Key Takeaways
- • Multistrategy hedge funds returned an average of 12.1% over the year through June 30, versus 7% for the overall hedge fund industry, according to Goldman Sachs data cited by Pensions & Investments.
- • Multistrategy funds achieved those returns with markedly lower volatility, at 6.2% compared with 11.3% for the broader hedge fund universe over the same one-year period.
- • Over five years, multistrategy funds matched the broader industry's 7.8% annualized return while running volatility of 6.7% versus 11.8%, producing higher risk-adjusted returns as measured by the Sharpe ratio.
- • Pensions & Investments attributes strong asset growth in multistrategy hedge funds, as shown in its annual hedge fund survey, partly to these returns drawing institutional investors back to the strategy.
Summary
Assets under management at multistrategy hedge funds have grown strongly, according to data collected for Pensions & Investments' annual hedge fund survey. Pensions & Investments links the growth in part to strong returns that have drawn institutional investors back to the strategy.
According to data provided by Goldman Sachs, multistrategy hedge funds delivered an average return of 12.1% over the year through June 30, outperforming the overall hedge fund industry's 7%. The strategy also produced those returns with less risk. Measured by volatility, multistrategy funds ran at 6.2% over the period, compared with 11.3% for the broader hedge fund universe.
The risk-adjusted advantage holds over a longer horizon. Over five years, multistrategy funds posted annualized returns of 7.8%, identical to the broader hedge fund universe, but with lower volatility: 6.7% annualized versus 11.8% across all hedge funds. As a result, multistrategy funds had higher risk-adjusted returns, as measured by the Sharpe ratio, than the hedge fund universe over both the one-year and five-year periods.
The primary source's data is drawn from Goldman Sachs and the Pensions & Investments survey, and the figures reflect the periods cited in that data rather than a full picture of the strategy's performance in any other window.
According to data provided by Goldman Sachs, multistrategy hedge funds delivered an average return of 12.1% over the year through June 30, outperforming the overall hedge fund industry's 7%. The strategy also produced those returns with less risk. Measured by volatility, multistrategy funds ran at 6.2% over the period, compared with 11.3% for the broader hedge fund universe.
The risk-adjusted advantage holds over a longer horizon. Over five years, multistrategy funds posted annualized returns of 7.8%, identical to the broader hedge fund universe, but with lower volatility: 6.7% annualized versus 11.8% across all hedge funds. As a result, multistrategy funds had higher risk-adjusted returns, as measured by the Sharpe ratio, than the hedge fund universe over both the one-year and five-year periods.
The primary source's data is drawn from Goldman Sachs and the Pensions & Investments survey, and the figures reflect the periods cited in that data rather than a full picture of the strategy's performance in any other window.
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