Aulexo was recently featured in an article by Stuart Fieldhouse in The Hedge Fund Journal. The piece focuses on the performance of nine hedge fund strategies over the course of 2014, using some of Aulexo’s analytical capabilities to build a more insightful picture of the hedge funds universe than was previously available.
It is now possible to use the same processes we used to support the article to analyse your own fund data for free. This should help to provide some indication of how selected funds performed against the industry and its sub-strategies.
We have set up a fully interactive version of the same model we used to support the article. Just add your own fund data to generate a unique report.
Statistics |
Mean |
Lower Quartile |
Median |
Upper Quartile |
IQ Range |
Standard Deviation |
Skewness |
Kurtosis |
Arbitrage |
0.020 |
-0.015 |
0.020 |
0.059 |
0.074 |
0.083 |
0.121 |
4.914 |
Distressed Debt |
0.046 |
-0.016 |
0.045 |
0.099 |
0.115 |
0.107 |
0.592 |
5.130 |
Event Driven |
0.030 |
-0.009 |
0.034 |
0.091 |
0.099 |
0.113 |
-0.370 |
4.629 |
Fixed Income |
0.050 |
0.009 |
0.039 |
0.073 |
0.064 |
0.089 |
7.948 |
114.058 |
Long Short Equities |
0.066 |
0.001 |
0.054 |
0.109 |
0.108 |
0.167 |
7.943 |
150.387 |
Macro |
0.032 |
-0.025 |
0.028 |
0.075 |
0.100 |
0.125 |
4.571 |
47.475 |
Managed Futures |
0.070 |
-0.030 |
0.062 |
0.146 |
0.176 |
0.187 |
4.562 |
63.347 |
Multi-Strategy |
0.063 |
0.006 |
0.055 |
0.101 |
0.095 |
0.149 |
8.103 |
124.527 |
Relative Value |
0.039 |
-0.031 |
0.036 |
0.079 |
0.109 |
0.123 |
1.748 |
9.878 |
Probabilities |
P < 0% |
P > 0% |
P < 2% |
P > 2% |
P < S&P 500 |
P > S&P 500 |
View P of your fund
|
Arbitrage |
0.355 |
0.645 |
0.503 |
0.497 |
0.925 |
0.075 |
|
|
Distressed Debt |
0.309 |
0.691 |
0.388 |
0.612 |
0.817 |
0.183 |
|
|
Event Driven |
0.289 |
0.711 |
0.410 |
0.590 |
0.833 |
0.167 |
|
|
Fixed Income |
0.181 |
0.819 |
0.343 |
0.657 |
0.914 |
0.086 |
|
|
Long Short Equities |
0.246 |
0.754 |
0.325 |
0.675 |
0.778 |
0.222 |
|
|
Macro |
0.364 |
0.636 |
0.461 |
0.539 |
0.898 |
0.102 |
|
|
Managed Futures |
0.322 |
0.678 |
0.376 |
0.624 |
0.679 |
0.321 |
|
|
Multi-Strategy |
0.225 |
0.775 |
0.308 |
0.692 |
0.812 |
0.188 |
|
|
Relative Value |
0.338 |
0.662 |
0.420 |
0.580 |
0.875 |
0.125 |
|
|
Annualised Standard Deviation
Statistics |
Mean |
Lower Quartile |
Median |
