Profit vs Risk Analysis  [130 months]

Although risk management has been a well-ploughed field in financial modeling for several decades, traditional risk management tools such as mean-variance analysis  do not capture all of the risk exposures of hedge-fund investments. The academic risk tools should be always complemented with good old-fashioned common sense parameters. One of them is  the percentage of  managers' own money (proprietary funds)  invested in the hedge fund. 

 
         cummulative percentage return  +439.68
         average monthly percentage gain      +1.46
          annualized sharp ratio         0.97
          annualized volatility      17.34
          alpha with  S&P 500  as a  benchmark SI*    +30.41
          beta with S&P 500 as a benchmark SI*        1.30
          percentage of months up       77.69
          percentage of proprietary  funds       89.57
          percentage change in  value of USD SI *    +11.03

 

SI=since inception

USD index is a measure  of the value of USD relative to a basket of foreign currencies: EUR (57,6%), JPY (13,6%), GBP (11,9%), CAD (9,1%), SEK (4,2%), CHF (3,6%).