Index performance analysis gives strategy perspective
In a recent report (V Le Sourd, February 2009, Hedge Fund Performance in 2008, EDHEC Publication) an analysis of 12 years of data on EDHEC Alternative I for different hedge fund strategies provided some perspective on their performance.
Funds of hedge funds lost 17% in 2008, posting their worst annual returns since we began keeping records in 1997, and hedge fund investments lost value across the board. Except for CTAs and short sellers, all strategies posted their worst losses in 2008.
Even after the impact of a calamitous year, half the strategies still post-cumulative returns above 100% for the past 10 years, that is, a compound annual return above 7%. Interestingly, distressed securities funds and emerging markets funds are
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