• Skip to primary navigation
  • Skip to main content
  • Skip to primary sidebar
  • Skip to secondary sidebar
  • Skip to footer

  • Subscribe
  • Twitter
  • RSS Feed

Investment News NZ

Investment News provides financial advisers news stories from the financial industry in New Zealand. Subscribe to our free weekly newsletter.

  • Home
  • News
  • Kiwisaver
  • Subscribe
  • About
  • Advertise
  • Contact
You are here: Home / Investment News / Horses for courses: sports betting as a new asset class

Horses for courses: sports betting as a new asset class

July 3, 2016

horsesSports betting could become a new asset class, offering uncorrelated returns to a standard pension fund portfolio with potentially better returns than the average hedge fund, according to a UK study.

The study by two quant research managers, Lovjit Thukral and Pedro Vergel Eleuterio, both of Long Rock Capital in London, showed that a relatively simple horse-racing betting strategy could beat a hedge fund returns index as well as the S&P 500 between 2010 and 2016.

The strategy was to consistently ‘lay off’ (betting on the event not to occur) the four favourite horses with the lowest odds in each race.

The study followed earlier work by academics Gomber, Rohr and Schweickert in 2008 who wrote a paper discussing the microstructure of sports betting and how it can develop into an alternative asset class generating alternative alpha.

Another study in the US, by Meers, Waters and Wortman in 2013, sought to do the same using American football.

In the latest study, the authors say that sports betting can fit nicely within Modern Portfolio Theory because of the lack of correlation with markets.

The strategy of betting against the favourites (which is similar to how most bookies make their money) outperformed the Credit Suisse Hedge Fund Index in five out of the six years and the S&P 500 in three out of six years, with a better Sharpe ratio.

“Having only looked at one sport and one type of strategy, we are confident that this is only the tip of the iceberg in terms of the usage of sports to create alpha,” the paper says.

The authors note that they assumed no liquidity issues and don’t take account of commissions and other “trading costs” of the betting system.

 

* Greg Bright is publisher of Investor Strategy News (Australia)

Print Friendly, PDF & Email
Twitter0
LinkedIn0
Google+0
Facebook0

Read More » Investment News

Recent articles

  • Vale Brian Gaynor May 16, 2022
  • COFI passes second after lukewarm session May 15, 2022
  • Kōura drives for special KiwiSaver niche; Aurora hits $50m May 15, 2022
  • NZ Super tops-up top ranks, buys low as market tanks May 15, 2022
  • Master trusts sink as sector condenses May 15, 2022
  • Holding pattern: custody licensing stalled but not forgotten May 15, 2022
  • Responsible man makes NZ landfall; Magellan tidies up top table May 15, 2022
  • Prescriptive proposals see BlackRock back-track on proxy support May 15, 2022
  • Apostle sees deep green future in NZ May 15, 2022
Finished reading? Why not subscribe? To receive a weekly email enter your email address here.

Primary Sidebar

WEEKLY NEWSLETTER

Sign up here to receive our weekly newsletter.
Learn More »

Investment News

  • Vale Brian Gaynor May 16, 2022
  • COFI passes second after lukewarm session May 15, 2022
  • Kōura drives for special KiwiSaver niche; Aurora hits $50m May 15, 2022
  • NZ Super tops-up top ranks, buys low as market tanks May 15, 2022
  • Master trusts sink as sector condenses May 15, 2022
  • Holding pattern: custody licensing stalled but not forgotten May 15, 2022
  • Responsible man makes NZ landfall; Magellan tidies up top table May 15, 2022
  • Prescriptive proposals see BlackRock back-track on proxy support May 15, 2022
  • Apostle sees deep green future in NZ May 15, 2022
  • No flares but investors need to brace for belt-tightening May 15, 2022

Search by Keyword

Most Recent Investment News

Vale Brian Gaynor

May 16, 2022

COFI passes second after lukewarm session

May 15, 2022

Kōura drives for special KiwiSaver niche; Aurora hits $50m

May 15, 2022

NZ Super tops-up top ranks, buys low as market tanks

May 15, 2022

Master trusts sink as sector condenses

May 15, 2022

Investment News Archive

Most Popular Articles

  • NZ share-trading splurge could trigger tax alarms… posted on October 5, 2020
  • Flint set to spark platform competition posted on August 17, 2020
  • Westpac NZ flags retail advice sale to Forsyth Barr posted on October 19, 2020
  • The horror year in technicolour: free KiwiSaver 13 report released posted on September 30, 2020
  • Four to the core: Smartshares to expand, rearrange and reprice ETFs posted on June 22, 2020
  • Government dumps five defaults adds two in major overhaul posted on May 14, 2021
  • Kiwi Wealth hits the bigger time posted on November 26, 2017
  • NZ Funds directors back on board posted on April 24, 2016

Sponosored Content

Why timing the market is a fool’s game

An active investment manager’s lockdown toolkit: impacts, learnings and benefits

Mint chief executive, Rebecca Thomas

Join the club: financial wellbeing for women

Ensuring good customer outcomes

Quick-links to Popular News

  • FAP Compliance
  • Coronavirus
  • New Appointments
  • Financial Markets Authority (FMA)
  • Kiwisaver
  • Climate Change
  • Crypto Currency
  • Blockchain
  • Insurance

Secondary Sidebar

Recent News

  • Vale Brian Gaynor May 16, 2022
  • COFI passes second after lukewarm session May 15, 2022
  • Kōura drives for special KiwiSaver niche; Aurora hits $50m May 15, 2022
  • NZ Super tops-up top ranks, buys low as market tanks May 15, 2022
  • Master trusts sink as sector condenses May 15, 2022
  • Holding pattern: custody licensing stalled but not forgotten May 15, 2022
  • Responsible man makes NZ landfall; Magellan tidies up top table May 15, 2022
  • Prescriptive proposals see BlackRock back-track on proxy support May 15, 2022
  • Apostle sees deep green future in NZ May 15, 2022
  • No flares but investors need to brace for belt-tightening May 15, 2022

Footer

Copyright ©2022 InvestmentNews.co.nz — All Rights Reserved — Terms & Conditions