Survey Shows Most Consistent Hedge Funds Over Past Five Years

Tom Burroughes

9 September 2015

Those number crunchers at Preqin have provided a league table of the hedge funds which have delivered the most consistent returns from June 2010 to June 2015 with equity-related strategies featuring among the best performers.

Drawing on data compiled for the 2015 Preqin Alternative Assets Performance Monitor, Preqin has created league tables of hedge funds that have most consistently delivered strong, stable performance. The firm is at pains to state that the league tables do not seek in any way to endorse these funds.

Debate about whether hedge funds are value for money - with their traditional charges of a 2 per cent annual fee and 20 per cent performance fee - may not be laid to rest with such data, but the fact that some funds are able to sustain performance over time will keep argument alive.

Seven top-level strategies are represented in Preqin’s rankings – 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, according to the 2015 Preqin Alternative Assets Performance Monitor. Data is drawn from a database of more than 12,000 hedge funds; some 1,358 qualifying funds (those with a full performance record of at least five years) were ranked. The score of each fund was then derived through an equally weighted average of the four percentile values, and used to determine the fund’s “consistency rating”.

The most consistent funds:

-- Equity strategies – All of the top 10 consistent performing equity strategies funds scored in the 90th percentile for each metric. The highest score was for the Peregrine High Growth Fund, with a consistency rating of 95.5. Peregrine Capital and 36ONE Asset Management each had two funds in the top five;
-- Macro strategies – The top macro strategy consistency rating was 96.7 for the BNY Mellon ARX Extra FIM fund. ARX Investimentos and Verde Asset Management had three and four funds respectively in the top ten;
-- Event driven strategies – The top ranked event driven strategies fund was Altum Credit Fund, run by Altum Capital Management, which scored 88.0;
-- Credit strategies – Capitania Multi Credito Privado FIC FIM, with a consistency rating of 91.7, was ranked leading credit strategies fund. III Capital Management had two funds in the top ten;
-- Relative value strategies – The Peregrine Capital Pure Hedge Fund scored 93.5. III Capital Management also had a further two of the top ten funds in this strategy;
-- Multi-strategy – The TRZ Funds Global Arbitrage Fund had the top consistency rating of 95.7. Six of the top ten scoring multi-strategy funds are based in Brazil;
-- CTAs – The top score for CTAs, and the highest consistency rating of any top-level strategy, was for the Global Sigma Plus fund, run by the Global Sigma Group, which scored 98.5.