Profit vs Risk Analysis [143 months]
Although risk management has been a well-ploughed field in financial modeling for several decades, traditional risk management tools such as mean-variance analysis do not capture all of the risk exposures of hedge-fund investments. The academic risk tools should be always complemented with good old-fashioned common sense parameters. One of them is the percentage of managers' own money (proprietary funds) invested in the financial pool.
cummulative percentage return | +458.72 |
average monthly percentage gain | +1.35 |
annualized sharp ratio | 0.93 |
annualized volatility | 16.61 |
alpha with S&P 500 as a benchmark SI* | +107.77 |
beta with S&P 500 as a benchmark SI* | 1.19 |
percentage of months up | 76.22 |
percentage of proprietary funds | 100 |
percentage change in value of USD SI * | +27.06 |
SI=since inception
USD index is a measure of the value of USD relative to a basket of foreign currencies: EUR (57,6%), JPY (13,6%), GBP (11,9%), CAD (9,1%), SEK (4,2%), CHF (3,6%).