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a comparison of quantitative and qualitative hedge strongfundsstrong
A Comparison of Quantitative and
Qualitative Hedge Funds
April 4, 2011
Ludwig Chincarini, Ph.D., CFA
ISCTE Business School
Lisbon, Portugal
i. Outline
I. Summary
II. Background
III. Classification of Quant vs. Qual
IV. Management Differences
V. Performance Differences
VI. Persistence
VII. Conclusion Discussion
I. Summary
I. Summary
(1) The number of hedge funds with quantitative strategies
have increased significantly.
(2) Do quantitative funds have significant management
differences compared to qualitative funds?
(3) Do quantitative funds outperform qualitative funds?
II. Background
• Growth of quantitative portfolio management
– Advancement in education and tools for
assessing financial markets quantitatively
– Improvement in technology to examine the
markets quantitatively
– Increasing demand for an investment process
– Quantitative investment superior to qualitative
investment?
• Focus on performance differences
III. Data
• Data from Hedge Fund Research (HFR) – Jan 1970
to March 2009
• Survivorship Issues
– Bias due to disappearing funds
– Liang measure to determine survivorship bias
– Symmetric bias in both quantitative and qualitative
III. Data
• Initial Hedge Fund Database
• 10,007 funds (excluding fund-of-funds)
– 5,501 Dead Funds (2,766 liquidated and 2,735 non reporting)
– 4,506 Live Funds (AUM as of June 2009 ~ $913.54B
• Reduce number of funds for estimation purposes
– Eliminate quarterly reporting (97 funds lost)
– Eliminate funds with less than 36 months of data for Newey-West
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