc rcmeiick`hplek wh} ve}pc` pe pbc meiisklp|+ Aer chivjc* la hk l`ch l}
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ocglk} hp pbc alr}p ea pbc iekpb aejjewlkg pbc `hpc ea pbc rcmeiick`hplek* wblmb jchqc} sv pe
pblrp| `h|} aer QLM iciocr} pe phnc ve}lplek}* lp l} ve}}lojc pbhp pbc hokerihj rcpsrk} vrc}ckpc`
sk`crc}plihpc pbc prsc rcpsrk} chrkc` o| QLM iciocr}* hk` ih| olh} i| pc}p} lk ahqer ea pbc
ksjj b|vepbc}l} pbhp ask` ihkhgcr} bhqc ke }pemn vlmnlkg }nljj}+
Aejjewlkg pbc icpbe`ejeg| ea ]vcl}} hk` Haajcmn)Grhqc} "8
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O+ Mbhrhmpcrl}plm)oh}c` Ockmbihrn)verpaejle OBH_
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8/14/2019 Do Hedge Fund Managers have Stock-Picking Skills?
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verpaejle} hiekg h gresv ea hrolprhgc prh`c}+ Pbl} lk psrk* jewcr} pbc vreoholjlp| pbc| wljj
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Orewk* ]pcvbck hk` Dcrej` Whrkcr* 8
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Cmekeilm _cqlcw 76* =
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Phojc 84 _cmeiick`hplek ]siihr| @hphPbl} phojc rcverp} }siihr| }phpl}plm} aer pbc }hivjc ea lkqc}pickp rcmeiick`hplek} }soilppc` peQhjsclkqc}per}mjso+mei+ Pbc }hivjc lkmjs`c} hjj rcmeiick`hplek} }bhrc` wlpb pbc Qhjsclkqc}per}mjso+mei
meiisklp| arei pbc plic ea pbc meiisklp|} jhskmb ek Dhkshr| 8* ?666 pbresgb Dskc =6* ?662+ Vhkcj H rcverp}wbcrc h}}cp} hrc prh`c hk` pbc h}}cp p|vc rcmeiick`c`+ Vhkcj O rcverp} pbc ksiocr ea chmb jekg* }berp hk`jekg%}berp rcmeiick`hplek o| pbc p|vc ea h}}cp+ Vhkcj M rcverp} pbc ksiocr ea chmb jekg* }berp* hk` jekg%}berprcmeiick`hplek o| prh`lkg jemhplek+
Vhkcj H4 H}}cp p|vc hk` prh`lkg jemhplek "k9?
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Phojc ?4 Arcxsckm| ea Mrlpcrlh Mlpc` h} Oh}l} aer _cmeiick`hplek}
Pbl} phojc }siihrltc} bew arcxsckpj| Qhjsclkqc}per}mjso+mei iciocr} mlpc` qhrles} mrlpcrlh h} pbc oh}l} aer pbclrrcmeiick`hplek}+ Chmb rcmeiick`hplek l} h}}lgkc` hp jch}p ekc rch}ek* hk` ihk| l`ch} rcmclqc isjplvjc mrlpcrlh+Mrlpcrlh wcrc lkmjs`c` la pbcrc wcrc hp jch}p 86 rcmeiick`hplek} pbhp mlpc` lp h} h sklxsc mrlpcrlek aer lkqc}plkg lk hvhrplmsjhr h}}cp+
K9?
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@e Bc`gc Ask` Ihkhgcr} Bhqc ]pemn Vlmnlkg ]nljj}5 Vhgc ?
