Sample Fund
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Risk AnalysisHedgeweb Sample Fund Outperformer Ltd
| Category: |
Hedge Fund |
| Style: |
Directional/Opportunistic |
| Strategy: |
Global Macro |
| Substrategy: |
Commodities |
|
 |
Return Distribution |
| Compound Monthly ROR: |
1.22 % |
| Positive Months: |
30 |
|
Average Gain: |
3.11 % |
| Negative Months: |
18 |
|
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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