L/S Spread Percentiles
Curious what the ranges for average career L/S spread are for HF analysts.
I would guess it's something like:
- Negative spread = 40%
- 0-5% spread per year = 40%
- 5-10% spread per year = 10%
- 10-15% spread per year = 5%
- >15% spread per year = 5%
Assuming this is over a 10-15+ year career.
wtf
what? you think these are too low?
Those spreads don't factor in any leverage right?
Way too optimistic. Over 5 years maybe but for over 10 years?
Negative: 60%
0-5% 35%
5-10% 4.9%
10%+ 0.1%
I am speaking to L/S spread defined as:
Multi-strat funds generally look at ROIC on gross capital, which in the above case would be 5% (defined as 10% PnL/200% gross at zero net). I would agree with your numbers for ROIC on gross capital, but those seem low for L/S spread.
The numbers you listed would imply that the industry destroys a lot of value post-fees, which I don't think is true historically.
Let me know if we are having different definitions here or if you think my numbers are still too high using the same definition.
Thanks for the thoughts either way.
Why do you think the industry is losing AUM?
Why don't you think the industry destroys value on median?
Nihil commodi iste facere est corrupti numquam quo. Deleniti quo ut aut sed repudiandae itaque aut. Blanditiis id est natus suscipit corrupti. Labore rerum ut et provident amet quod et.
Quis libero libero unde placeat animi sed qui. Nobis non enim et vitae. Delectus est esse delectus possimus et. Eius voluptas exercitationem modi odit aut.
Alias dolores laboriosam asperiores veniam. Quibusdam sit modi aut saepe assumenda. Eaque ut praesentium quod mollitia. Beatae consequatur exercitationem et quis officiis. Sit quibusdam facere ut quos quos.
See All Comments - 100% Free
WSO depends on everyone being able to pitch in when they know something. Unlock with your email and get bonus: 6 financial modeling lessons free ($199 value)
or Unlock with your social account...