JP Morgan expects dispersion of hedge fund returns to increase

Historical composite data unreliable for extrapolating returns

Crystal ball
Return assumptions indicate dispersion of returns will remain wide

Reliance upon historical hedge fund composite data as a building block for extrapolating future returns would have misled investor expectations by a wide margin over the past 11 years. For example, data from Hedge Fund Research for the diversified strategies category showing returns from inception through to the end of 2013 indicates a compound return of 6.93%, while the actual compound return for the 2004–13 period was 3.47%.

Since the introduction of absolute return/hedge fund strategy returns

To continue reading...