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Hedge Fund Best Ideas

Epsilon Asset Management has published a research paper on the stockpicking of Hedge Fund managers. We do this through a thorough analysis of their regulatory mandated Form 13-F filings for over two decades. We present new evidence of true stock picking skill across hedge fund managers. Through our unique data capture, we are able to disaggregate hedge fund long-equity portfolios for the purpose of teasing out their Best Ideas. We hope you find this report insightful and informative.

An Examination of Stockpicking Ability

Countless industry conferences and dinners are devoted to “Hedge Fund Best Ideas,” while fund managers are popularly lionized as stock picking gurus. Epsilon Asset Management has partnered with Professor Andrew Papanicolaou (NYU) to produce a comprehensive quantitative study that examines the regulatory mandated portfolio positions of nearly 1,500 hedge funds from 1999 to 2018. We seek to quantify the stock picking skill of these vaunted managers and to see whether their Best Ideas truly outperform the market and deserve the attention they receive.

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Hedge Fund Best Ideas

We calculated nine different methods for eliciting a 'Best Idea' from a portfolio of positions. We tested to see if those Best Ideas outperform the other positions in a fund manager's portfolio. What we found was startling.

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Technical

For those technically inclined, we’ve posted portions of our research in code on our Github. Click through, explore the actual regression analyses, and take a look at statistical output and time series charts for dozens of unpublished studies.

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Academic

For those academically inclined, you can read the actual academic research on SSRN.

Academic Paper

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Disclaimer

The information contained in this research piece was obtained from various sources that Epsilon Asset Management, LLC (“Epsilon”) believes to be reliable, but Epsilon does not guarantee its accuracy or completeness. The information and opinions contained on this site are subject to change without notice.

Neither the information nor any opinion contained on this site constitutes an offer, or a solicitation of an offer, to buy or sell any securities or other financial instruments, including any securities mentioned in any report available on this site.

The information contained on this site has been prepared and circulated for general information only and is not intended to and does not provide a recommendation with respect to any security. The information on this site does not take into account the financial position or particular needs or investment objectives of any individual or entity. Investors must make their own determinations of the appropriateness of an investment strategy and an investment in any particular securities based upon the legal, tax and accounting considerations applicable to such investors and their own investment objectives. Investors are cautioned that statements regarding future prospects may not be realized and that past performance is not necessarily indicative of future performance.

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