11.10.2008

Best and Worst Months for Hedge Fund Returns

December is the best month for hedge fund performance since 1997. Between 1997 and 2008, the Barclay Hedge Fund Index averaged 2.14% in December compared with a .95% average monthly gain over the time period. The worst month for hedge fund returns was August, with an average return of -.14%, the only month with a negative return.

The best season for hedge fund returns has been the fall, averaging 4.64%. The worst season for hedge fund returns has been the summer, averaging only .84%.

Average Hedge Fund Returns by Season/Quarter 1997-2008
Winter (Q1) Spring(Q2) Summer (Q3) Fall (Q4)
3.16% 2.89% .84% 21.4%

Average Monthly Hedge Fund Returns 1997-2008
J F M A M J J A S O N D
1.2% 1.2% 0.7% 1.1% 0.8% 1.0% 0.3% -0.1% 0.7% 0.9% 1.4% 2.1%

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