Performance of hedge fund strategies in bull and bear markets

Abstract: Hedge funds use a wide variety of investment styles, although many people have the perception that they are a relatively homogenous group with similar strategies to generate returns. Understanding the differences in the risk and return structure of hedge fund strategies is crucial to making a good investment decision. This paper examines the performance of 13 hedge fund strategies in the Credit Suisse Hedge Fund Index, during a 20-years long period ranging from 1995 to 2015. In contrast to previous research, our study encompasses performance analysis on multiple long-term bull and bear stock market periods. Our study provides potential hedge fund investors with valuable information about the best performing strategies in different market conditions. The results show that returns vary greatly between different strategies and time periods.