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Financial Innovation

Table 3 Performance comparison for fixed weight model for top 50% Sharpe ratio funds and their clones

From: Hedge fund replication using strategy specific factors

Fixed Weight Model - Top 50% Sharpe Ratios Funds

 

Categories

Sample Size

Annual Mean Return %

Annual SD %

Annual Sharpe

Mean

SD

Mean

SD

Mean

SD

Funds

Convertible Arbitrage

26

9.56

3.60

4.13

2.13

3.68

4.24

Clone1

Convertible Arbitrage

26

4.68

2.05

4.13

2.13

1.25

0.31

Clone2

Convertible Arbitrage

26

6.50

2.70

4.13

2.13

1.69

0.26

Funds

Dedicated Short Bias

6

9.50

3.90

24.26

8.16

0.41

0.15

Clone1

Dedicated Short Bias

6

13.34

11.65

24.26

8.16

0.60

0.46

CLone2

Dedicated Short Bias

6

13.82

8.45

24.26

8.16

0.62

0.33

Funds

Emerging Markets

33

17.98

6.99

13.09

8.57

1.82

1.12

Clone1

Emerging Markets

33

10.00

4.68

13.09

8.57

0.95

0.41

CLone2

Emerging Markets

33

15.81

8.00

13.09

8.57

1.38

0.37

Funds

Equity Market Neutral

38

8.89

3.75

4.92

2.41

2.31

1.54

Clone1

Equity Market Neutral

38

6.00

3.30

4.92

2.41

1.26

0.32

CLone2

Equity Market Neutral

38

7.68

3.49

4.92

2.41

1.63

0.28

Funds

Event Driven

29

11.48

5.59

6.51

3.58

1.95

0.73

Clone1

Event Driven

29

6.09

2.63

6.51

3.58

1.04

0.34

CLone2

Event Driven

29

7.78

3.26

6.51

3.58

1.31

0.30

Funds

Fixed Income Arbitrage

21

8.93

2.66

3.79

1.73

3.37

3.17

Clone1

Fixed Income Arbitrage

21

5.65

3.00

3.79

1.73

1.47

0.28

CLone2

Fixed Income Arbitrage

21

5.85

2.88

3.79

1.73

1.53

0.20

Funds

Global Macro

31

15.51

6.88

12.16

6.50

1.35

0.37

Clone1

Global Macro

31

11.78

6.30

12.16

6.50

1.02

0.37

CLone2

Global Macro

31

14.98

7.33

12.16

6.50

1.31

0.37

Funds

Long/Short Equity Hedge

249

13.85

6.85

11.13

5.70

1.30

0.35

Clone1

Long/Short Equity Hedge

249

9.26

6.99

11.13

5.70

0.85

0.36

CLone2

Long/Short Equity Hedge

249

11.54

4.94

11.13

5.70

1.13

0.31

Funds

Managed Futures

105

15.11

7.46

15.60

8.29

1.04

0.37

Clone1

Managed Futures

105

18.66

11.35

15.60

8.29

1.27

0.43

CLone2

Managed Futures

105

13.35

7.81

15.60

8.29

0.87

0.24

Funds

Multi Strategy

45

10.77

4.73

5.60

2.80

2.03

0.58

Clone1

Multi Strategy

45

6.49

4.18

5.60

2.80

1.18

0.31

CLone2

Multi Strategy

45

8.38

5.51

5.60

2.80

1.47

0.28

Funds

Fund of Funds

161

9.12

2.66

4.86

1.85

1.98

0.50

Clone1

Fund of Funds

161

6.20

2.94

4.86

1.85

1.28

0.26

CLone2

Fund of Funds

161

7.52

3.30

4.86

1.85

1.54

0.20

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