Most consistent top performing hedge funds |
Date: Wednesday, September 23, 2015
Author: Press Release
Drawing on data compiled for the recently-released
2015 Preqin Alternative
Assets Performance Monitor, Preqin has created league tables of hedge funds
that have most consistently delivered strong, stable performance. The 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 June 2010 – June
2015. Seven top-level strategies are represented – Equity, Macro, Event Driven,
Credit, Relative Value, Multi-Strategy, and CTA – with all of the top 10 equity
strategies funds scoring over 90 out of 100 across all metrics. To identify the most consistent top performing hedge funds, we rank
qualifying funds (i.e. funds with a track record of at least three years and
five years accordingly) using a percentile rank methodology over each of the
following metrics: annualised return, volatility, Sharpe ratio and Sortino ratio
during the respective time period. The score of each fund was then derived
through an average of the four percentile values and solely used to determine
fund consistency (i.e. consistency score). Where a Sortino ratio could not be
calculated (due to the fund not generating a negative return in the sample
period) the fund was given a percentile score of 100 for its Sortino ratio
metric.
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