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Table 1 Performance comparison for fixed weight model for all funds and their clones

From: Hedge fund replication using strategy specific factors

Fixed Weight Model - All Funds
  Categories Sample Size Annual Mean Return % Annual SD % Annual Sharpe
Mean SD Mean SD Mean SD
Funds Convertible Arbitrage 53 8.64 3.72 6.30 4.79 2.33 3.24
Clone1 Convertible Arbitrage 53 4.70 3.22 6.30 4.79 1.03 0.46
Clone2 Convertible Arbitrage 53 8.17 3.06 6.30 4.79 1.55 0.38
Funds Dedicated Short Bias 13 4.82 5.46 23.18 8.69 0.18 0.26
Clone1 Dedicated Short Bias 13 8.05 9.23 23.18 8.69 0.37 0.37
CLone2 Dedicated Short Bias 13 11.82 6.33 23.18 8.69 0.57 0.28
Funds Emerging Markets 67 16.80 7.99 18.78 11.89 1.23 0.99
Clone1 Emerging Markets 67 9.37 4.90 18.78 11.89 0.67 0.42
CLone2 Emerging Markets 67 17.04 8.14 18.78 11.89 1.09 0.43
Funds Equity Market Neutral 76 7.65 4.32 9.15 9.60 1.45 1.40
Clone1 Equity Market Neutral 76 9.44 10.41 9.15 9.60 1.12 0.39
CLone2 Equity Market Neutral 76 10.48 5.32 9.15 9.60 1.43 0.39
Funds Event Driven 59 10.68 5.42 8.56 4.23 1.44 0.76
Clone1 Event Driven 59 6.40 3.08 8.56 4.23 0.84 0.36
CLone2 Event Driven 59 7.79 4.69 8.56 4.23 0.90 0.21
Funds Fixed Income Arbitrage 42 8.52 2.79 6.69 4.13 2.14 2.55
Clone1 Fixed Income Arbitrage 42 6.62 3.48 6.69 4.13 1.17 0.45
CLone2 Fixed Income Arbitrage 42 7.88 4.14 6.69 4.13 1.31 0.36
Funds Global Macro 62 13.39 6.82 15.00 7.78 0.99 0.46
Clone1 Global Macro 62 13.86 10.15 15.00 7.78 1.00 0.48
CLone2 Global Macro 62 16.88 8.02 15.00 7.78 1.24 0.43
Funds Long/Short Equity Hedge 498 12.35 6.69 14.41 7.95 0.97 0.44
Clone1 Long/Short Equity Hedge 498 8.15 6.80 14.41 7.95 0.65 0.41
CLone2 Long/Short Equity Hedge 498 11.73 5.20 14.41 7.95 0.94 0.38
Funds Managed Futures 211 13.57 7.60 18.85 10.26 0.79 0.38
Clone1 Managed Futures 211 22.12 12.45 18.85 10.26 1.24 0.40
CLone2 Managed Futures 211 15.37 8.98 18.85 10.26 0.84 0.26
Funds Multi Strategy 91 9.35 5.75 9.42 7.34 1.35 0.85
Clone1 Multi Strategy 91 6.81 7.92 9.42 7.34 0.93 0.53
CLone2 Multi Strategy 91 10.42 8.99 9.42 7.34 1.25 0.55
Funds Fund of Funds 323 9.13 3.00 7.65 4.84 1.47 0.65
Clone1 Fund of Funds 323 6.76 3.29 7.65 4.84 1.05 0.41
CLone2 Fund of Funds 323 9.46 4.26 7.65 4.84 1.37 0.33