Another comparison worth analyzing are the returns for hedge funds vs. a strong actively managed equity mutual fund. Here is a look at the Fidelity Contrafund. Absolute returns for the two are extremely close (see second chart). Hedge funds however clearly did better on a risk adjusted basis. Presumably with the hedge fund “asset class” one gives up liquidity for a reduction in volatility.
Warren Buffett’s 10-year bet on S&P500 (see story in Fortune) against Protégé’s fund index should probably include the ability to liquidate 100% of the funds at the end, as well as a comparison of risk adjusted returns (for example Sharpe ratios).
HFs vs S&P500 (below) and HFs vs. Fidelity Contrafund (lower chart)
![](https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEg4880kJJof7-HS6Yfh9nuCe7jDULsr8O8smhvWsqHROdOnEftvueGZnjHXJTWqhZGC9nDIY3YbYY7wtg5sOfc-tXqha5KTrPDKuAg5TkUXlt7Af7K1S2fAJyGnQiZkbu1BfsZ1T6lc1e1p/s400/HF+vs+S%26P.jpg)
![](https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhJiUBhRoUxTLTYCM0_SMVEm9iAMD7IXnBnZ1sXGtWplKEtnwgmPW0GIfrZAzE_PHP1ZYPKGK2ZOokiwennSuGCLAuxNo3nce7BNt_sHZa52TlXbM3t4h_AUGrxWOMQh-bO9DaYaBHXy5nq/s400/HF+vs+FCNTX.jpg)
No comments:
Post a Comment