The Most Consistent Performing Hedge Funds Over The Past Five Years

by Preqin

Preqin issues league tables of funds that have consistently generated higher returns and lower volatility than their peers.

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 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.

Methodology:

From its Hedge Fund Analyst database of over 12,000 hedge funds, Preqin ranked the 1,358 qualifying funds (those with a full performance record of at least five years) using a percentile rank methodology over each of the following metrics: annualized return, volatility, Sharpe ratio and Sortino ratio. 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. 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.

Most Consistent Performing Hedge 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 strategies 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.