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 |