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
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 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.




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