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Table 6 Performance comparison for rolling window model for top 50% return funds and their clones

From: Hedge fund replication using strategy specific factors

Rolling Window 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 12.10 4.47 7.14 5.96 3.71 5.91
Clone1 Convertible Arbitrage 26 3.31 5.53 6.87 5.90 0.75 0.63
Clone2 Convertible Arbitrage 26 10.51 5.65 7.32 5.69 1.77 0.60
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 27.85 10.74 18.73 11.68 2.01 1.27
Clone1 Emerging Markets 33 11.25 11.83 17.10 9.89 0.72 0.48
CLone2 Emerging Markets 33 24.31 15.91 17.16 10.25 1.45 0.38
Funds Equity Market Neutral 38 10.13 5.32 8.26 7.37 1.81 1.15
Clone1 Equity Market Neutral 38 5.04 4.91 6.83 3.83 0.79 0.52
CLone2 Equity Market Neutral 38 7.29 5.11 6.91 3.99 1.09 0.42
Funds Event Driven 29 15.98 4.59 8.65 3.18 1.98 0.56
Clone1 Event Driven 29 7.76 5.41 8.56 3.76 0.96 0.58
CLone2 Event Driven 29 9.39 4.08 8.53 3.83 1.18 0.38
Funds Fixed Income Arbitrage 21 10.72 3.07 5.33 3.36 3.49 4.44
Clone1 Fixed Income Arbitrage 21 3.36 4.31 5.73 3.72 0.81 0.53
CLone2 Fixed Income Arbitrage 21 4.51 2.29 5.63 3.96 1.03 0.45
Funds Global Macro 31 17.05 6.36 16.15 6.45 1.19 0.54
Clone1 Global Macro 31 9.91 13.62 15.97 8.81 0.64 0.67
CLone2 Global Macro 31 16.70 15.13 15.75 8.50 1.08 0.67
Funds Long/Short Equity Hedge 249 16.91 8.37 14.57 7.48 1.30 0.52
Clone1 Long/Short Equity Hedge 249 11.71 9.31 14.01 7.49 0.88 0.42
CLone2 Long/Short Equity Hedge 249 12.36 6.98 13.64 7.35 1.02 0.44
Funds Managed Futures 105 17.15 6.61 22.20 10.57 0.91 0.51
Clone1 Managed Futures 105 21.55 15.51 22.78 11.80 1.00 0.51
CLone2 Managed Futures 105 18.51 14.89 22.32 11.86 0.87 0.49
Funds Multi Strategy 45 13.58 4.60 8.94 6.30 1.97 0.97
Clone1 Multi Strategy 45 7.11 6.26 8.37 6.04 0.95 0.46
CLone2 Multi Strategy 45 10.59 6.80 8.37 6.05 1.37 0.45
Funds Fund of Funds 161 11.28 3.61 7.51 4.55 1.85 0.83
Clone1 Fund of Funds 161 6.21 4.00 6.88 4.20 0.97 0.29
CLone2 Fund of Funds 161 10.29 7.03 6.92 4.14 1.49 0.31