Opalesque Industry Update - Drawing on data compiled for the 2018 Preqin Global Hedge Fund Report, Preqin has created league tables of the most consistent performing hedge funds. These league tables do not seek in any way to endorse these funds, but rather to illustrate those that have performed the most consistently over the period January 2012 - December 2017. Seven leading strategies are represented: equity strategies, macro strategies, event driven strategies, credit strategies, relative value strategies, multi-strategies and CTAs. Methodology: These funds were determined as most consistent using a percentile rank methodology across four metrics (annualized return, annualized volatility, Sharpe ratio and Sortino ratio). The funds were graded in a universe of all hedge funds with matching strategy criteria and full performance data up to December 2017. The 'average score' of each fund was then derived through an average of the four percentile values and used to determine fund consistency. Where a Sortino ratio could not be calculated due to the fund not generating a negative return in the sample period, the fund received a percentile score of 100 for its Sortino ratio metric. Most Consistent Top Performing Hedge Funds:
• Equity Strategies: Systematic Strategies Fund had the highest consistency score of 93.5. AZ Quest ran two of the top 10 most consistent equity strategies funds. |
Industry Updates
Preqin's most consistent top performing hedge funds
Friday, March 09, 2018
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