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 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.
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.
To commemorate the publication of our academic report by the Journal of Portfolio Management, we updated the period of our origianl analysis, which ended in 2018. Download this complimentary addendum for analysis on hedge fund Best Ideas from 2019 to 2021, a challenging period for hedge fund stock selection.
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explore the actual regression analyses, and take a look at statistical output and time series charts for dozens of unpublished studies.View Our Repository
For those academically inclined, you can read the peer-reviewed academic research at the Journal of Portfolio Management.Academic Paper
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