Time Window Analysis [130 months]
The table time windows analysis
shows best, worst, and average performance of Iris in selected time intervals. The worst-case scenario is
often of particular interest since it supplies information by how
much the returns can deviate from the expected ones over short,
medium, and long periods of time. The chart histogram of annual returns presents the performance of Iris Investments over consecutive 12 months time periods since inception. Similarly, histogram of Iris correlations depicts the correlations of Iris Investments with major trading indicators as S&P 500.
Similarly to mutual funds, hedge funds should be evaluated for both absolute an relative returns. An
experienced investor usually has an intimate knowledge of stock
markets. Therefore, the comparison of Iris
performance with a market as a whole might give a valuable
information to an investor how to compose his investment
portfolio and when to invest or disinvest from Iris. To this aim,
we propose to look at alpha/beta annual histograms.
The table below shows an evolution of Sharp's ratio, alpha, and beta of Iris Investments returns over the last 12, 36, and 60 months periods. The net results, that is after the costs, can be found in NI.
||last 12 months
|| last 36 months
||last 60 months
| Sharp ratio