Bogleheads Hedge Fund Contest benchmarks
Beginning in 2018 the contest managers began constructing risk adjusted benchmarks to help measure contestant performance. The following table provides data:
Contest Benchmark returns
|Year||Benchmark return||Contestant average|
A majority of contestants have failed to match benchmark returns. In the table below, the first two columns provide the percentage of contestants who have out performed and under performed the benchmark. The following two columns breakdown the average returns of each group.
|Year||Out performers||Under performers||Out performer average return||Under performer average return|
While not a benchmark, we can compare contestant returns with the Vanguard Market Neutral Fund. It is important to remember that the contest is price-only, and does not include dividends. The market neutral fund receives dividends on its long positions, but must pay out dividends on the shorted stocks which it has borrowed from lenders.
Contest returns vs. mutual fund returns
|Year||Contest average return||Fund annual return|