Sample Fund
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Risk AnalysisHedgeweb Sample Fund Outperformer Ltd
Category: |
Hedge Fund |
Style: |
Directional/Opportunistic |
Strategy: |
Global Macro |
Substrategy: |
Commodities |
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Return Distribution |
Compound Monthly ROR: |
1.22 % |
Positive Months: |
30 |
|
Average Gain: |
3.11 % |
Negative Months: |
18 |
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Average Loss: |
-1.81 % |
Highest Monthly Return: |
9 % (09.2005) |
Biggest Monthly Loss: |
-5 % (06.2004) |
Risk Reward Ratios last 36 months |
Standard Deviation1: |
9.95 % |
Max. Drawdown: |
8.74 % |
Sharpe Ratio1: |
0.80 |
Calmar Ratio: |
1.38 |
Alpha1: |
11.29 % |
Beta: |
0.15 |
1=Annualized. Risk Free Rate: 4%. A more detailed and extensive quantitative analysis can be found in the "Hedgeweb Investment Report" under "Downloads" (not available for every Fund).
Exposure |
Max. Leverage: |
1.5:1 |
Long: |
130.00% |
Short: |
40.00% |
Asset Allocation |
Equities: |
10.00% |
Bonds: |
10.00% |
Commodities: |
45.00% |
Derivatives: |
10.00% |
Currencies: |
10.00% |
Liquidity: |
10.00% |
High Yield: |
5 % |
Regional Allocation |
North America: |
10.00% |
South America: |
5.00% |
BRIC: |
5.00% |
Western Europe: |
20.00% |
Eastern Europe: |
10.00% |
Emerging Markets: |
10.00% |
Australia / NZ: |
25.00% |
Asia: |
5.00% |
Japan: |
5.00% |
South Africa: |
5 % |
* Performance: |
Net of Fees |
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