IAM/LSE Hedge Fund Conference

‘Research Frontiers in Hedge Fund Investment’

Conference Summary

iaminternational asset management

IAM PROGRAMME IN HEDGE FUND MANAGEMENTOctober 11, 2002

Research Frontiers in Hedge Fund Investment

This is the inaugural conference for the Financial Markets Group’s new research programme in hedge

fund management. We are grateful to International Asset Management Ltd. for their generous support in

establishing this new research programme. The new programme’s objective is to support very high-calibre,

non-profit research on topics of interest to the hedge fund research community. Our inaugural conference

reflects this objective.

09:00 – 09:15 Conference Registration

09:15 – 09:20 Albert Fuss (International Asset Management) Welcome

09:20 – 09:30 Sushil Wadhwani, Conference Overview

09:30 – 10:30 Peter Cripwell (Pioneer Alternative Investments), “Operating Diversified Mean-

reverting Strategies in Abnormally Correlated and Volatile Markets”

Discussion: Matthew Bowyer (Citigroup Asset Management)

10:30 – 11:00 Coffee Break

11:00 – 12:00 Panel Discussion “The Role of Alternative Investments in Institutional Portfolios”

Panel members include: Kerrin Rosenberg (Hewitt, Bacon & Woodrow), Sushil

Wadhwani, Chris Mansi (Watson Wyatt) and Ros Altmann (LSE Governor)

12:00 – 13:00 David Modest (Morgan Stanley), “Beaches, Lightning and Financial Markets”

Discussion: Gregory Connor (London School of Economics)

13:00 – 14.00 Lunch Break

14:00 – 15:00 Maria Vassalou (Columbia), “Investing in Size and Value Portfolios Using

Information about the Macroeconomy”

Discussion: Jason Hathorn (Concordia Advisors)

15:00 – 15:30 Coffee Break

15:30 – 16:30 Michael Brandt (Wharton), “On the Relationship between the Conditional Mean

and Variance of Stock Returns: A Latent VAR Approach”

Discussion: Gerard Gennotte (Meriwether Associates)

16:30 – 17:30 Christopher Jones (University of Southern California)

“The Dynamics of Stochastic Volatility”

Discussion: Andrew Patton (London School of Economics)

17:30 Conference Ends

Opening Remarks

I am very excited about this new venture for IAM, sponsoring a leading global institution to carry out

independent research into hedge fund issues.

Hedge funds make up a relatively new and, therefore, quite under-researched asset class. This is partly

because they have not been established for as long as traditional asset classes, partly because institutions were

generally quite late in getting into hedge funds and partly because there is a shortage of good data

on performance and other characteristics of these funds.

I have been investing in hedge funds since the early 1980s and, together with Tony Forward and Alan

Djanogly, I started IAM in 1989. We have been around hedge funds for a long time (probably longer than

most other people in this business) and have seen this asset class develop significantly since those early days.

We have experienced many market cycles and we have spent huge sums of money to build up our own huge

proprietary database. This contains data on about 4000 hedge funds, covering all the major hedge fund

management styles and has detailed information on funds’ performance and a large number of different risk

characteristics. We are making this data available to the Research team at LSE, because we believe it is about

time that serious academic research is conducted, to identify the factors driving hedge fund performance and

to analyse hedge funds in much more depth than has hitherto been possible.

Hedge funds have proved themselves in the last couple of years. They have substantially outperformed

traditional asset classes and have generally achieved their aim of protecting capital (i.e. hedging) in falling

markets. Obviously, there are exceptions to this rule and there will always be funds that do not perform well,

or fail and the differential of returns between best and worst will always be large. But, I believe that

experienced professionals, who know what to look for, will always be able to identify superior hedge fund

managers and styles.

But there is a great deal of scepticism still. I hope that, with serious academic research, such as that which

you will hear about today and more that will be done in the coming years on the IAM Hedge Fund Research

Programme at LSE, we will all come to accept hedge fund investing as a natural part of any portfolio and be

better able to understand the drivers of their performance and their general characteristics. We want the LSE

team to subject them to rigorous academic analysis and undertake high quality theoretical studies, which can

then inform the practitioners in the industry as well as potential investors.

I do hope you will enjoy today’s conference and I look forward very much to welcoming you at our future

conferences too.

