Multialternative Mutual Fund Performance
October 6, 2014 - Mutual/Hedge Funds
Do hedge fund-like mutual funds work like hedge funds? In his September 2014 paper entitled “Hedge Funds versus Mutual Funds (2): An Examination of Multialternative Mutual Funds”, David McCarthy evaluates mutual funds categorized by Morningstar as “multialternative” after further subcategorizing them as: Global Asset Allocation (active asset allocation across a broad set of global markets); Multistrategy (investing across distinct investment styles); and, Replication (quantitatively mimicking the returns of a hedge fund index). He profiles these groups, compares their asset class and factor exposures to those of hedge fund indexes, and compares their performances to those of hedge fund indexes. He considers three benchmarks: the Hedge Fund Research (HFR) Relative Value Multistrategy Index; the HFR Fund of Funds Diversified Index; and, the long-only Morningstar Global Allocation Index. Using monthly returns as available for 30 Global Asset Allocation, 33 Multistrategy and four Replication mutual funds established as of January 2013 along with contemporaneous returns for asset class proxies, factors and benchmarks during January 2008 through December 2013, he finds that: Keep Reading