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Table 2 Performance comparison for rolling window model for all funds and their clones

From: Hedge fund replication using strategy specific factors

Rolling Window Model - All Funds
  Categories Sample Size Annual Mean Return % Annual SD % Annual Sharpe
Mean SD Mean SD Mean SD
Funds Convertible Arbitrage 53 8.91 4.62 5.54 4.56 3.02 5.09
Clone1 Convertible Arbitrage 53 2.45 4.24 5.66 4.54 0.59 0.58
Clone2 Convertible Arbitrage 53 10.11 4.95 6.17 4.51 1.88 0.47
Funds Dedicated Short Bias 13 3.37 4.84 18.98 8.31 0.17 0.39
Clone1 Dedicated Short Bias 13 −1.05 5.99 15.93 6.41 −0.16 0.47
CLone2 Dedicated Short Bias 13 7.58 3.57 14.92 5.77 0.58 0.30
Funds Emerging Markets 67 21.50 10.60 15.43 9.80 1.77 1.15
Clone1 Emerging Markets 67 9.53 9.20 14.64 8.81 0.73 0.40
CLone2 Emerging Markets 67 19.69 13.36 14.56 8.97 1.40 0.35
Funds Equity Market Neutral 76 7.16 5.20 7.66 7.14 1.75 2.46
Clone1 Equity Market Neutral 76 4.15 5.24 7.20 6.53 0.65 0.55
CLone2 Equity Market Neutral 76 7.69 5.55 7.41 7.30 1.18 0.47
Funds Event Driven 59 11.48 5.72 7.11 3.41 1.81 0.90
Clone1 Event Driven 59 5.86 4.58 7.75 4.30 0.86 0.52
CLone2 Event Driven 59 7.63 5.80 7.59 4.48 1.10 0.46
Funds Fixed Income Arbitrage 42 8.83 3.13 4.64 2.72 3.13 4.25
Clone1 Fixed Income Arbitrage 42 3.04 3.49 5.03 3.45 0.79 0.49
CLone2 Fixed Income Arbitrage 42 4.14 2.54 4.97 3.54 1.03 0.46
Funds Global Macro 62 13.05 6.37 13.38 6.18 1.10 0.54
Clone1 Global Macro 62 9.05 10.92 13.55 7.54 0.69 0.65
CLone2 Global Macro 62 14.83 11.88 13.34 7.32 1.16 0.64
Funds Long/Short Equity Hedge 498 12.90 7.63 12.24 6.74 1.19 0.54
Clone1 Long/Short Equity Hedge 498 9.94 8.40 12.47 6.75 0.83 0.47
CLone2 Long/Short Equity Hedge 498 11.21 6.72 11.92 6.71 1.05 0.48
Funds Managed Futures 211 12.21 7.08 17.43 9.75 0.81 0.49
Clone1 Managed Futures 211 16.01 13.39 17.78 10.74 0.92 0.49
CLone2 Managed Futures 211 14.38 12.72 17.23 10.68 0.87 0.51
Funds Multi Strategy 91 9.96 5.36 7.45 5.40 1.75 1.11
Clone1 Multi Strategy 91 4.02 8.51 8.32 6.33 0.77 0.67
CLone2 Multi Strategy 91 6.61 10.63 8.31 6.23 1.06 0.79
Funds Fund of Funds 323 9.32 3.49 6.20 4.25 1.88 0.84
Clone1 Fund of Funds 323 5.16 3.39 5.83 4.19 0.96 0.29
CLone2 Fund of Funds 323 8.38 6.47 5.82 4.11 1.45 0.29