Albert Fuss

SUMMARY OF PANEL DISCUSSION – INCLUDING Q & A SESSION

“The Role of Hedge Funds in Institutional Portfolios”

Chris Mansi – Watson Wyatt

Chris joined Watson Wyatt, the world’s largest independent investment consulting

firm, in 1999. He provides consulting advice to a broad range of institutional clients

to help them meet their investment goals. Previously, Chris spent over five years with

another benefits consultancy, working initially in their retirement practice before

moving into the investment consulting team.

Kerrin Rosenberg – Hewitt, Bacon & Woodrow

Kerrin is a Partner at Hewitt, Bacon & Woodrow, a global management consulting

firm which he joined in 1992 and where he is the specialist on venture capital,

derivatives, stochastic modelling, risk analysis and financial economics. Kerrin

advises the trustees and sponsoring employees of UK pensions funds on a wide range

of investment issues.

Ros Altmann – LSE Governor

Ros is an independent consultant specialising in investment banking and pensions-

related issues. She was a consultant to the Treasury and Paul Myners on the Myners

review of Institutional Investment in 2001. Ros managed institutional investment

portfolios for 15 years and continues to advise policymakers and institutions on

investment issues.

Sushil Wadhwani – Formerly Monetary Policy Committee, Bank of England

Sushil was a member of the Bank of England’s Monetary Policy Committee from

1999 to 2002. He was previously Director of Research and Partner at The Tudor

Group and, prior to that, Director of Equity Strategy at Goldman Sachs

International Ltd. Sushil has lectured extensively and for eight years was

Reader/Lecturer in Economics at the London School of Economics.

Chris Mansi, Watson Wyatt

Chris Mansi started by describing the Watson Wyatt view of Asset Allocation for pension funds. This can be

divided into two parts:

a) matching assets – which are bonds

b) return-seeking assets – which are dominated by equities and some property, but there is also a need to

diversify this part, so that high yield bonds, private equity and hedge funds fit in here.

In order to persuade Watson Wyatt to recommend hedge funds as part of the diversification of these ‘return-

seeking assets’, hedge funds would need to:

i. deliver much higher returns than equities without much greater risk

ii. or deliver similar returns to equities with low correlation

iii. or even lower returns than equities if there was zero or negative correlation with equity returns.

Looking at past returns, one would conclude that even the average hedge fund has produced return/risk

profile that is attractive to pension fund portfolios. But can one rely on these return/risk characteristics

persisting in future?

Watson’s view is that hedge funds are not an asset class – they don’t have fundamental market or economic

characteristics like equities, bonds or property. Hedge funds are a collection of 6000 active managers,

and returns depend on the manager’s skill. Therefore, whether hedge funds should be included in a

pension fund portfolio depends on whether one believes that hedge fund managers, as a group, have

superior skills. It is likely over time, as barriers to entry into hedge fund management have fallen, that

the average hedge fund may no longer have superior skills relative to the market, especially after fees.

However, more skilled hedge fund managers exist and there are the merits of the hedge fund style of

investing. The ability to short, increased flexibility, hedge fund features allow skilled hedge fund managers

to generate an attractive return stream with suitable risk and low correlation.

There is a role for hedge funds in a pension portfolio, but this role is dependent on being able to identify

and access the better managers. Watsons favours the fund of funds route, again believing it important to

pick the best fund of funds managers too, who can identify the better hedge fund managers for you. There

is a concern, however, going forward about capacity issues and it may become harder for fund of funds

managers to access the best funds.

Kerrin Rosenberg, Hewitt, Bacon & Woodrow

Kerrin started by saying he was largely in agreement with Chris Mansi, so he did not want to just repeat

Chris’ points, but decided to outline some of his own insights.

There is a 2-stage investment decision-making process for a pension fund, which is:

1. the strategic decision – i.e. which asset allocation, how much in equities/bonds/property

2. the implementation phase – i.e. how should one allocate each part of the portfolio, e.g. should equities

be managed on a global/industrial/regional basis, passive or active, which firms to use?

