absolute returns

[alex smirnov]

It's funny how these terms start jumping out at you  ;)

http://www.businessweek.com/investor/content/apr2011/pi2011046_230754.htm?link_position=link1

[Erin Robinson]

Has anyone done much with the supplemental data on the excel sheets the Prof posted for Prospero? 

 

Erin

[Elliott Le]

I've only calculated the beta, mean return, standard deviation...not sure if we're supposed to do CAPM calculations.

Elliott Le

On Tue, Apr 19, 2011 at 9:48 AM, Erin Robinson <robin...@gmail.com> wrote:

Has anyone done much with the supplemental data on the excel sheets the Prof posted for Prospero? 

 

Erin

--
Elliott Le

[Shashank Saggar]

How did you guys think about evaluating all three funds - we only have data for one. Also to evaluate the performance of the hedge fund, are you guys only looking at alpha against the index.

[Vince Lau]

Hey Elliott,

How did you go about computing the std deviation (sigma) from the data
that we have? I don't think i read anything that helps with
calculating it so I probably missed something. Thanks in advance.

On Apr 19, 9:50 am, Elliott Le <elliott...@gmail.com> wrote:
> I've only calculated the beta, mean return, standard deviation...not sure if
> we're supposed to do CAPM calculations.
>
> Elliott Le
>

[Elliott Le]

You can compute it in excel using the STDEV function.

Elliott Le

--
Elliott Le

[Vince]

ah got it, thanks. btw, for beta, how did u compute it and did you pull S&P data from other sources and just compared it to the set that we had? --- On Tue, 4/19/11, Elliott Le <ellio...@gmail.com> wrote:

[Ashish Swaroop]

Even I cant figure out how to calculate beta..any help is appreciated.

thanks
Ashish

[alex smirnov]

here's how you calculate it

http://www.youtube.com/watch?v=7LiK-qbmPsw

either use a "=slope" function or run a regression 

[Elliott Le]

the book shows how to do it on page 399.

Elliott Le

--
Elliott Le

[alex smirnov]

Here's the digital data of exhibit 10.  Just had my wife read it to me and I read it back to her.  should be correct.  Looks like beta = 0.919696302

[Elliott Le]

I got the same.

--
Elliott Le

[Vince]

awesome, i can use this set of S&P returns for the supplemental data for calculation as well. thanks alex, your data looks correct for Antenore, as it essentially tracks S&P so the beta of .916 looks right on. btw, to compare funds, my approach was to compare the beta between the 3 funds. there's no data for the other two and i asked George about it. haven't heard yet. here's what i asked ----------------------------------------------------------- The following two bold section of the sentences from the prospero case read the same to me and I was wondering if you can help point out how the hedge and market neutral strategies are different. I can only make a guess that they are the same technique except with hedging that there is a 50% long requirement so the beta = .5. But with market neutral that the beta = 0  since you are fully counter balanced by long and short. The fund utilized a value approach to its equity-selection process and employed a hedging strategy through short sales of 15-25 securities or market futures against 20-35 long positions. The fund utilized a value approach to its equity selection and remained market neutral by short-selling 15-25 individual securities or market futures against 20-35 long positions. --- On Tue, 4/19/11, alex smirnov <alex.s...@gmail.com> wrote:

[Vince]

hey i found some historical data for prospero on their site. hope it helps http://www.prosperofunds.com/beaumont.html Antenor Beaumont Curan Style Long-only Long/short Market-neutral Strategy All-cap Relative-value All-cap Relative-value All-cap Relative-value Inception January, 1997 July, 2002 January, 2002 Typical market exposure Long: 100% Short: 0% 100% net long Long: 100% Short: 50% 50% net long Long 100% Short: 100% 0% net exposure Target return Target risk (Standard deviation) Return 13–15% Risk: < S&P 500 Return: 11–13% Risk: 7–9% Return: 9–11% Risk: 5–7% --- On Tue, 4/19/11, Vince <vinc...@yahoo.com> wrote:

[Shashank Saggar]

Have you guys been able to find out which combination of the funds can potentially constitute each of the funds and which indexes to use?

My thinking was, if we can determine a tentative mix for one, we could potentially do it for others.

[alex smirnov]

i'm not sure that's what we're supposed to do

btw

  https://www.credit-suisse.com/us/hedge_strategies/en/dow_jones_credit_suisse_hedge_fund_indexes.jsp

shows that all of the categories are used to calculate the index........just don't know which combination

I think the idea is perhaps to compare our funds to the entire index rather than individual asset classes..........but i really have no idea

[Erin Robinson]

Did you guys recommend that HF invest? I was going to put the data in for Antenore into the solver info that I used for the last case. I am not sure what to use as their return though or correlations. 

 

Also, when I compare their data on Antenore from 1997-2003 from Exhibit 10 I get a mean return of 1.3% for Antenore and .55 for S&P. In the write up exhibits they are saying that this fund returned 3.5% the first quarter and has a five-year annualized return of 19.1%. (S&P returned on average 9.8%).  I am confused as to how my numbers are so different than the news article.

Am I totally missing something?

[alex smirnov]

Erin,  1.3% and .55% (same as what I got) are the monthly returns......multiply by 12 to get yearly

[Erin Robinson]

ohhhhhh! duh.  thanks!

[Suraj Ayinikatt]

I got the same too.

here (all annualized)

Mean :  15.63%

SD     : 5.52%

Beta   : 0.912 (w.r.t S&P 500)

However I'm not sure how to answer the questions from these though!

 

Suraj Ayinikatt

---

From: alex smirnov <alex.s...@gmail.com>
To: fnc_455_s...@googlegroups.com
Sent: Wed, April 20, 2011 10:30:11 AM
Subject: Re: absolute returns

[alex smirnov]

I think that's where we all are  ;)

[Vince]

not that it makes much diff, but for a closer comparison i added the mgmt fee in there to compare the net annual return. i also did a reward-to-risk based on Beta, shapre as well. (all in all, same #s) without a doubt Prosper funds look attractive but i dont think HF should invest given its small size. the article indicated that most institutes dont deal with funds under 50mil as they are less proven funds. if HF were to do it, it should be a small investment to try it out and see where it goes. 6 years(97-03) Antenore SP       Avg return 15.63% 6.69%       Beta 0.9196 1 (antenore using slope method)     Mgmt fee 1.25% 0.09%       Net annual return 14.38% 6.60%       Risk-reward ratio 15.64142 6.60% (net turn over Beta without riskfree)     std 5.520611 5.241284       Shapre 0.026055 0.012588