Data from the Credit Suisse/Tremont index on hedge funds’ performance — strategy by strategy — is already available online, gratis.
Here though, from the latest Lipper Hedge Fund Insight Report, is quite a striking visualisation of just which hedge fund strategies have suffered most from the financial crisis (click to enlarge):
The graph is rebased, of course, so it is showing relative rather than absolute performance. A graph with data for global stock and bond indices included would look rather different, with almost all of of these strategies outperforming on the way down and underperforming on the way up — doing in, other words, loosely what they should.
The most striking takeaway from the above though is seeing just how much equity market neutral — the apotheosis of quantitative complex, black box, computer driven (etc. etc.) hedge fund strategies — has suffered. More specifically, it’s interesting to see just how catastrophic an effect the Lehman collapse has had on it in particular.
The famed “quant crisis” of September 2007 doesn’t really register on here because actually, it wasn’t really a “quant” crisis at all, but a broad hedge fund crisis — almost all strategies suffered equally, thus, relative to each other, none sticks out on this graph.
Comparatively, the Lehman collapse really was a quant crisis. Equity market neutral strategies suffered a dramatic and catastrophic collapse in performance, reflecting the haywire the bankruptcy wrought on all kinds of historically stable price relationships and datapoints on which quant strategies depend.
