The Times They Are A-Changin'

摘要

There is little doubt that hedge fund performance has waned in the past few years. From 1996 through 2000, Chicago-based Hedge Fund Research's HFRI fund weighted composite index was up a cumulative 76.78 percent net of fees. From 2001 through the third quarter of 2005, it rose 39.11 percent. Even though hedge funds outperformed the Standard & Poor's 500 index by about 8.4 percentage points per year over the past five years after lagging the S&P from 1996 through 2000, the fact remains that annual hedge fund returns have essentially been cut in half, to about 8 percent. The most common explanations for the recent mediocrity are that too many hedge funds are chasing the same oppor- tunities, investors are pumping too much money into hedge funds, and managers are taking less risk in response to investor demands for smoother returns. But the real reason that hedge funds have failed to deliver has been the lack of market volatility.