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Financial Innovation

Table 5 Performance comparison for fixed weight model for top 50% return funds and their clones

From: Hedge fund replication using strategy specific factors

Fixed Weight Model - Top 50% Return Funds

 

Categories

Sample Size

Annual Mean Return %

Annual SD %

Annual Sharpe

Mean

SD

Mean

SD

Mean

SD

Funds

Convertible Arbitrage

26

11.32

3.32

7.91

6.20

2.80

3.83

Clone1

Convertible Arbitrage

26

4.70

4.37

7.91

6.20

0.96

0.57

Clone2

Convertible Arbitrage

26

8.49

3.27

7.91

6.20

1.39

0.47

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

22.55

7.29

22.94

14.20

1.43

1.12

Clone1

Emerging Markets

33

12.24

4.78

22.94

14.20

0.73

0.41

CLone2

Emerging Markets

33

21.41

8.96

22.94

14.20

1.14

0.42

Funds

Equity Market Neutral

38

10.53

4.19

10.40

11.77

1.69

1.17

Clone1

Equity Market Neutral

38

12.09

13.46

10.40

11.77

1.27

0.36

CLone2

Equity Market Neutral

38

11.11

5.79

10.40

11.77

1.39

0.44

Funds

Event Driven

29

14.92

4.30

10.44

4.20

1.57

0.51

Clone1

Event Driven

29

7.78

3.49

10.44

4.20

0.83

0.39

CLone2

Event Driven

29

9.66

4.44

10.44

4.20

0.93

0.23

Funds

Fixed Income Arbitrage

21

10.67

2.27

7.04

4.75

2.65

3.02

Clone1

Fixed Income Arbitrage

21

7.79

4.00

7.04

4.75

1.27

0.41

CLone2

Fixed Income Arbitrage

21

9.04

4.89

7.04

4.75

1.39

0.27

Funds

Global Macro

31

18.24

6.27

18.57

8.65

1.12

0.47

Clone1

Global Macro

31

15.72

12.52

18.57

8.65

0.91

0.49

CLone2

Global Macro

31

18.85

8.80

18.57

8.65

1.13

0.42

Funds

Long/Short Equity Hedge

249

17.00

6.26

17.36

8.77

1.10

0.39

Clone1

Long/Short Equity Hedge

249

10.83

7.88

17.36

8.77

0.72

0.43

CLone2

Long/Short Equity Hedge

249

13.67

5.82

17.36

8.77

0.88

0.35

Funds

Managed Futures

105

19.18

6.78

24.26

10.97

0.89

0.39

Clone1

Managed Futures

105

27.01

13.84

24.26

10.97

1.17

0.42

CLone2

Managed Futures

105

19.91

9.49

24.26

10.97

0.86

0.25

Funds

Multi Strategy

45

13.51

4.52

10.99

8.85

1.59

0.71

Clone1

Multi Strategy

45

9.35

10.15

10.99

8.85

1.07

0.50

CLone2

Multi Strategy

45

14.67

9.58

10.99

8.85

1.44

0.38

Funds

Fund of Funds

161

11.26

2.69

9.10

5.19

1.52

0.68

Clone1

Fund of Funds

161

8.04

3.84

9.10

5.19

1.06

0.47

CLone2

Fund of Funds

161

11.31

4.56

9.10

5.19

1.38

0.38

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