The SAC Capital manager who allegedly gave one of his traders female hormone tablets in an attempt to make his trading style less aggressive, may have been on to something. According to data provider Hedge Fund Research, hedge funds managed by women have substantially outperformed the average hedge fund over the past three years and five years, while limiting losses during 2008.

The HFRX diversity index, which tracks funds that are managed by women and minorities, has returned 7.6% annualised over the past three years and 9.1% annualised over five years. In contrast, the HFRX global hedge fund index has lost 2.04% annualised over three years and gained 0.46% annualised over five years.