This study examines the effects of systemic risk on global hedge fund returns. We consider systemic risk as a conditional information variable to predict the underlying exposures to various asset market returns and risk factors. This study examines a proxy for global systemic risk employed by investment professionals known as the Treasury/Eurodollar (TED) spread. The findings reveal that increases in systemic risk causes some hedge fund investment styles to dynamically reduce their equity and stock momentum exposures while others increase their exposures to investment grade bonds and commodities. The information content of systemic risk via the TED spread assists us in better understanding the behaviour of global hedge fund returns.