Systematic Strategies Fund The Most Consistent Performing Equity Hedge Fund
Preqin today published a new report to illustrate those hedge funds that have performed the most consistently over the period January 2012 – December 2017. Seven leading strategies are represented: equity strategies, macro strategies, event driven strategies, credit strategies, relative value strategies, multi-strategies and CTAs.
These funds were determined as most consistent using a percentile rank methodology across four metrics (annualized return, annualized volatility, Sharpe ratio and Sortino ratio). The funds were graded in a universe of all hedge funds with matching strategy criteria and full performance data up to December 2017. The 'average score' of each fund was then derived through an average of the four percentile values and used to determine fund consistency. Where a Sortino ratio could not be calculated due to the fund not generating a negative return in the sample period, the fund received a percentile score of 100 for its Sortino ratio metric.
Most Consistent Top Performing Hedge Funds:
• Equity Strategies: Systematic Strategies Fund had the highest consistency score of 93.5. AZ Quest ran two of the top 10 most consistent equity strategies funds.
• Macro Strategies: Barak Structures Trade Finance Fund was the most consistent top performing macro strategy fund, with a consistency score of 94.8. Claritas Investments had two funds in the top 10.
• Event Driven Strategies: Hildene Capital Management managed two of the most consistent top performing event driven funds. Hildene Opportunities Fund II was the highest scoring fund, with a consistency score of 92.6 and Hildene Opportunities Fund had a score of 85.5.
• Credit Strategies: Captalys FIM CP was the most consistent top performing credit strategies fund with a consistency score of 98.2.
• Relative Value Strategies: Estee Capital’s I-Alpha had the highest consistency score of 98.6, over nine basis points higher than the second most consistent top performing relative value fund. Old Mutual Customised Solutions had two funds in the top 10.
• Multi-Strategy: All 10 of the most consistent top performing multi-strategy hedge funds were based in Brazil. DLM Invista Asset Management ran two of the 10 funds, and its vehicle DLM Hedge Conservador was the highest scoring multi-strategy fund with a consistency score of 95.0.
• CTAs: HiProb-I was the most consistent top performing CTA vehicle with a consistency score of 98.2. Only two vehicles based outside the US ranked in the top 10, Spectra SPC Power Fund – Class A with a score of 97.1 based in Hong Kong, and Systematic FX Fund with a score of 93.6 based in Australia.