Dispersion of returns highest in decade as volatility increases

Mon Feb 2, 2009




In addition to being hedge funds' worst year ever, 2008 also turned out the most dispersed returns of any year since 1999. An analysis of monthly hedge fund returns in the Absolute Return database shows that outliers - funds with returns higher or lower than one standard deviation of the mean - declined steadily from 1999 to 2004. In 2005, dispersion of returns began to widen and last year blew back out...

ISSN: 2151-1845 / CDC10004H

Register

By registering you will receive

  • A monthly newsletter on your specified areas of interest
  • A fortnightly update on the sector

Free Trial

Take a trial today and access

  • Performance news, fund launches, regulation changes and people moves
  • Profiles of fund managers, investors and distributors
  • Live league tables
  • Investor mandates


Popular Searches on HFI