It is generally accepted that Stage 1 is the most important, so deciding how much to allocate to equities is

much more important than deciding which equity managers to use. But, with hedge funds, this priority is

reversed, because there is such a wide dispersion of returns that the ‘average’ is quite meaningless and,

therefore, for pension fund trustees it is more important for the portfolio to choose a good hedge fund

manager than whether or not to go into hedge funds. This makes it very difficult for trustees, because they

are much more comfortable ‘owning’ the asset allocation decision than ‘owning’ the manager selection

decision. This could be a barrier for trustees, because they may not be confident in picking the right manager

or the right fund of funds manager.

If there is a role for hedge funds, it is because they provide better access to active manager skill, assuming one

thinks that skill exists and can be identified. In this context, it is important to consider different hedge fund

strategies separately. He stated that most UK consultants are very familiar with long only equity or bond

managers and the extension to choosing good long/short equity or bond managers is an easy one, since the

same sort of knowledge base and understanding is transferable. But this does not apply to other hedge fund

strategies, such as convertible arbitrage or macro, which use very different types of analysis from long-only.

This is less familiar to consultants and trustees.

If there is superior skill, a hedge fund environment should be better for accessing this skill, due to greater

flexibility, the ability to short, use more esoteric instruments and to be more nimble than long-only managers.

Another significant factor is that hedge fund managers prefer the incentivisation structure of hedge funds,

they like to manage their own business, get more directly rewarded for good performance and it has been

easier to get funding for smaller hedge fund boutiques than for long-only management boutiques.

There is generally very little pension fund interest in hedge funds at the moment. This may seem surprising,

given the bear market in equities and the relative attractions of ‘absolute return’ funds. However, most

trustees are worried about the solvency of their funds at the moment and are looking to switch more into

bonds, in order to better match their liabilities. They are not so concerned about using absolute return

funds for this.

In conclusion, there is a role for hedge funds, but it is probably quite a narrow one. The exposure to hedge

funds is likely to increase over time, as more trustees become familiar with them, but it is likely to be quite

a peripheral decision for them. Their main thought is how much to invest in bonds versus equities and he

expects hedge funds will be a sub-section of the decision about how to allocate the equity portion of the

portfolio.

Ros Altmann, LSE Governor

Ros said that she, like Sushil, found UK institutions’ low exposure to hedge funds surprising. UK consultants

had been later than those in the US in starting to look at hedge funds for their pension fund clients, partly

due to lack of data. She hoped that the LSE academic hedge fund research would help address some of

these problems.

Two years ago, the UK Treasury’s Myners Review of Institutional Investment recommended that pension

fund trustees should consider investing in hedge funds – especially fund of funds. Trustees had told Ros they

had not considered hedge funds because their consultants had not recommended them, but the consultants

said they had not recommended them because the trustees did not seem interested! With hindsight, this is a

great shame because they could have significantly outperformed any traditional portfolio.

Hedge funds can be included in an institutional portfolio in various ways, for example as a separate asset class

or as an extension of an existing asset class. Including hedge funds in an institutional portfolio as a separate

asset class could present difficulties, due to the many different styles of hedge fund management. As a group,

hedge funds do have different risk/return characteristics from traditional assets. Hedge funds as an asset class

in their own right, can generate useful diversification benefits to an institutional portfolio. However, it might

be possible that only certain types of hedge fund would be in the ‘asset class’ itself, such as market neutral,

while other types, such as long/short equity, could just become part of the traditional allocation to equities.

Using hedge funds as an extension of an existing asset class, such as equities or fixed income, it is crucial to

select the best managers, but this is no different from long-only active management. Most active managers

fail to outperform their benchmarks, implying institutions would usually do better with a passive portfolio,

so manager selection is extremely important in both long-only and hedge fund management.

Within the equity or fixed income allocation of an institutional portfolio, the long/short manager could be

the truly ‘active’ manager in a core/satellite allocation – with a passive core of index funds and a selection of

long/short funds as the satellites. Long/short equity funds could displace long-only active managers who have

not outperformed their benchmarks. The UK Treasury’s recent Sandler Review found that total costs for

active long-only management (including trading/administration/custody costs) were often as high as 3%,

implying that even a long-only manager who outperforms the index by 3% may not generate outperformance

after total costs. Ros therefore prefers long/short funds, because they have more freedom to generate

superior returns and exploit inefficiencies – concentrating on the alpha, rather than the beta of a portfolio.