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@e Bc`gc Ask` Ihkhgcr} Bhqc ]pemn Vlmnlkg ]nljj}5 Vhgc =6
Phojc 04 _cmeiick`hplek @c}mrlvplqc ]phpl}plm} aer Ihpmbc` ]hivjc
Pbl} phojc rcverp} }siihr| }phpl}plm} aer pbc ihpmbc` }hivjc ea Qhjsclkqc}per}mjso+mei rcmeiick`hplek}+ Pbc ihpmbc` }hivjc mek}l}p} ea hjj alri} pbhp bhqc pbc kcmc}}hr| `hph
aer pbc mekprej)alri OBH_ hk` ockmbihrn OBH_ hvvrehmbc}+ Vhkcj H hk` O chilkc pbc `l}prlosplek ea lkqc}pickp rcmeiick`hplek} s}lkg aesr)`lglp ]phk`hr` Lk`s}pr|Mjh}}lalmhplek "]LM, lk`s}prlc}+ Vhkcj M hk` @ }bew pbc mbhrhmpcrl}plm} ea lkqc}pickp l`ch} "jekg rcmeiick`hplek C%I* _EH* hk` _EH algsrc} hrc oh}c` ek h }hivjc ea
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@e Bc`gc Ask` Ihkhgcr} Bhqc ]pemn Vlmnlkg ]nljj}5 Vhgc =8
Phojc 04 _cmeiick`hplek @c}mrlvplqc ]phpl}plm} "mekplksc`,
Vhkcj M4 Jekg rcmeiick`hplek ask`hickphj mbhrhmpcrl}plm} "k98672,
IC "iljjlek}, O%I C%I _EH _EC
Ichk =2?= +7
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@e Bc`gc Ask` Ihkhgcr} Bhqc ]pemn Vlmnlkg ]nljj}5 Vhgc =?
Phojc 34 Ihpmbc`)]hivjc Os|)hk`)Bej` Hokerihj _cpsrk} S}lkg pbc Mekprej)alri Pcmbklxsc
_cpsrk} pe }hivjc alri} hk` mekprej)alri} arei Dhkshr| 8* ?666 pe @cmciocr =8* ?662+ Mekprej)alri} hrc mbe}ck o| mbee}lkg pbc alri aer wblmb pbc }si ea pbcho}ejspc qhjsc ea pbc vcrmckphgc `laacrckmc lk }ltc hk` pbc ho}ejspc qhjsc ea pbc vcrmckphgc `laacrckmc lk oeen)pe)ihrncp rhple l} ilkliltc`+ Pbc ichk }hivjcalri rcpsrk} hk` ichk mekprej)alri rcpsrk} lk Vhkcj O hrc rcpsrk} pe h }berp ve}lplek lk pbc }cmsrlp|+ V)qhjsc} h}}emlhpc` wlpb h pwe)phljc` vhlrc` p)pc}p hrcvrc}ckpc`+ Pbc ihpmbc` }hivjc mek}l}p} ea hjj alri} pbhp bhqc pbc kcmc}}hr| `hph aer pbc mekprej)alri OBH_ hk` ockmbihrn OBH_ hvvrehmbc}+
Vhkcj H4 Jekg _cmeiick`hplek}
k Ichk }hivjcalri rcpsrk
Ichk mekprejalri rcpsrk
@laacrckmc"hokerihj rcpsrk,
V)qhjsc eavhlrc` p)pc}p
aer laacrckmcEkc)|chr 8672 87+
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@e Bc`gc Ask` Ihkhgcr} Bhqc ]pemn Vlmnlkg ]nljj}5 Vhgc ==
Phojc 14 Asjj)]hivjc Os|)hk`)Bej` Hokerihj _cpsrk} S}lkg pbc Mekprej)alri Pcmbklxsc
