Distressed hedge funds continue to lead in 2012

November hedge fund data from EHDEC-Risk, released Tuesday, show that distressed securities hedge funds led all strategies through the first 11 months of 2012. The 10.7% year-to-date return for distressed funds was followed by convertible arbitrage (8.3%), relative value funds (8.1%) and fixed-income arbitrage funds (8%). According to EDHEC, the annualized Sharpe ratio for distressed securities hedge funds is 1.01 since January 2001. These risk-adjusted returns are more than 1.6 times higher than the next-closest strategy: event-driven funds, whose annualized Sharpe ratio was 0.61 through November.

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