3-year Sharpe Ratio: hedge funds vs. S&P 500 PR Index
0.90
0.80
0.70
0.60
0.50
0.40
0.30
0.20
0.10
0.00
All hedge funds
Equity strategies
Macro strategies
Event-driven strategies
Credit strategies
Relative value strategies
Multi-strategy
S&P 500 PR Index
0.44
0.37
0.73
0.05
0.27
0.80
0.28
0.46
Sharpe Ratio (RFR = 2.0%)
Source: Preqin Pro. Data as of September 2020