Sources: S&P Dow Jones Indices, HFR as of 30th June, 2015.

That’s more like it; our replication strategy now performs very similarly to the average hedge fund.  And when it comes to the pattern of returns, are we replicating the hair-trigger market-timing and monthly swings of the masters of the universe? Yes, we are:

                    Sources: S&P Dow Jones Indices, HFR as of 30th June, 2015.

One conclusion to draw is that perhaps there is a market for a product offering a 50/50 split of U.S. bonds and global large-cap equities, at a highly remunerative cost structure.  The other conclusion, perhaps shared by those whose continued flight to low-cost index funds are making the headlines today, is that the average hedge fund looks like a fixed blend of cheap investments, at high cost.

This article was written by Tim Edwards, senior director, index investment strategy, S&P Dow Jones Indices.

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