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Hedge Fund Database
Morgan Hedge Fund Database
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Morgan Hedge Fund Rating

The Fund Rating is published in cooperation with TRUE ALPHA ADVISORS LLC and is based on their proprietary risk/reward/potential ratio.

Requirements:

  • Minimum 24 months Track Record
  • Minimum $5m AUM

Key points:

  • Independent
  • Neutral
  • Purely quantitative, no 'soft' factors
  • Focus on absolute return/risk, no benchmarking
  • Same methodology for every fund
In order to avoid short term distortions, the minimum performance history is 24 months before a rating is awarded. Based on the calculated ratio Morgan Hedge awards 0-5 stars.

Methodology
The ratio is weighted and takes into account the last 36 months as well as the complete performance history since inception. Factors included in the calculation are leverage, absolute return, historical risk and future anticipated potential/risk.

The rating predominantly tries to identify funds that have historically produced exceptional risk-adjusted absolute returns. A high rating denotes a fund that has achieved outstanding results while limiting risk. The ratio is very different from other common ratios and is not highly correlated to them.

Some strategies rely more on leverage than others. The ratio does not discriminate against such funds, although they may have slightly lower ratings. It is worth remembering that either illiquid assets or leverage are the most common causes for heavy losses or the complete demise of a fund.

Limitations
We rely on the data provided by the funds when calculating the rating. Any changes to the data can have a potentially profound effect on the overall rating.

The rating is based on purely quantitative methods.

If a fund trades in illiquid assets where no mark to market valuation is available, this and other ratios may not reflect the true risk/reward/potential of the fund.

Although the rating aims to anticipate the direction of future results, it is based on historic figures and is therefore -like any other ratio- unable to predict future outcomes.

Disclaimer
The rating is calculated using the same mathematical formula for all funds and is applied neutrally and independently. It is based on TRUE ALPHA ADVISORS LLC long term experience and we believe it to be accurate in the historical description of a fund's performance. A high rating is no guarantee for positive future results. Investors should not rely upon this measure when making investment decisions.Under certain conditions the rating may be distorted, imperfect or inaccurate. Morgan Hedge does not advise anyone to act upon this rating and we exclude any liablity for actions taken based on this rating. All ratings and ratios should be viewed in context with other ratios, the strategy or other important criteria that might influence the performance. In particular, it does not replace the need for due dilligence on behalf of the investor.

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