Hedge Funds Beat Stock Market in 2001

January 15, 2002 (PLANSPONSOR.com) - Driven by opportunistic strategies, the CSFB/Tremont Hedge Fund Index increased by 1.2% over the month of December, bringing the 2001 return to 4.4%.

While returns were more or less in line with the equity markets in December, hedge funds outperformed the major indices over the year.


  • the Dow Jones Industrial Index, which fell by 7.1% over the year
  • the MSCI EAFE Index, which plummeted by 22.6%
  • the S&P 500, which lost 13%
  • the Nasdaq Composite, which was down 21.1%.

With a moderate correlation, of 0.45 to the S&P 500, and a volatility of around 9%, hedge funds proved a good diversification tool over 2001, according to CSFB/Tremont.

The correlation is a value which indicates how much of a change in one variable is explained by a change in another. The volatility is the rate at which the price moved up and down.

Over the month, emerging markets funds outperformed other strategies with returns of 4.8%, after posting a 4% increase in November.

The Global Macro Index was the clear winner in annual terms, up 18.4%.

The index is calculated monthly and includes the results of 369 funds, drawn from more than 2600 hedge funds, both US and offshore.

Funds must have at least US $10 million under management and an audited financial statement. The Index does not include funds of funds.