The Topography of Hedge Fund Returns 2006

Abstract

In this series of plots, we review the opportunity sets of 9 hedge fund strategies, as well as funds-of hedge funds, over the past 17 years. The data includes all managers that existed for all 12 months of each calendar year in the HFR database. In these plots, we view the topography of the distributions - higher mountain peaks indicate more return concentration as a percentage of hedge funds each year. We also plot the average return each year on the terrain. We are currently in an era of compressed returns (high peaked means in 2005, slightly more dispersion in 2006).

Keywords: hedge fund, asset allocation, risk

JEL Classification: G00