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Indices

Strategy Return Map

Strategies deployed by managers vary significantly under different macro environments. The following colour map displays the various strategic returns since 2000 which is useful for visualising hedge fund strategies versus returns over the years.

2000
 CTA/Managed Futures  

21.28
 Long Short Equities  

19.32
 Relative Value  

16.83
 Arbitrage  

16.43
 Multi-Strategy  

16.17
 Macro  

14.83
 Event Driven  

12.48
 Distressed Debt  

11.34
 Fixed Income  

10.86
2001
 Distressed Debt  

16.07
 Event Driven  

16.07
 Fixed Income  

14.75
 Relative Value  

13.37
 Multi-Strategy  

12.72
 Macro  

10.40
 Arbitrage  

10.21
 CTA/Managed Futures  

9.85
 Long Short Equities  

9.64
2002
 CTA/Managed Futures  

21.66
 Macro  

10.74
 Multi-Strategy  

10.68
 Fixed Income  

9.98
 Relative Value  

9.31
 Arbitrage  

8.28
 Distressed Debt  

6.73
 Event Driven  

3.07
 Long Short Equities  

0.95
2003
 Distressed Debt  

33.97
 Event Driven  

23.78
 Long Short Equities  

23.77
 Relative Value  

22.71
 Multi-Strategy  

21.66
 Macro  

21.12
 CTA/Managed Futures  

17.21
 Fixed Income  

16.55
 Arbitrage  

11.20
2004
 Distressed Debt  

21.13
 Event Driven  

15.10
 Multi-Strategy  

12.56
 Long Short Equities  

10.87
 Fixed Income  

9.23
 Relative Value  

8.96
 CTA/Managed Futures  

7.39
 Macro  

6.68
 Arbitrage  

5.32
2005
 Long Short Equities  

13.80
 Multi-Strategy  

11.76
 Distressed Debt  

11.37
 Event Driven  

10.73
 Macro  

10.45
 CTA/Managed Futures  

8.55
 Relative Value  

6.97
 Fixed Income  

6.43
 Arbitrage  

3.88
2006
 Event Driven  

17.70
 Multi-Strategy  

17.05
 Distressed Debt  

16.77
 Long Short Equities  

15.22
 Relative Value  

12.87
 Arbitrage  

11.49
 CTA/Managed Futures  

10.64
 Macro  

10.05
 Fixed Income  

8.74
2007
 Multi-Strategy  

15.28
 CTA/Managed Futures  

15.04
 Long Short Equities  

14.58
 Macro  

14.43
 Relative Value  

12.54
 Event Driven  

10.34
 Distressed Debt  

9.69
 Arbitrage  

8.64
 Fixed Income  

5.02
2008
 CTA/Managed Futures  

19.27
 Macro  

3.25
 Relative Value  

-7.04
 Arbitrage  

-9.17
 Multi-Strategy  

-9.54
 Fixed Income  

-11.40
 Long Short Equities  

-19.32
 Event Driven  

-20.54
 Distressed Debt  

-25.32
2009
 Event Driven  

39.07
 Distressed Debt  

35.66
 Long Short Equities  

26.01
 Arbitrage  

24.46
 Fixed Income  

23.86
 Relative Value  

22.07
 Multi-Strategy  

20.77
 Macro  

14.98
 CTA/Managed Futures  

6.50
2010
 Distressed Debt  

22.77
 Event Driven  

15.23
 CTA/Managed Futures  

13.19
 Fixed Income  

12.60
 Relative Value  

12.24
 Long Short Equities  

10.88
 Multi-Strategy  

9.37
 Arbitrage  

9.28
 Macro  

7.77
2011
 Fixed Income  

3.80
 CTA/Managed Futures  

1.88
 Arbitrage  

1.28
 Distressed Debt  

1.07
 Relative Value  

0.51
 Macro  

0.05
 Multi-Strategy  

-1.49
 Event Driven  

-4.26
 Long Short Equities  

-6.11
2012
 Distressed Debt  

14.29
 Fixed Income  

11.26
 Event Driven  

10.34
 Relative Value  

10.22
 Long Short Equities  

8.51
 Multi-Strategy  

7.73
 Arbitrage  

7.20
 Macro  

4.04
 CTA/Managed Futures  

2.33
2013
 Distressed Debt  

15.86
 Long Short Equities  

15.72
 Event Driven  

13.42
 Fixed Income  

8.81
 Arbitrage  

7.34
 Multi-Strategy  

7.31
 Relative Value  

6.27
 Macro  

3.75
 CTA/Managed Futures  

-0.13
2014
 CTA/Managed Futures  

9.29
 Multi-Strategy  

4.18
 Macro  

3.72
 Long Short Equities  

3.44
 Fixed Income  

3.21
 Arbitrage  

2.79
 Relative Value  

2.50
 Event Driven  

2.21
 Distressed Debt  

1.13
2015
 Long Short Equities  

5.99
 Event Driven  

3.68
 Multi-Strategy  

3.52
 Arbitrage  

2.73
 CTA/Managed Futures  

2.73
 Macro  

2.66
 Relative Value  

2.54
 Fixed Income  

2.38
 Distressed Debt  

0.79