60-40 Stock-Bond Portfolio vs the Most Popular Hedge Fund Index

Apr 02, 2012 in Hedge Funds

In professional settings, seven years is considered enough time to constitute a relevant performance comparison because it usually encompasses different kinds of markets.

Recently there has been press about how hedge funds did not beat Treasury Bills during the last cycle.   We will not be so kind.   A 60-40 stock-bond index is a reasonable comparison benchmark.   Yes, it is U.S. based but it is a very plain-vanilla option and it is not considered an especially difficult benchmark to beat over the longer-term so this is not exactly an unfair comparison.

Next Blog: Q1 2012 Index Ranks vs History Chart

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Comments (2) -

Apr 04, 2012 09:43 #

Wow. This is really thought provoking. Everyone tries to hype-up hedge funds and their reasons for high fees.....also it helps to keep in perspective when our investment method does not beat the market every quarter.


Sumu United States

Apr 04, 2012 11:52 #

Your comment brings up a good point.   A strategy can lose to a benchmark 1/2 the time or more and still soundly beat that benchmark over time.    Try running the Sample Portfolio, choose top 2 with default settings.   Run it for 2010-2012 for 28 months.   It's 14-14 in terms of monthly performance during that period but beats S&P by 3300 basis points (33%) cumulatively.    You have to focus on the war and not give up after losing the battle of [September, 2006] or [Q1 2004].

Chris United States

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