Thursday, January 7, 2016

Hedge fund strategies did not have a good year


The rankings of hedge fund strategy index returns for 2015 show a lot of negative numbers. It was not a good year. Most strategies underperformed the Barclays Aggregate and 2/3rds did worse than the S&P 500. 

Hedge fund did not hedge. Fixed income did not find the sweet spot and global macro did not find the major market trends. The only winners were merger arbitrage given the large deal flow, equity market neutral, and the absolute return index. Managed futures and global macro did better than most strategies, but these strategies were not able to find big pay-offs and missed the big fixed income, commodity, and foreign exchange opportunities. Of course, some individual managers did well, but the central tendencies are what drive expectations and allocation decisions for managers.

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