Professor Bill Fung presented some interesting charts in Geneva showing the performance of various hedge fund replication strategies during the tumultuous summer months.
Unfortunately, it looks like hedge fund replicators replicated August pretty well. Here is the game tape:
But what’s particularly striking about this performance graph, aside from the drawdown, is the dispersion between replication strategies in August. Looks like they were all performing as planned in June and July – tracking pretty closely to the HFRX Index. Then August hits and wham, they all seem to go their separate ways.