Upper Quartile |
IQ Range |
Standard Deviation |
Skewness |
Kurtosis |
Arbitrage |
0.046 |
0.019 |
0.037 |
0.066 |
0.047 |
0.034 |
0.923 |
3.180 |
Distressed Debt |
0.078 |
0.034 |
0.061 |
0.106 |
0.072 |
0.061 |
1.377 |
4.797 |
Event Driven |
0.085 |
0.043 |
0.074 |
0.108 |
0.064 |
0.058 |
1.410 |
5.430 |
Fixed Income |
0.047 |
0.019 |
0.031 |
0.047 |
0.028 |
0.200 |
19.963 |
415.639 |
Long Short Equities |
0.093 |
0.051 |
0.077 |
0.113 |
0.062 |
0.093 |
12.669 |
279.961 |
Macro |
0.076 |
0.044 |
0.067 |
0.094 |
0.050 |
0.053 |
2.403 |
12.526 |
Managed Futures |
0.120 |
0.071 |
0.106 |
0.149 |
0.078 |
0.082 |
2.754 |
17.459 |
Multi-Strategy |
0.069 |
0.030 |
0.054 |
0.087 |
0.056 |
0.063 |
3.255 |
21.284 |
Relative Value |
0.045 |
0.018 |
0.033 |
0.049 |
0.030 |
0.052 |
3.600 |
19.094 |
Probabilities |
P < 5% |
P > 5% |
P < 10% |
P > 10% |
P < S&P 500 |
P > S&P 500 |
View P of your fund
|
Arbitrage |
0.621 |
0.379 |
0.905 |
0.095 |
0.815 |
0.185 |
|
|
Distressed Debt |
0.402 |
0.598 |
0.724 |
0.276 |
0.616 |
0.384 |
|
|
Event Driven |
0.309 |
0.691 |
0.698 |
0.302 |
0.533 |
0.467 |
|
|
Fixed Income |
0.788 |
0.212 |
0.962 |
0.038 |
0.928 |
0.072 |
|
|
Long Short Equities |
0.237 |
0.763 |
0.676 |
0.324 |
0.512 |
0.488 |
|
|
Macro |
0.314 |
0.686 |
0.793 |
0.207 |
0.617 |
0.383 |
|
|
Managed Futures |
0.137 |
0.863 |
0.454 |
0.546 |
0.299 |
0.701 |
|
|
Multi-Strategy |
0.461 |
0.539 |
0.811 |
0.189 |
0.702 |
0.298 |
|
|
Relative Value |
0.769 |
0.231 |
0.917 |
0.083 |
0.892 |
0.108 |
|
|
Statistics |
Mean |
Lower Quartile |
Median |
Upper Quartile |
IQ Range |
Standard Deviation |
Skewness |
Kurtosis |
Arbitrage |
-0.027 |
-0.040 |
-0.019 |
-0.009 |
0.031 |
0.023 |
-1.197 |
3.999 |
Distressed Debt |
-0.040 |
-0.053 |
-0.031 |
-0.015 |
0.038 |
0.036 |
-1.679 |
5.862 |
Event Driven |
-0.043 |
-0.053 |
-0.035 |
-0.021 |
0.033 |
0.035 |
-1.933 |
7.544 |
Fixed Income |
-0.019 |
-0.024 |
-0.014 |
-0.007 |
0.016 |
0.024 |
-7.354 |
87.252 |
Long Short Equities |
-0.042 |
-0.053 |
-0.035 |
-0.020 |
0.033 |
0.040 |
-5.845 |
66.415 |
Macro |
-0.037 |
-0.048 |
-0.032 |
-0.019 |
0.030 |
0.026 |
-1.899 |
9.209 |
Managed Futures |
-0.056 |
-0.070 |
-0.047 |
-0.028 |
0.042 |
0.047 |
-4.179 |
36.419 |
Multi-Strategy |
-0.033 |
-0.042 |
-0.024 |
-0.012 |
0.030 |
0.038 |
-4.904 |
40.483 |
Relative Value |
-0.024 |
-0.029 |
