Hedge-Fund Performance

Peter Shepard, Sheng Yao and Juan Sampieri

Hedge funds are sometimes idealized as sources of uncorrelated returns, and at other times criticized for lagging a bull market. How did hedge-fund strategies perform before and after the spread of COVID-19?

Total returns reflect funds’ net-of-fees performance. Residual returns reflect the total return net of factor exposures, as estimated with MSCI’s Fund Model as of the end of each previous month. The z-scores reflect each month’s total return divided by the fund’s trailing-two-year volatility. The “box-and-whisker” chart of cross-sectional details reflects the average (dot) 1st and 3rd quartiles (box) and 5th and 95th percentiles (“whiskers”) among funds in each category. Source: Lipper, MSCI