That quote was from my friend Eric Crittenden at Longboard way back in 2007. We were chatting about how a lot of the investable hedge fund indexes massive underperform the more often quoted, but also uninvestable cousins. I had just published an article for the Technical Analyst magazine that examined this chronic underperformance of the investable indexes. How have the indexes held up since?
Since March of 2003:
Investable Index: 0.98% per year
Non-Investable: 6.43% per year.
…and since our original conversation on email in 07:
Investable Index: -2.62% per year
Non-Investable: 2.28% per year.