Еще про эффективность управляющих

Although big investors such as John Paulson, Bill Ackman and David Einhorn score high-profile successes, those successes are rarely duplicated or repeated, even by the managers themselves.

By David Weidner

Since the great stock-market reckoning in 2008 and 2009, investors have been paying a lot of attention to the “smart money” on Wall Street: big investors, mostly at hedge funds, who either profited or held their own in the midst of the crash.

You remember them. These are the guys who shorted Lehman Brothers Holdings Inc. They bet against the mortgage market. They profited on everyone else’s misery.

Their gleaming track record, along with our desperate chase for yield, is one reason there has been such a buzz this week about the latest positions taken by Bill Ackman, David Einhorn and John Paulson. They have joined a pantheon that includes George Soros, Jim Rogers, Jeremy Grantham and Warren Buffett.

“Smart” as they may be, they aren’t predictable. Mr. Ackman bought Procter & Gamble Co. during the same period that Mr. Buffett sold Procter & Gamble. Mr. Einhorn loaded up on Research In Motion Inc. and dumped it a few weeks later. Mr. Paulson remains infatuated with gold; it represents 44% of his equity portfolio, even though it cost him and investors dearly last year.

If their trades sound crazy, the returns make more sense. Taken together, most of these “smart” moves average out. Since 2008, even the most admired hedge funds, to put it politely, have been erratic in their ability to beat the market.

Through July, hedge funds have returned less than half of what the Dow Jones Industrial Average has returned and one-third of the Standard & Poor’s 500-stock index’s return, according to Hennessee Group Inc.

Moreover, many of those who built reputations in the 2008 and 2009 crash have done their best to undermine them. Mr. Paulson, for instance, may have racked up 19% gains in 2008 but has had missteps since. His Advantage Fund lost 35% in 2011, and Mr. Paulson was compelled to apologize to investors after bets on Bank of America Corp., Hewlett-Packard Co. and gold didn’t pan out.

At Pershing Square Capital, Mr. Ackman’s investment company, several funds needed a big rally to finish 2011 with losses between 1.1% and 2%. The S&P 500 finished flat. Mr. Einhorn’s Greenlight Capital Inc. had a 3.2% loss for the second quarter.

And as for those big returns in 2008 and 2009? They weren’t all they were cracked up to be. Yes, hedge funds lost about 19% of their value in 2008, compared with a 37% loss for the S&P 500 that year. They fell just short of the market rally the following year.

But those are the funds that survived. More than 1,000 funds, or one out of every 10, closed between the highwater mark for the industry in 2007 and 2010, according to HFR. The losses of dead funds aren’t counted, a phenomenon in the industry known as “survivorship bias.”

The reality is that even though investors such as Messrs. Paulson and Einhorn score high-profile successes, those successes are rarely duplicated or repeated, even by the managers themselves. In fact, those headline numbers are often much bigger than the final returns made by investors who pay 2% of assets and 20% of returns for the privilege of investing alongside the smart money.

In fact, it is a wonder that anyone invests in these hedge funds at all. A 2007 study by John Griffin at the University of Texas and Jin Xu at Zebra Capital Management examined 24 years of data, concluding that there was “weak statistical evidence” to hedge funds’ superiority relative to the market. The lackluster performance, the authors said, “raises serious questions about the proficiency of hedge fund managers.”

Or maybe it depends on what the researchers mean by proficiency. Hedge-fund stars may not be better or worse than a coin flip when it comes to beating the market. But when it comes to enhancing their reputations and marketing, “proficiency” doesn’t do them justice.

Автор подтверждает мысль о том, что профессиональные управляющие далеко не всегда такие “профессиональные”.