Hedge fund management requires a different skill set from long-only management because a hedge fund will

manage the downside and control risk. Hedge funds have proved themselves in the recent bear market and

have done precisely what they were supposed to do. They have protected capital in falling markets and

captured returns in rising markets, so that the power of compounding over time generates significant

outperformance.

Of course it is important to select good managers and a good fund of funds manager should be able to

do this for institutions who do not feel confident doing it themselves. An experienced hedge fund multi-

manager should understand the different hedge fund strategies and know how they behave through the cycle,

will demand transparency, ask the right questions, not just chase the latest popular strategy, use detailed due

diligence and continuous monitoring of managers and their portfolios.

Q & A

Question 1. Do you think that pension fund stock lending and hedge fund short selling artificially

distorts market prices and has caused excessive volatility in markets?

Mansi: Chris replied that securities lending and short selling are probably not creating a volatile

market and in fact the presence of short selling may actually help the market find its

natural level. Just the borrowing of stock doesn’t of itself cause market volatility, so

short selling does not artificially distort the market. Additionally, short selling is only a

small component of total trading volume, so pension funds lending securities are

unlikely to have created market volatility.

Rosenberg: Kerrin added that the much debated topic of excessive volatility is controversial and one

wonders whether it’s actually the insurance companies that have directly contributed to

it through their forced selling.

Question 2. Why have UK consultants not looked more at hedge funds?

Rosenberg: Kerrin replied that UK consultants must always assess whether any research activity is

going to be commercially worthwhile, just as fund managers must do before launching

a product. In addition, consultants only have a limited annual budget of air time with

their clients. Consultants and clients must prioritise the issues regarding the time budget

and how much time to spend on investment issues. The average client has moved from

4 hours a year on investment 5 years ago to 10 or 12 hours a year on investment at the

moment. Kerrin’s leading clients are spending 20 or 30 hours a year on investment.

However, hedge funds are certainly not 1, 2 or 3 on the agenda of importance. The most

important topics for clients, particularly today, is to decide the appropriate degree to

which they should mismatch their liabilities and how much non-bond investment risk

they should be taking. In fact many clients are focusing top priority on whether to have

a pension fund at all! Trustees should be willing to spend a couple of hours a year on a

training session to understand hedge funds (and private equity, property, currency

hedging etc) and whether these are potentially of interest. However, these issues are not

in the top 3 of the priority list. At the beginning of the year, consultants agree an annual

time budget with the client and then help set the agenda for the next 12 months, to agree

the priorities for the funds. Most clients are spending a lot of their senior management

time asking themselves whether they should have a pension fund, and, if so, what sort of

pension fund should it be?

Mansi: Kerrin echoed Chris’ points about governance resource. It is really only clients who

have a significant level of governance resource who have been considering hedge funds.

For others there are more important issues than, ‘do we allocate to hedge funds?’. Chris

said he believes it is important that those trustees should take the time to consider it.

Watson’s has been looking at hedge fund investment in detail for five years, and has a

team in total of about 15 people globally who spend some time looking at hedge funds,

however not all full time. Watson’s do not think that all clients will go into hedge funds

Q & A

because there are significant implementation and governance issues. Pension funds

realise it’s a very complex area. Unless they have sufficient resources to implement it

successfully it’s probably not worth doing.

Altmann: Ros suggested that, even if a pension fund did not want to consider including hedge

funds as an asset class, the trustees should still consider using long/short equity hedge

fund management as part of an active satellite with a passive core. She pointed out that

the record of active managers that UK pension funds have used is certainly not as good

as the typical long/short equity fund manager.

Rosenberg: Kerrin added that his firm’s main focus with clients was on asset allocation, rather

than manager selection. Choosing a UK long-only equity manager will generate a

UK equity like return and the trustees are aiming to achieve an equity type return.

However, if one ‘equitises’ a long/short equity manager, this is much the same as having

a long-only manager, and the only reason to go with the one approach rather than the

other is if they have greater confidence in their ability to pick a good long/short equity

manager rather than a long-only equity manager. Kerrin said he did not have great

confidence that anyone can pick good active managers, although he did have reasonable

confidence in measuring the risks of being in different asset classes.

Altmann: Ros suggested that the logical extension of Kerrin’s comments was that one shouldn’t

bother having active long-only managers, but just use a passive approach to capture the

equity returns. However, one should have active managers and should use active

managers who have more flexibility to add value and are not constrained by having

to outperform a benchmark by X%, but can actually add value in different ways.

