11月のヘッジファンドの成績(一部英文)
Posted on Dec 19, 2001
11月30日付けCSFB/トレモント社ヘッジファンド・インデックスの数字です。マネッジド・フューチャーズの成績の下落が目立っています。
Data as of November 30, 2001
Visit website for thorough statistical analysis, sector commentaries, and constituent fund listings.
Index
NAV
Nov 01
YTD
1 Year
Avg Annl*
Std Dev**
Sharpe***
CSFB/Tremont Hedge Fund Index
238.33
0.54%
3.19%
5.93%
11.59%
9.36%
0.70
Convertible Arbitrage
230.17
0.71%
14.22%
14.72%
11.10%
4.82%
1.27
Dedicated Short Bias
93.78
-5.44%
-0.57%
0.28%
-0.81%
18.70%
-0.31
Emerging Markets
137.09
3.96%
0.97%
3.32%
4.06%
19.45%
-0.05
Dedicated Short Bias
239.49
0.82%
9.40%
10.79%
11.65%
3.29%
2.03
Event Driven
242.22
0.85%
10.32%
10.78%
11.81%
6.29%
1.08
Fixed Income Arbitrage
168.76
-0.27%
7.79%
8.14%
6.83%
4.13%
0.44
Global Macro
279.02
-0.37%
15.53%
21.36%
13.83%
13.45%
0.66
Long/Short Equity
269.56
1.10%
-4.83%
-1.58%
13.33%
12.06%
0.69
Managed Futures
143.58
-8.62%
-0.24%
7.49%
4.67%
11.64%
-0.03
* Index data begins January 1994.
** Monthly standard deviation annualized.
*** Calculated using 90 day T-bill.