Profit vs Risk Analysis  [118 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 hedge fund. 

         cummulative percentage return  +399.31
         average monthly percentage gain      +1.54
          annualized sharp ratio         0.97
          annualized volatility      18.17
          alpha with  S&P 500  as a  benchmark SI*  +123.41
          beta with S&P 500 as a benchmark SI*        1.38
          percentage of months up       77.12
          percentage of proprietary  funds       89.73
          percentage change in  value of USD SI *    +16.98


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%).