Long/short managers can help trustees to control the risk of underperforming relative

to an equity benchmark by having a passive core and allowing the active long/short

managers to be truly active and outperform.

Question 3. What is the pension fund allocation to hedge funds compared to other European

countries?

Mansi: Chris said it’s very hard to give an exact number but the pension fund allocation is

predominantly zero but sometimes up to 5%. He advises clients that, since deciding on

an allocation to hedge funds requires a significant amount of work to learn about the

area, invest in it and then monitor it, there’s really not much point in doing that if it’s

only going to be 1% of the assets. Otherwise, all the benefits or potential benefits just

won’t come through at a portfolio level. Watson’s are seeing a lot more interest and

demand over the last year than over the previous year, which was much more than the

previous year again. Between 1% and 2% of pension schemes in the UK currently have

an allocation to hedge funds. He thought in Europe the number was slightly higher and

in the US the number would be slightly higher again. It is not vast numbers, but he

would expect it to increase over time.

Question 4. How can trustees monitor hedge fund managers and cope with the extra risks and lack

of transparency?

Mansi: Chris replied that he would typically advise appointing a specialist fund of funds

manager to manage the risks, because they have more knowledge and experience of

hedge fund strategies and risks.

Rosenberg: Kerrin explained that the methodology he uses is to start with assumptions about asset

classes in relation to the liabilities. For hedge funds he would assume they have similar

volatility and correlation statistics as cash does. He would then make an assumption

about the expected return for his efficient frontier analysis and would need to consider

how much excess return above cash would be required from the hedge fund for it to find

a role on the efficient frontier. Normally it would need around 2 to 3%. If it’s less, it

doesn’t really find a role on the efficient frontier, so one would really need cash plus

2 or 3% as a minimum to vindicate the inclusion of hedge funds.

Wadhwani: Sushil pointed out that this type of analysis was significantly deviating from the

historical performance of hedge funds. He wondered why Kerrin would ignore the

historical data and just assume the cash like returns, which did not seem the most

plausible assumption.

Rosenberg: Kerrin explained that he believed a long/short manager with zero skill, who makes as

many wrong decisions as right decisions, will generate a return minus fees. Therefore

what he is trying to do is to disaggregate the returns into those that may be due to hedge

funds being an underlying asset class and then adding active manager skill on top and

trying to make separate assumptions about those two components.

Mansi: Chris added that he thought Watson’s use a similar process in terms of sensitivity testing.

They make a central assumption for hedge fund returns, such as, what return over cash

must funds generate to look attractive in the portfolio context. However, this is not

necessarily ‘the’ central assumption because hedge fund returns are also affected not just

by the amount of skill, but also by the market return at the time, the level of interest rates

and so on. He would not want to assume that the returns in the future will be the same

as in the past. There should also be some sensitivity testing too.

Wadhwani: Sushil said that he was surprised that the issue of hedge funds was not number 1, 2 or 3

on the agenda of pension fund trustees. Playing devil’s advocate he pointed out that

looking across the Atlantic many endowment funds have come through the recent 3 year

bear market, making consistent positive returns. They’ve had allocations often of 25 to

30% to hedge funds. Sushil said he just wondered whether the number one question for

UK pension funds would still have been ‘should we have a pension scheme’ had 25 to 30%

been invested in hedge funds thereby generating positive returns overall.

Q & A

Rosenberg: Kerrin pointed out that there are many differences between managing endowments and

managing pension funds. Endowments don’t have specific liabilities and regulatory

requirements. In reality it would have been preferable to have held cash rather than

hedge funds. The returns from most hedge fund of funds over the last 12 months have

typically been lower than cash. Finance directors are now for the first time, asked to

justify the existence of the pension fund to the shareholders. That is why the whole

question of should we have a pension fund has come to the fore. Finance directors are

realising that this is an expensive thing to do and wondering how to generate a return on

their investment for the shareholders from doing this. The investment allocation is only

a relatively small part of that question.

Question 5. What do you think would be a reliable benchmark to use to encourage pension

funds into hedge funds and do you think there could be an ‘indexed’ passive hedge

fund approach?