-0.018 |
-0.008 |
0.022 |
0.029 |
-4.054 |
23.974 |
Probabilities |
P < -2% |
P > -2% |
P < -5 |
P > -5% |
P < S&P 500 |
P > S&P 500 |
View P of your fund
|
Arbitrage |
0.489 |
0.511 |
0.167 |
0.833 |
0.341 |
0.659 |
|
|
Distressed Debt |
0.668 |
0.332 |
0.275 |
0.725 |
0.504 |
0.496 |
|
|
Event Driven |
0.760 |
0.240 |
0.285 |
0.715 |
0.570 |
0.430 |
|
|
Fixed Income |
0.312 |
0.688 |
0.047 |
0.953 |
0.161 |
0.839 |
|
|
Long Short Equities |
0.756 |
0.244 |
0.283 |
0.717 |
0.563 |
0.437 |
|
|
Macro |
0.725 |
0.275 |
0.231 |
0.769 |
0.527 |
0.473 |
|
|
Managed Futures |
0.848 |
0.152 |
0.459 |
0.541 |
0.707 |
0.293 |
|
|
Multi-Strategy |
0.569 |
0.431 |
0.191 |
0.809 |
0.387 |
0.613 |
|
|
Relative Value |
0.449 |
0.551 |
0.080 |
0.920 |
0.216 |
0.784 |
|
|
Statistics |
Mean |
Lower Quartile |
Median |
Upper Quartile |
IQ Range |
Standard Deviation |
Skewness |
Kurtosis |
Arbitrage |
1.363 |
-0.401 |
0.751 |
2.350 |
2.751 |
3.595 |
5.161 |
42.648 |
Distressed Debt |
1.467 |
-0.220 |
0.976 |
2.496 |
2.716 |
2.553 |
1.704 |
7.235 |
Event Driven |
0.748 |
-0.042 |
0.578 |
1.262 |
1.304 |
1.681 |
2.169 |
12.414 |
Fixed Income |
2.588 |
0.303 |
1.261 |
2.528 |
2.225 |
6.800 |
6.076 |
44.790 |
Long Short Equities |
0.888 |
0.016 |
0.815 |
1.631 |
1.614 |
1.461 |
2.042 |
20.457 |
Macro |
0.511 |
-0.391 |
0.461 |
1.165 |
1.556 |
1.492 |
1.462 |
8.949 |
Managed Futures |
0.609 |
-0.351 |
0.643 |
1.470 |
1.821 |
1.513 |
1.167 |
16.886 |
Multi-Strategy |
1.608 |
0.097 |
1.192 |
2.108 |
2.011 |
3.064 |
6.180 |
69.295 |
Relative Value |
1.742 |
-0.807 |
1.404 |
4.267 |
5.074 |
3.073 |
0.247 |
2.179 |
Probabilities |
P < 0 |
P > 0 |
P < 2 |
P > 2 |
P < S&P 500 |
P > S&P 500 |
View P of your fund
|
Arbitrage |
0.339 |
0.661 |
0.700 |
0.300 |
0.630 |
0.370 |
|
|
Distressed Debt |
0.296 |
0.704 |
0.680 |
0.320 |
0.601 |
0.399 |
|
|
Event Driven |
0.261 |
0.739 |
0.867 |
0.133 |
0.798 |
0.202 |
|
|
Fixed Income |
0.176 |
0.824 |
0.665 |
0.335 |
0.562 |
0.438 |
|
|
Long Short Equities |
0.246 |
0.754 |
0.836 |
0.164 |
0.720 |
0.280 |
|
|
Macro |
0.362 |
0.638 |
0.906 |
0.094 |
0.845 |
0.155 |
|
|
Managed Futures |
0.328 |
0.672 |
0.866 |
0.134 |
0.762 |
0.238 |
|
|
Multi-Strategy |
0.229 |
0.771 |
0.722 |
0.278 |
0.586 |
0.414 |
|
|
Relative Value |
0.343 |
0.657 |
0.554 |
0.446 |
0.511 |
0.489 |
|
|
Statistics |
Mean |
Lower Quartile |
