Which Strategy?

An earlier entry pointed out how many sub-strategies there are under the title ‘long/short’. Take one step back and consider this table from the 2016 Preqin Global Hedge Fund Report (click for a larger, legible version):

The table continues for an entire second page but this half makes the point: that’s a lot of headline strategies (before any talk of sub-strategies).

For those who like steady returns with as few shocks as possible ranking this list on the 5 year net return/volatility ratio produces a clear winner in the equity class: RV Equity Market Neutral (our yellow highlight). It is not the best on that ratio overall: two credit-based approaches formerly best known for cameos in The Big Short pipped it.

The top 10 strategies on the return/volatility ratio look like this:

For clients running our software it is a useful reference point when designing strategy approaches.