_cpsrk} pe }hivjc alri} hk` mekprej)alri} arei Dhkshr| 8* ?666 pe @cmciocr =8* ?662+ Mekprej)alri} hrc mbe}ck o| mbee}lkg pbc alri aer wblmb pbc }si ea pbcho}ejspc qhjsc ea pbc vcrmckphgc `laacrckmc lk }ltc hk` pbc ho}ejspc qhjsc ea pbc vcrmckphgc `laacrckmc lk oeen)pe)ihrncp rhple l} ilkliltc`+ Pbc ichk }hivjcalri rcpsrk} hk` ichk mekprej)alri rcpsrk} lk Vhkcj O hrc rcpsrk} pe h }berp ve}lplek lk pbc }cmsrlp|+ V)qhjsc} h}}emlhpc` wlpb h pwe)phljc` vhlrc` p)pc}p hrcvrc}ckpc`+ Pbc asjj }hivjc mek}l}p} ea hjj alri} pbhp bhqc pbc kcmc}}hr| `hph aer pbc mekprej)alri OBH_ hvvrehmb+
Vhkcj H4 Jekg _cmeiick`hplek}
k Ichk }hivjcalri rcpsrk
Ichk mekprejalri rcpsrk
@laacrckmc"hokerihj rcpsrk,
V)qhjsc eavhlrc` p)pc}p
aer laacrckmc
Ekc)|chr 8?2< 82+0
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@e Bc`gc Ask` Ihkhgcr} Bhqc ]pemn Vlmnlkg ]nljj}5 Vhgc =0
Phojc 74 Ihpmbc`)]hivjc Os|)hk`)Bej` Hokerihj _cpsrk} S}lkg Ockmbihrn)verpaejle}
_cpsrk} pe }hivjc alri} hk` ockmbihrn)verpaejle} arei Dhkshr| 8* ?666 pe @cmciocr =8* ?662+ Ockmbihrn)verpaejle hokerihj rcpsrk} hrc mhjmsjhpc` o|h}}lgklkg chmb }pemn pe ekc ea 8?3 ockmbihrn)verpaejle} oh}c` ek }ltc* oeen)pe)ihrncp rhple hk` ieickpsi mbhrhmpcrl}plm}* pbck }soprhmplkg pbc ockmbihrn)verpaejle rcpsrk arei pbc }hivjc alri rcpsrk+ Ichk }hivjc rcpsrk} hk` ichk ockmbihrn)verpaejle rcpsrk} lk vhkcj O rcvrc}ckp pbc rcpsrk pe h }berp ve}lplek lk pbc}cmsrlp| er verpaejle+ V)qhjsc} h}}emlhpc` wlpb h Vhlrc` p)pc}p hk` pbc J|ek* Ohrocr hk` P}hl "8
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@e Bc`gc Ask` Ihkhgcr} bhqc ]pemn Vlmnlkg ]nljj}5 Vhgc =3
Phojc 24 Asjj)]hivjc Os|)hk`)Bej` Hokerihj _cpsrk} S}lkg Ockmbihrn)verpaejle}
_cpsrk} pe }hivjc alri} hk` ockmbihrn)verpaejle} arei Dhkshr| 8* ?666 pe @cmciocr =8* ?662+ Ockmbihrn)verpaejle hokerihj rcpsrk} hrc mhjmsjhpc` o|h}}lgklkg chmb }pemn pe ekc ea 8?3 ockmbihrn)verpaejle} oh}c` ek }ltc* oeen)pe)ihrncp rhple hk` ieickpsi mbhrhmpcrl}plm}* pbck }soprhmplkg pbc ockmbihrn)verpaejle rcpsrk arei pbc }hivjc alri rcpsrk+ Ichk }hivjc rcpsrk} hk` ichk ockmbihrn)verpaejle rcpsrk} lk vhkcj O rcvrc}ckp pbc rcpsrk pe h }berp ve}lplek lk pbc}cmsrlp| er verpaejle+ V)qhjsc} h}}emlhpc` wlpb h Vhlrc` p)pc}p hk` pbc J|ek* Ohrocr hk` P}hl "8
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@e Bc`gc Ask` Ihkhgcr} bhqc ]pemn Vlmnlkg ]nljj}5 Vhgc =1
Phojc
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@e Bc`gc Ask` Ihkhgcr} bhqc ]pemn Vlmnlkg ]nljj}5 Vhgc =7
Phojc 864 Asjj)]hivjc Mhjck`hr)Plic Verpaejle _cgrc}}lek}
