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Hedge Fund Performance in 2008
Finance
Véronique Le Sourd
Senior research engineer at the EDHEC Risk and Asset Management Research Centre.
We analyse twelve years of data on EDHEC Alternative Indexes for different hedge fund strategies to provide some perspective on their performance.
The extraordinary events of 2008 were not without an impact on hedge fund returns. Funds of hedge funds lost 17% in 2008, posting their worst annual returns since we began keeping records in 1997. 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 ten years, that is, a compound annual return above 7%. Interestingly, Distressed Securities funds and Emerging Markets funds are the strategies that have the highest return over the past ten years, even though they were among the biggest losers, with returns of -19% and -30%, in 2008. On the other hand, Short Sellers have the lowest ten-year returns of all the strategies, even after returning 25% in 2008.
- Type :
- EDHEC Publication
- Dates :
- Created on February 18, 2009
- Further information :
- For more information, please contact Séverine Anjubault, EDHEC Research and Development Department [ severine.anjubault@edhec.edu ]
The contents of this paper do not necessarily reflect the opinions of EDHEC Business School.
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