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There
are numerous hedge fund research groups and several different
hedge fund performance indices:
Below is a summary of some of the different performance
measures for aggregate hedge fund performance to the end of December 2000 which shows that hedge funds, on average, have
higher returns with less risk than shares. The table
also shows that hedge funds display only moderate correlation
with share prices and in times when share markets decline in
value, hedge funds can continue to generate positive returns.
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PERFORMANCE
OF HEDGE FUNDS AGAINST SHARES
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|
Index
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YTD
2000 Return
(31 Dec)
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5
Years ended December 1999
|
|
Compound Annual Return
|
Annualised
Standard Deviation
|
VAN
Risk of Loss Index
|
Degree
of market correlation
|
CSFB/Tremont
Hedge Fund Index
(Hedge Funds)
|
4.9%
|
18.2%
|
10.1%
|
N/A
|
0.55
|
HFR
Composite
Hedge Fund Index
(Hedge Funds)
|
5.1%
|
18.2%
|
8.0%
|
N/A
|
0.77
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|
Van
Global Hedge Fund Index
(Hedge
Funds)
|
8.1%
|
19.1%
|
N/A
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3.8%
|
N/A
|
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MSCI
World Equity Index
(Shares)
|
-13.2%
|
18.1%
|
13.1%
|
11.0%
|
1.00
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Notes:
All returns are in US dollars after all fees but
before taxes. Standard deviation is a
measure of the riskiness or volatility of
returns (both positive returns and negative
returns). The Van risk of loss ratio
measures the probability of loss assuming
certain factors. The degree of market
correlation measures the degree to which hedge
fund returns move in line with share markets (MSCI
index) - perfect correlation is equal to 1.0, no
correlation is equal to 0 and perfect inverse
correlation is equal to -1.0.
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