The work studies issues of the investment strategy selection that correspond to various stages of the global economic development applicable under Russian economical conditions. The research is based upon the fact of the change of the growing trend to the downward one that is accompanied by the high volatility. In such circumstances, the selection of the investment strategy aimed at obtaining from the correct distribution of financial assets, rather than from the growth quotations of the whole risk assets market. The work shows that effectiveness of global hedge fund strategies falls down from crisis to crisis. As for the Russian market, volatility game strategies (CTA) and special events (even driven) are still attractive. At this, effectiveness of transactions on the bond market plummets due to recycling of the CBR REPO’s currency funds. Results of the research are applicable in the field of big private (family office) and institutional investors’ (SWF, Pension Funds, Insurance) asset management that can invest funds to hedge funds with their mandate or have internal subdivisions that invest upon hedge funds strategies. The practical conclusion of the work is that it is not worth paying the high commissions “2/20” as hedge funds as a class have ceased to show profitability and market risk protection adequate to them. Thus, big institutional or private portfolio managers should decrease allocation for this type of assets and/or modify their methods of selecting funds that can consistently earn .