EME Partners

Pioneers in Alpha Cloning Strategies

We strive to align our investment philosphy to the latest findings in financial research. As such we are always looking for the most recent findings within the field of fund manager performance evaluation, copycat funds, alpha cloning and portfolio drag.

Here are some of the research papers which have inspired our suite of Best Ideas investment strategies:

Copycat Funds: Is This the End of Active Investing?

The results indicate that the copycat funds can keep up with their primitive counterparts in all instances, and even outperform the funds with a high expense ratio and funds that were easy to copy in the past.
— Kreislers E., Prihodko N, Copycat Strategies: Is This the End of Active Investing?, Stockholm School of Economics (May 2016)
We find that the stock that active managers display the most conviction towards ex-ante, outperforms the market, as well as the other stocks in those managers’ portfolios, by approximately 1.6 to 2.1 percent per quarter.
— Cohen, Randolph B. and Polk, Christopher and Silli, Bernhard, Best Ideas (March 15, 2010)
Free-riding on the portfolios disclosed by past winning funds generates significantly better performance than the vast majority of mutual funds.
— Verbeek, Marno and Wang, Yu, Better than the Original? The Relative Success of Copycat Funds (November 2, 2010)
Our results for a limited sample of high expense funds in the 1990s suggest that while returns before expenses are significantly higher for the underlying actively managed funds relative to the copycat funds, after expenses copycat funds earn statistically indistinguishable, and possibly higher, returns than the underlying actively managed funds.
— Myers, Mary Margaret and Poterba, James M. and Shackelford, Douglas A. and Shoven, John B., Copycat Funds: Information Disclosure Regulation and the Returns to Active Management in the Mutual Fund Industry (October 2001). MIT Department of Economics Working Paper No. 02-04.
On balance, we confirm that money is smart in chasing winning managers, but that a “copycat” strategy of mimicking winning fund stock trades to take advantage of flow-related returns appears to be the smartest strategy.
— Wermers, Russ, Is Money Really 'Smart'? New Evidence on the Relation Between Mutual Fund Flows, Manager Behavior, and Performance Persistence (May 2003).
Confidential holdings exhibit superior performance up to twelve months, and tend to take longer to build.
— Vikas Agarwal, Wei Jiang, Yuehua Tang, and Baozhong Yang, Uncovering Hedge Fund Skill from the Portfolio Holdings They Hide (2013)