While putting together reviews of the past decade, I have looked at how emerging markets have performed vs developed markets, how bonds performed versus small and value stocks, and the Dow vs the Nasdaq. Here, I also want to look at how hedge funds performed over the past decade.
First, let’s look at a traditional mutual fund style rate of return report of different hedge fund strategies in recent years compared with the S&P 500 and CBOE S&P 500 Buy-Write Index.
To make this a better apples to apples comparison, we scale these returns by the volatility of each investment into Sharpe Ratio metrics:
These returns and metrics have been calculated from the Credit Suisse liquid alternative benchmark portal, where you can download these Credit Suisse hedge fund benchmark return data back to 1994.