Most Consistent Performing Hedge Funds by Preqin
Preqin issues league tables of funds that have consistently generated higher returns and lower volatility than their peers over the past three years
Drawing on data compiled for the 2016 Preqin Global Hedge Fund Report, Preqin has created league tables of hedge funds that have most consistently delivered strong, stable performance. These league tables do not seek in any way to endorse these funds, but rather to illustrate those that have performed the most consistently over the period January 2013 – December 2015. Seven top-level strategies are represented; equity strategies, macro strategies, event driven strategies, credit strategies, relative value strategies, multi-strategies and CTAs.
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Most Consistent Performing Hedge Funds – Methodology:
From its Hedge Fund Online database of over 14,000 hedge funds, Preqin ranked the 1,761 qualifying funds (those with a full performance record across the past three years) using a percentile rank methodology over each of the following metrics: annualized return, annualized volatility, Sharpe ratio and Sortino ratio. The score of each fund was then derived through an equally weighted average of the four percentile values, and used to determine the fund’s Consistency Rating. Where a Sortino ratio could not be calculated (due to the fund not generating a negative return in the sample period) the fund was given a percentile score of 100 for its Sortino ratio metric.
Most Consistent Performing Hedge Funds:
- Equity Strategies – Eight of the top 10 consistent performing equity strategies funds scored in the 90th percentile for each metric. The highest rank was for the Taiga Fund – Class A, with a consistency score of 94.40. Peregrine Capital and 36ONE Asset Management each had two funds in the top five.
- Macro Strategies – The top macro strategies consistency score was 93.60 for the BNY Mellon ARX Hedge FIM fund. ARX Investimentos and Verde Asset Management each had three funds in the top ten.
- Event Driven Strategies – The top ranked event driven strategies fund was Context BH Partners – Founders’ Class, run by Context Capital Partners, which scored 91.48. Owl Creek Asset Management had two funds in the top ten.
- Credit Strategies – Polo Credito Privado FIM, with a consistency score of 95.70, was the highest ranked fund of any strategy. Capitania and Evolution Capital Management each had two funds in the top ten.
- Relative Value Strategies – The Peregrine Capital Pure Hedge Fund was the most consistent performing relative value strategy fund, with a consistency score of 92.93.
- Multi-Strategy – JGP Strategy, from JGP Global Gestão de Recursos, had the top consistency score of 91.65. None of the top ten most consistent performing funds are run by US-based fund managers, while just two are run by Europe-based managers.
- CTAs – The top score among CTAs was for the Esulep LLC Permo Fund, run by Esulep, which scored 91.98. Von Preussen-Hohenberg Management AG had two funds in the top ten.