Bogleheads Hedge Fund Contest benchmarks

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

YearBenchmark returnContestant average
20199.39%8.10%
20184.84%4.46%

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.

YearOut performersUnder performersOut performer average returnUnder performer average return
201939%61%34.19%-8.67%
201846%54%26.83%-14.37%

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

YearContest average returnFund annual return
20198.23%-9.57%
20184.46%0.59%
2017-3.41%-4.89%
2016N/A2.62%
2015-0.40%5.41%
2014-3.67%4.26%
2013-3.53%8.59%
20125.63%-1.50%
2011-0.36%7.80%
20101.22%-1.03%
200923.49%-11.38%

2019 charts

2018 charts