The Hedge Fund Journal

Separating apples from pears

A new report card for hedge fund performance in 2014

Stuart Fieldhouse. February 2015 - The Hedge Fund Journal

Stuart Fieldhouse

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.

Analyse your own fund data

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Annualised Return

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

Historical VAR

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

Sharpe Ratio

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

Maximum Drawdown

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

Maximum Uplift

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

Correlation to S&P 500

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