Median |
Upper Quartile |
IQ Range |
Standard Deviation |
Skewness |
Kurtosis |
Arbitrage |
-0.039 |
-0.057 |
-0.028 |
-0.014 |
0.044 |
0.035 |
-1.842 |
7.903 |
Distressed Debt |
-0.077 |
-0.113 |
-0.061 |
-0.028 |
0.085 |
0.062 |
-1.157 |
4.211 |
Event Driven |
-0.076 |
-0.086 |
-0.056 |
-0.033 |
0.053 |
0.070 |
-2.152 |
8.012 |
Fixed Income |
-0.027 |
-0.034 |
-0.020 |
-0.010 |
0.024 |
0.040 |
-11.074 |
167.245 |
Long Short Equities |
-0.072 |
-0.094 |
-0.055 |
-0.030 |
0.064 |
0.069 |
-3.700 |
26.771 |
Macro |
-0.065 |
-0.084 |
-0.051 |
-0.029 |
0.055 |
0.056 |
-2.309 |
10.371 |
Managed Futures |
-0.091 |
-0.124 |
-0.073 |
-0.041 |
0.083 |
0.074 |
-2.335 |
12.931 |
Multi-Strategy |
-0.051 |
-0.066 |
-0.032 |
-0.015 |
0.051 |
0.061 |
-3.977 |
26.708 |
Relative Value |
-0.057 |
-0.084 |
-0.041 |
-0.018 |
0.067 |
0.058 |
-2.582 |
12.480 |
Probabilities |
P < -1% |
P > -1% |
P < -5 |
P > -5% |
P < S&P 500 |
P > S&P 500 |
View P of your fund
|
Arbitrage |
0.819 |
0.181 |
0.292 |
0.708 |
0.418 |
0.582 |
|
|
Distressed Debt |
0.915 |
0.085 |
0.569 |
0.431 |
0.685 |
0.315 |
|
|
Event Driven |
0.947 |
0.053 |
0.572 |
0.428 |
0.729 |
0.271 |
|
|
Fixed Income |
0.739 |
0.261 |
0.101 |
0.899 |
0.231 |
0.769 |
|
|
Long Short Equities |
0.944 |
0.056 |
0.547 |
0.453 |
0.694 |
0.306 |
|
|
Macro |
0.935 |
0.065 |
0.507 |
0.493 |
0.678 |
0.322 |
|
|
Managed Futures |
0.965 |
0.035 |
0.676 |
0.324 |
0.800 |
0.200 |
|
|
Multi-Strategy |
0.843 |
0.157 |
0.343 |
0.657 |
0.471 |
0.529 |
|
|
Relative Value |
0.858 |
0.142 |
0.432 |
0.568 |
0.547 |
0.453 |
|
|
Statistics |
Mean |
Lower Quartile |
Median |
Upper Quartile |
IQ Range |
Standard Deviation |
Skewness |
Kurtosis |
Arbitrage |
0.067 |
0.028 |
0.053 |
0.087 |
0.059 |
0.059 |
1.957 |
7.285 |
Distressed Debt |
0.119 |
0.061 |
0.099 |
0.158 |
0.097 |
0.086 |
1.733 |
7.210 |
Event Driven |
0.120 |
0.055 |
0.095 |
0.160 |
0.105 |
0.092 |
1.468 |
5.532 |
Fixed Income |
0.089 |
0.034 |
0.059 |
0.094 |
0.059 |
0.333 |
20.649 |
457.955 |
Long Short Equities |
0.144 |
0.064 |
0.105 |
0.164 |
0.099 |
0.285 |
21.934 |
622.469 |
Macro |
0.095 |
0.044 |
0.079 |
0.117 |
0.073 |
0.090 |
4.272 |
31.332 |
Managed Futures |
0.170 |
0.077 |
0.130 |
0.213 |
0.137 |
0.190 |
9.167 |
144.204 |
Multi-Strategy |
0.121 |
0.057 |
0.093 |
0.144 |
0.088 |
0.163 |
10.185 |
148.571 |
Relative Value |
