Multi-Manager Funds A Manager’s Perspective

多管理人基金经理采访

Multi-Manager Funds: A Manager’s Perspective

KIRKROSTRONANDBARRYCOLVIN

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investmentarea.Researchhasshownthatt ro with Asset ConsultingincreasingthenumberofsimilarstrategyresuGroup in St. Louis, managersinaportfoliooftenreducesriskdezMissouri.

irwithnoreductioninexpectedreturn(Mar-ohtutinandHenker[1998];ParkandStaumanu n[1998];Henker[1998]).Thisis,ofcourse,a otbasedonarandomselectionofmanagers. drawIndividualsmayreducetheexpectedriskofrof anequal-weighted“naiveselection”multi-,elcitmanagerportfoliobycarefulselectionofra sihmanagers.Academicresearchhasalsoshownt fo thatwhiletheremaybelittleevidenceofseipoconsistentsuperiormanagerperformance,c dethereisindicationofconsistencyamongzirohpoorperformers.Ifmulti-managerfundcre-tuanatorscancreatefundsthatavoidthesecon-u eksistentlypoorperformances,multi-manageram oportfoliosmayalsoexperiencehighert lagreturnsthana“naivelycreated”multi-man-elli sagerportfolio.

i tIOver the period 1990-1998, boththe Hedge Fund Research (HFR) and theManaged Accounts Reports hedge fund-of-fund indexes have performed similarly, thatis, approximately 10% per year with anannualized standard deviation of approxi-mately 6% per year. While this underper-forms the average hedge fund manager,recent experience in 1998 with individualfund managers indicates that a multi-man-

56

MULTI-MANAGERFUNDS:A MANAGER’SPERSPECTIVE

ager approach may well be coming into itsown, not only in academic theory but inpractical application as well.

In the following series of questions,we discuss our views of the fundamentalsunderlying the multi-manager strategy aswell as the process by which we either createor monitor a multi-manager alternativeinvestment portfolio.Q.

Describe your overall investment strat-egy [e.g., multi-manager within astrategy or multi-strategy (e.g., singlemanagers within but multi-strategy)].

B.C.While we do not sell multi-manager

products ourselves, we do constructindividual multi-manager portfolios.Our approach revolves around com-bining various managers with differentstrategies to meet the objectives ofeach client. These portfolios rangefrom very conservative to very aggres-sive, so each make-up is unique.

K.R.The main focus of any of our funds is

to control risk as much as possible. Wehave proprietary funds that fall intothree categories. Our flagship fund,Rembrandt Partners, L.P., is a multi-asset class (fixed-income, equity, andmanaged futures) product that willdiversify among strategies and man-agers. Southwind Partners, L.P. is amulti-manager product using equity

FALL1999

The Journal of Alternative Investments 1999.2.2:56-62. Downloaded from doc.guandang.net by fang chen on 01/18/15.