Consequences of the COVID-19 crisis on the risk-adjusted performance of hedge funds

Using hedge fund indexes from different databases, this thesis analyses the consequences of the COVID-19 crisis on the risk-adjusted performance of hedge funds by comparing each index’s performance, risk measures, and risk-reward ratios to those of the overall market. Although the market generated better returns than hedge fund indexes between January 2019 and June 2022, evidence shows that hedge funds’ performance remained more stable than the overall market’s performance and most hedge funds’ indexes outperformed the market in terms of risk-adjusted returns. Finally, including specific hedge fund indexes in a diversified portfolio improved its risk-adjusted performance between January 2019 and June 2022.