Skip to main content

Table 4 Performance comparison for rolling window model for top 50% Sharpe ratio funds and their clones

From: Hedge fund replication using strategy specific factors

Rolling Window 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 9.71 4.08 3.67 1.93 4.85 6.84
Clone1 Convertible Arbitrage 26 3.39 2.76 3.49 1.94 0.96 0.34
Clone2 Convertible Arbitrage 26 8.26 5.01 3.91 2.21 2.08 0.20
Funds Dedicated Short Bias 6 7.13 4.01 18.93 8.65 0.45 0.39
Clone1 Dedicated Short Bias 6 0.59 5.87 15.99 6.16 0.00 0.43
CLone2 Dedicated Short Bias 6 8.88 4.53 15.20 5.46 0.68 0.40
Funds Emerging Markets 33 20.38 9.20 11.01 8.13 2.40 1.34
Clone1 Emerging Markets 33 9.66 11.77 10.94 8.98 0.91 0.43
CLone2 Emerging Markets 33 17.68 15.98 11.11 9.32 1.59 0.36
Funds Equity Market Neutral 38 8.61 3.86 4.33 2.19 2.87 3.08
Clone1 Equity Market Neutral 38 4.42 3.72 4.84 3.14 0.91 0.34
CLone2 Equity Market Neutral 38 5.58 3.87 4.77 3.08 1.22 0.42
Funds Event Driven 29 11.90 5.69 5.49 2.88 2.37 0.90
Clone1 Event Driven 29 5.60 3.47 6.01 3.88 1.00 0.39
CLone2 Event Driven 29 6.64 4.08 5.73 3.61 1.22 0.41
Funds Fixed Income Arbitrage 21 8.69 2.98 2.98 1.52 4.75 5.60
Clone1 Fixed Income Arbitrage 21 3.17 2.51 3.68 2.87 0.92 0.39
CLone2 Fixed Income Arbitrage 21 3.62 2.37 3.50 2.63 1.18 0.46
Funds Global Macro 31 15.26 6.16 10.89 5.54 1.51 0.43
Clone1 Global Macro 31 10.92 13.00 11.84 7.41 0.90 0.66
CLone2 Global Macro 31 15.79 14.46 11.53 7.11 1.35 0.72
Funds Long/Short Equity Hedge 249 14.03 7.53 9.47 4.78 1.54 0.44
Clone1 Long/Short Equity Hedge 249 9.32 5.94 10.25 5.34 0.95 0.41
CLone2 Long/Short Equity Hedge 249 10.11 5.03 9.77 5.28 1.15 0.47
Funds Managed Futures 105 13.49 6.36 14.08 7.63 1.09 0.53
Clone1 Managed Futures 105 14.62 10.44 14.05 8.13 1.05 0.53
CLone2 Managed Futures 105 11.67 8.75 13.59 8.21 0.92 0.51
Funds Multi Strategy 45 10.90 4.42 4.54 2.26 2.62 0.90
Clone1 Multi Strategy 45 4.63 3.04 4.44 2.11 1.05 0.41
CLone2 Multi Strategy 45 6.12 4.08 4.50 2.14 1.32 0.49
Funds Fund of Funds 161 9.10 2.47 3.94 1.67 2.50 0.69
Clone1 Fund of Funds 161 4.22 2.08 3.91 1.81 1.09 0.20
CLone2 Fund of Funds 161 6.08 3.46 3.90 1.82 1.52 0.20