Fewer hedge funds are at their high-water mark than at any time since its been keeping track, Hedge Fund Research said.
As of June 2012—HFR does not release a running high-water mark figure—just 43% of the funds reporting to its flagship hedge fund index were at or above their high-water marks over the trailing 12 months. That's the lowest portion of the industry since HFR started keeping track nine years ago (lower than the 56.4% figure at the end of 2008 and 50.4% in 2009).
HFR President Kenneth Heinz told Institutional Investor that the dismal figure was likely the result of the worst year for the top decile of hedge funds in history; in 2011, the best 10% of hedge funds returned an average of just 19.5%.
But Heinz said that more high-water marks are being breached as we speak. The third-quarter of last year was a dismal one, and this one is shaping up pretty well, and both mean that the number of hedge funds above the mark is likely to rise.