Illiquid strategies drive returns of hedge fund indices post 2008


EDHEC-Risk Institute has found in its analysis of non-investable hedge fund indices that illiquid strategies had a significant influence in the excess returns during the period of the global credit crunch, while liquid strategies saw their returns in the indices increase over the same time period post 2008.

The new study, “A Suggestion for Remedying the Overstated Performance of Non-Investable Hedge Fund Indices”, examines whether the liquidity crisis that followed the Lehman Brothers collapse impacted the performance of hedge fund strategies with credit risk exposure.

The performance of multi-strategy indices that contained illiquid or less liquid strategies showed higher