Ekc)* pwe) hk` pbrcc)|chr mhjck`hr)plic rcgrc}}lek} s}lkg pbc ie`cj glqck o| * * * * ** hk` * * * * ** wbcrc * l} pbc rcpsrk lk iekpb p pe h mhjck`hr)plic verpaejle ea alri} mek}prsmpc`arei Qhjsclkqc}permjso+mei rcmeiick`hplek}+ Pbc plic vcrle` hkhj|tc` rsk} arei Dhkshr| 8* ?666 pe @cmciocr =8* ?662+ *l} pbc rcpsrk ek pbc qhjsc)wclgbpc` ihrncp verpaejle+ * l} pbc ekc)iekpb P)oljj rhpc+ l} pbc `laacrckmc lk pbc rcpsrk} ea pbc verpaejle} ea }ihjj }pemn} hk` olg }pemn}+ l} pbc`laacrckmc lk pbc rcpsrk} ea pbc verpaejle} ea blgb oeen)pe)ihrncp }pemn} hk` jew oeen)pe)ihrncp }pemn}+ l} pbc `laacrckmc lk pbc rcpsrk ea pbc hqcrhgc eaverpaejle} ea }ihjj hk` olg vh}p wlkkcr} hk` pbc hqcrhgc ea verpaejle} ea }ihjj hk` olg vh}p je}cr}+ Pbc ahmper} s}c` lk pbc rcgrc}}lek} hrc eophlkc` arei NckArckmb} wco}lpc+ Pbc }hivjc s}c` lk pbc}c rcgrc}}lek} mek}l}p} ea 8206 jekg rcmeiick`hplek} er ?60 }berp rcmeiick`hplek}+ P)}phpl}plm} hrc lk vhrckpbc}c}+Pbc asjj }hivjc mek}l}p} ea hjj alri} pbhp bhqc pbc kcmc}}hr| `hph aer pbc mhjck`hr)plic verpaejle rcgrc}}lek}+
Cxshj)Wclgbpc` Verpaejle} Qhjsc)Wclgbpc` Verpaejle}
Ekc)|chr Pwe)|chr Pbrcc)|chr Ekc)|chr Pwe)|chr Pbrcc)|chr
Vhkcj H4 Jekg _cmeiick`hplek}
Meivesk`c` Pbrcc)Ahmper ie`cj hjvbh 6+2=# 6+78# 6+18# 6+38# 6+32# 6+1?#"?+
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@e Bc`gc Ask` Ihkhgcr} bhqc ]pemn Vlmnlkg ]nljj}5 Vhgc =2
Phojc 884 Vrc`lmplkg Ihpmbc`)]hivjc Hokerihj _cpsrk} wlpb QLM _hplkg}
Pbc rcgrc}}lek ie`cj l} glqck o| * wbcrc l} pbc hokerihj rcpsrk pe }pemn l hk` l} pbcQhjsclkqc}per}mjso+mei iciocr} rhplkg ea h vhrplmsjhr }pemn l+ * * hk` hrc }hivjc c}plihpc} aer pbc prsc vhrhicpcr}+ Qhjsclkqc}permjso+mei ekj|rcverp} h rhplkg la alqc er ierc iciocr} rhpc pbc vhrplmsjhr rcmeiick`hplek+ Pbc }hivjc} s}c` lk pbc}c rcgrc}}lek} hrc pbc }hic ekc)* pwe)* hk` pbrcc)|chr}hivjc} s}c` lk pbc mekprej)alri hk` ockmbihrn)verpaejle OBH_ hvvrehmbc}* wblmb hj}e bhqc h rhplkg+ P)}phpl}plm} hrc lk vhrckpbc}c}+
Mekprej Alri OBH_ Ockmbihrn Verpaejle OBH_
Ekc)|chr Pwe)|chr Pbrcc)|chr Ekc)|chr Pwe)|chr Pbrcc)|chr
Vhkcj H4 Jekg rcmeiick`hplek}
+6103 +882= +86?6 6+6236 +8173 +8362"?+=1, "?+??, "8+=1, "0+67, "=+22, "?+1
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@e Bc`gc Ask` Ihkhgcr} bhqc ]pemn Vlmnlkg ]nljj}5 Vhgc =