Benchmark related statistics used to evaluate hedge funds

Capture ratio is the average of the captured performance (difference between fund’s returns and benchmark’s returns)

Up capture indicator is fund’s average return divided by benchmark average return, considering only periods when benchmark was up. Bigger is better.

Down capture indicator is fund average/benchmark average considering only periods when benchmark was down. Smaller is better.

Up number ratio is number of periods fund and benchmark were up, divided by number of periods benchmark were up. Bigger is better.

Down number ratio is number of periods fund and benchmark were down, divided by number of periods benchmark was down. Smaller is better.

Up percentage ratio is the percentage of periods the fund outperformed when the benchmark was up. Bigger is better.

Down percentage ratio is the percentage of periods the fund outperformed when benchmark was down. Bigger is better.

Percent gain ratio is number of fund up periods over number of benchmark up periods. Bigger is better.

Ratio of negative months over total months is a good downside risk indicator but ignores absolute size of positive and negative returns.

For more information, see all articles on: Uncategorized

See also:
  • Benchmarking Issues for Hedge Funds
  • Determinants of Funds of Hedge Funds Performance
  • The Structure of Hedge Funds
  • Why do Hedge Funds Lack Transparency
  • Risk Transparency versus Position Transparency
  • Technical Analysis Explained : The Successful Investor's Guide to Spotting Investment Trends and Turning Points

    The Intelligent Investor: The Classic Text on Value Investing

    Financial Statement Analysis: A Practitioner's Guide, 3rd Edition

    Managing Investment Portfolios: A Dynamic Process (CFA Institute Investment Series)

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