At first, the performance of all strategies on the Sharpe ratio, were ranked in ascending order, in the different periods (Table 11).

Table 11. Sharpe ratio for the various strategies and benchmark S&P 500 in the different periods.

Period Whole Period During Crisis After Crisis
Strategy/Rank+ SR Rank SR Rank SR Rank
Convertible Arbitrage 0.131225 7 −0.34792 5 0.459399 9
Short Bias −0.18672 1 0.201479 11 −0.30595 1
Emerging Markets 0.113375 5 −0.28964 7 0.283405 6
Equity Market Neutral −0.04096 2 −0.22519 8 0.149315 3
Event Driven 0.158962 9 −0.4317 2 0.276549 5
Fixed Income Arbitrage 0.128655 6 −0.39652 4 0.751279 11
Global Macro 0.262124 11 0.067842 9 0.378203 8
Long/Short Equity 0.134646 8 −0.31168 6 0.276392 4
Managed Futures 0.054348 3 0.169392 10 0.031262 2
Multi-Strategy 0.242318 10 −0.42212 3 0.647783 10
SP500 0.08658 4 −0.51418 1 0.301515 7

Over the whole period, seven strategies had done better than the benchmark S and P 500 (Convertible Arbitrage, Emerging Markets, Event Driven, Fixed Income Arbitrage, Global Macro, Long/Short Equity and Multi Strategy); in the crisis period, all ten strategies did better than the benchmark; finally, after the crisis period, four strategies had done better than the benchmark S and P 500 (Convertible Arbitrage, Fixed Income Arbitrage, Global Macro and Multi Strategy). Of these strategies, the Global Macro and the Multi Strategy were able to outperform the S and P 500, over the whole period.

Unlike Stoforos et al. (2016), the findings of the study showed that the mean risk-adjusted return of each strategy was above the mean risk-adjusted return of the benchmark, during the financial crisis. Every strategy was able to outperform the market. This meant that investing in hedge funds rather than the broad equity market (S and P 500) could have saved investors from higher losses.

Although many previous studies have used the Sharpe ratio to evaluate performance (Ackermann et al. (1999); Liang and Kat (2001)), Eling and Schuhmacher (2007), criticised the Sharpe ratio as being inadequate to explain hedge fund performance, as it does not account for hedge funds' special characteristics. This was also stated by Brooks and Kat (2002), Amin and Kat (2003), Mahdavi (2004) and Murguia and Umemoto (2004), on the basis that Hedge fund returns typically have asymmetric distributions.