WHEN Citadel, a Chicago-based hedge fund, was bleeding money during the global financial crisis, its boss, Ken Griffin, says CNBC, a broadcaster, parked a van outside its doors to chronicle its demise. Last year CNBC crowned Mr Griffin “King Ken”; in recent years he has done spectacularly well. Such abrupt twists of fortune appear dramatic. In fact, they are predictable. Novus, an analytics firm, has crunched numbers from Hedge Fund Research, a data provider, to suggest that hedge-fund performance shares a trait boringly familiar from other forms of investment: funds that do poorly then do better, and outperformers then underperform. In other words, past performance is not a guide to future returns (see chart).

The study filters data for two periods: from June 1st 2008 to February 28th 2009, when equity and credit markets were crashing, and from March 1st 2009 until the end of 2015. The funds are anonymised but show plenty of Citadel-like cases. One fund that lost 91% during the crash returned an annualised 42% afterwards. Conversely, among the 93 funds that finished in the top decile during the crash, only three remained star performers. Perhaps they were dazzlingly smart back then. Perhaps they were just lucky.

The study is not perfect. The database includes 928 firms that are still around; others may have closed their doors. But the dots also reveal that quite a few funds performed poorly during both periods, belying the claim that hedge funds optimise returns during good times and minimise damage when things turn nasty. That may explain why this year is expected to be the first since the crisis when investors pull more money out of hedge funds than they put into them.

Note: You can read a response from Citadel to this article by following this link.