The Ivy Portfolio by Faber Mebane T. Richardson Eric W

Author:Faber, Mebane T., Richardson, Eric W.
Language: eng
Format: epub
Publisher: John Wiley & Sons, Inc.
Published: 2010-05-11T04:00:00+00:00

Comparing Credit Suisse/Tremont

The Credit Suisse/Tremont Hedge Fund Index is asset-weighted, and all funds must have a minimum of $50 million in assets under management, a minimum one-year track record, and current audited financial statements. There are approximately 5,000 funds in the database, 500 funds in the index, no FOFs are included, and performance is net of all fees.Table 6.5 details the performance of the index along with all of the subindexes. A quick glance shows how difficult shorting is with negative annual returns. Multistrategy, global macro, event driven, and market neutral have the best risk-adjusted returns.

Table 6.4 HFR Returns for the Calendar Year Ending December 31, 2008

Source: Fund Research, © 2008, www.hedgefundresearch.com.

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