Hedge Funds during 2020 Round Trip
Hedge fund performance this year has varied depending on the type of strategy. With the S&P 500 making a round trip this year and now roughly flat YTD, lets look at hedge fund performance before and after stock market lows on March 23rd.
Using the HFRX investable indices, hedge fund strategies with high correlations to equities performed poorly through 3/23 but outperformed the S&P 500. The HFRX Global, the broadly diversified index, was down 9.54%. A large component of that index is the HFRX Equity Hedge index. This index, composed of equity long/short managers, was down 17.11% while the S&P 500 fell 30.75%. Note the correlations of these indices; both are high.
The hedge fund strategies rebounded but full-period returns were mixed. The returns and correlations, to both stocks and bonds, are shown for the periods before and after the S&P 500 low on 3/23 as well as YTD returns through 7/17.
The Bloomberg Barclays US Aggregate Index was a tough benchmark to beat YTD. The Fixed Income Credit index was the best performing strategy. Note the 0.43 correlation to the AGG prior to 3/23 but then fell to 0.02, or uncorrelated, after that date. These managers may have been nimble enough to shift to more credit exposure after the March lows.