A range of just 16 percentage points separated the best and worst performing hedge funds in the first half of 2014, according to data from BlackRock.
Top decile funds in the asset manager’s universe returned 11%, compared to a 5% loss by those in the bottom section. In 2013, top funds made 15.5% whereas the worst performers lost 6.5%—a range of 22 percentage points.
One reason for this convergence may stem from where managers have been harvesting returns.
Research from eVestment showed in the first seven months of the year, 79.58% of the overall portfolio volatility within the 30 largest hedge funds in its data universe could be explained by systemic or market risk.
“The explanatory power of the systematic component increased by 15.28% since the last quarter of 2013,” the eVestment note said.
BlackRock said some relative value and event-driven managers had reaped the benefits of idiosyncratic risk drivers and reported the highest alpha in the sector.
The best event-driven managers were able to show they had produced half of their returns due to skill alone. However, it was in this sector that there was the smallest range between best and worst—10.3%—with the greatest gap between top and bottom in macro strategies at 16.7%.
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