Drawing on data compiled for the recently-released 2015 Preqin Alternative Assets Performance Monitor, Preqin has created league tables of hedge funds that have most consistently delivered strong, stable performance. The 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 June 2010 – June 2015. Seven top-level strategies are represented – Equity, Macro, Event Driven, Credit, Relative Value, Multi-Strategy, and CTA – with all of the top 10 equity strategies funds scoring over 90 out of 100 across all metrics.
To identify the most consistent top performing hedge funds, we rank qualifying funds (i.e. funds with a track record of at least three years and five years accordingly) using a percentile rank methodology over each of the following metrics: annualised return, volatility, Sharpe ratio and Sortino ratio during the respective time period. The score of each fund was then derived through an average of the four percentile values and solely used to determine fund consistency (i.e. consistency score). 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.