Mansi: Chris said he believed one should not use a ‘passive’ benchmark approach since this can

cause difficulties for some pension fund trustees who want to compare managers with

each other or relative to some benchmark. They should adopt a longer-term view and

adopt a range of different comparators for hedge fund managers. Selecting the best

managers is the most crucial part of the process. Looking at an ‘average’ manager is not

productive due to increased dispersion of returns.

Question 6. If long/short hedge fund managers can outperform markets they are the winners.

If there are winners, there must be losers. Who do you think the losers are?

Altmann: Ros said she thought the losers are probably the traditional active managers who are

constrained by benchmarks to hold stocks that they don’t think offer good value.

To have truly active management which can outperform a benchmark, one needs to

allow managers to have the freedom to prove their skill.

Q & A

Summary of Papers

Peter Cripwell – Pioneer Alternative Investments

“Operating Diversified Mean-reverting Strategies

in Abnormally Correlated and Volatile Markets”

Discussion: Matthew Bowyer (Citigroup Asset Management)

Peter Cripwell discussed the practicalities of managing specific hedge fund strategies in the current highly

volatile and correlated markets. In particular he concentrated on equity arbitrage, convertible bond arbitrage

and fixed income relative value. Practical examples of the issues that impact managing low volatility funds

are given and methods by which these issues may be addressed are suggested. Particular emphasis was given

to fixed income relative value where a number of different aspects of the management style and the problems

that they face were given.

David Modest – Morgan Stanley

“Beaches, Lightning and Financial Markets”

Discussion: Gregory Connor (London School of Economics)

David presented his views as to why markets are not efficient and never will be, but markets do tend

to become more efficient over time and the duration of the inefficiencies which exist will shorten.

He therefore disputes the “Efficient Markets Hypothesis”. He presented his views that hedge funds should

be able to exploit these inefficiencies and the “smart money” should generate better performance. Although

the number of hedge funds has grown over time, they are still a small proportion of total assets.

Christopher Jones – University of Southern California

“The Dynamics of Stochastic Volatility”

Discussion: Andrew Patton (London School of Economics)

Professor Jones discussed how previously unobserved dynamic patterns in stock market volatility relate

to the presence of extreme stock market returns and contribute to high prices for index put options.

Specifically, as market volatility rises, its own volatility rises as well, making even more volatile markets

increasingly likely. His research demonstrated that standard volatility models are misspecified and do not

capture important sources of return non-normality.

Summary of Papers

Michael Brandt – The Wharton School, University of Pennsylvania

“On the Relationship between the Conditional Mean and Variance of Stock Returns:

A Latent VAR Approach”

Discussion: Gerard Gennotte (Meriwether Associates)

Professor Brandt presented the latest results of his research on the co-variation of the expected return and

volatility of US equities. Using a flexible statistical model for returns that does not rely on exogenous

predictors, he showed that changes in the mean and volatility are strongly negatively correlated (i.e., the

expected return drops when returns become riskier); however, the levels of the moments are strongly

positively correlated (i.e., stocks tend to have a higher expected return when they are more risky). The source

of these conflicting correlations is an intriguing and statistically robust lead-lag relationship between the two

moments that appears to be directly tied to the business cycle. For all but one of the cycles in his sample,

the volatility of returns spikes shortly after the economy falls into a recession and remains relatively high

until the economy starts recovering. The expected return, in contrast, rises only gradually throughout

the recession. As a result, the volatility appears to lead the mean by about six months – close to the average

length of recessions – and the Sharpe ratio (the ratio of the expected excess return to volatility) exhibits

pronounced counter-cyclical fluctuations.

Maria Vassalou – Columbia University

“Investing in Size and Value Portfolios Using Information about the Macroeconomy”

Discussion: Jason Hathorn (Concordia Advisors)

Professor Vassalou discussed the practical implications of her research, which shows that small caps and

value stocks act as leading indicators of future economic growth. She then demonstrated that one can build

dynamic trading strategies that take advantage of the cyclical behaviour of these asset classes. The advantage

of the resulting trading strategies is that they perform well, even when the market as a whole does poorly.

She also showed that small caps and value stocks do not constitute homogenous asset classes, but differ

significantly with respect to their return and default risk characteristics. She demonstrated that returns of

funds invested in small caps and value stocks can be greatly enhanced by careful stock selection, based on

trading rules she provided.

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