We show that relative to the first half of 2007, the volatility of hedge fund returns has doubled during the September 2007 to April 2008 period. At the same time, aggregate hedge fund returns have declined while exit rates have tripled. Commodity, macro, and, to a lesser extent, arbitrage funds outperformed during this period, while bottom-up funds underperformed. In Asia, funds engaging in less traditional strategies like arbitrage, event driven, fixed income, and distressed debt have emerged relatively unscathed. Our results also suggest that around the world, funds with headquarters near their investment markets, fewer assets under management, and higher performance fees have weathered the storm better than other funds.
hedge funds, volatility, hedge fund performance
Finance and Financial Management
Hedge Fund Insights: Statistical Digest of the BNP Paribus Hedge Fund Centre at SMU
BNP Paribas Hedge Fund Centre, Singapore Management University
City or Country
Teo, Melvyn. 2008 July. Hedge Funds in a Volatile Market. Hedge Fund Insights: Statistical Digest of the BNP Paribus Hedge Fund Centre at SMU, 1-7.