0.093 |
0.031 |
0.065 |
0.101 |
0.070 |
0.112 |
3.164 |
14.522 |
Probabilities |
P < 10% |
P > 10% |
P < 20 |
P > 20% |
P < S&P 500 |
P > S&P 500 |
View P of your fund
|
Arbitrage |
0.824 |
0.176 |
0.951 |
0.049 |
0.925 |
0.075 |
|
|
Distressed Debt |
0.506 |
0.494 |
0.864 |
0.136 |
0.757 |
0.243 |
|
|
Event Driven |
0.527 |
0.473 |
0.821 |
0.179 |
0.749 |
0.251 |
|
|
Fixed Income |
0.785 |
0.215 |
0.963 |
0.037 |
0.933 |
0.067 |
|
|
Long Short Equities |
0.472 |
0.528 |
0.831 |
0.169 |
0.739 |
0.261 |
|
|
Macro |
0.654 |
0.346 |
0.935 |
0.065 |
0.899 |
0.101 |
|
|
Managed Futures |
0.361 |
0.639 |
0.722 |
0.278 |
0.614 |
0.386 |
|
|
Multi-Strategy |
0.546 |
0.454 |
0.883 |
0.117 |
0.801 |
0.199 |
|
|
Relative Value |
0.744 |
0.256 |
0.903 |
0.097 |
0.870 |
0.130 |
|
|
Statistics |
Mean |
Lower Quartile |
Median |
Upper Quartile |
IQ Range |
Standard Deviation |
Skewness |
Kurtosis |
Arbitrage |
0.057 |
-0.076 |
0.082 |
0.214 |
0.290 |
0.243 |
-0.676 |
4.194 |
Distressed Debt |
0.035 |
-0.162 |
-0.001 |
0.249 |
0.411 |
0.291 |
0.162 |
2.506 |
Event Driven |
0.097 |
-0.044 |
0.106 |
0.263 |
0.308 |
0.232 |
-0.272 |
3.423 |
Fixed Income |
-0.014 |
-0.169 |
0.002 |
0.150 |
0.319 |
0.254 |
-0.224 |
3.409 |
Long Short Equities |
0.092 |
-0.083 |
0.115 |
0.282 |
0.366 |
0.272 |
-0.369 |
3.294 |
Macro |
0.033 |
-0.145 |
0.072 |
0.239 |
0.383 |
0.275 |
-0.475 |
3.079 |
Managed Futures |
0.117 |
-0.064 |
0.148 |
0.303 |
0.367 |
0.266 |
-0.374 |
3.541 |
Multi-Strategy |
0.050 |
-0.134 |
0.083 |
0.228 |
0.362 |
0.267 |
-0.201 |
2.963 |
Relative Value |
-0.068 |
-0.287 |
-0.040 |
0.118 |
0.405 |
0.278 |
-0.007 |
2.547 |
Probabilities |
P < -0.5 |
P > -0.5 |
P < 0 |
P > 0 |
P < 0.5 |
P > 0.5 |
View P of your fund
|
Arbitrage |
0.027 |
0.973 |
0.354 |
0.646 |
0.978 |
0.022 |
|
|
Distressed Debt |
0.027 |
0.973 |
0.502 |
0.498 |
0.931 |
0.069 |
|
|
Event Driven |
0.010 |
0.990 |
0.320 |
0.680 |
0.971 |
0.029 |
|
|
Fixed Income |
0.038 |
0.962 |
0.498 |
0.502 |
0.986 |
0.014 |
|
|
Long Short Equities |
0.023 |
0.977 |
0.341 |
0.659 |
0.950 |
0.050 |
|
|
Macro |
0.040 |
0.960 |
0.408 |
0.592 |
0.983 |
0.017 |
|
|
Managed Futures |
0.018 |
0.982 |
0.324 |
0.676 |
0.949 |
0.051 |
|
|
Multi-Strategy |
0.021 |
0.979 |
0.391 |
0.609 |
0.963 |
0.037 |
|
|
Relative Value |
0.065 |
0.935 |
0.565 |
0.435 |
0.983 |
0.017 |
|
|