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|
|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|
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%).