Chul Min Lee

HW #1

Equity Event Driven Event Driven

Convertible Dedicated Emerging Market Event Driven Multi- Risk Fixed Income Managed Multi-
Arbitrage Short Bias Markets Neutral Event Driven Distressed Strategy Arbitrage Arbitrage Global Macro Long/Short Futures Strategy
Hedge Fund Hedge Fund Hedge Fund Hedge Fund Hedge Fund Hedge Fund Hedge Fund Hedge Fund Hedge Fund Hedge Fund Hedge Fund Equity Hedge Hedge Fund Hedge Fund
Index Index Index Index Index Index Index Index Index Index Index Fund Index Index Index
Compounded Annualized Return in 12.333 years 14.65% 12.34% -9.45% 12.63% 8.25% 15.25% 17.43% 14.24% 10.75% 9.41% 19.14% 16.34% 9.90% 14.30%
Compounded Annualized Std in 12.333 years 7.02% 6.45% 16.34% 13.70% 9.48% 6.16% 6.27% 6.69% 4.00% 5.25% 9.02% 9.26% 11.55% 4.97%
Sharpe Ratio (assume Rf=2%) 1.801 1.603 -0.701 0.776 0.659 2.150 2.461 1.828 2.188 1.411 1.900 1.550 0.684 2.474
Skew -0.123 -2.634 0.715 -0.764 -12.511 -2.010 -2.020 -1.590 -0.888 -4.672 0.127 0.014 0.025 -1.713
Kurtosis 3.030 17.407 1.484 6.174 186.002 9.396 10.829 6.592 4.400 35.897 4.598 3.803 -0.108 6.814
Sortino Ratio (assume Target Rt= 8%) -0.008 -0.093 -0.876 0.069 -0.604 0.054 0.377 -0.059 -0.619 -0.560 0.668 0.185 -0.467 -0.059
Calmar Ratio(assume Rf=2%) -0.643 -0.112 0.116 -0.113 -0.068 -0.146 -0.171 -0.134 -0.095 -0.080 -0.189 -0.156 -0.085 -0.133
Jensen's Alpha (since 199401) 0.097 0.084 -0.049 0.058 0.042 0.105 0.127 0.094 0.070 0.058 0.153 0.101 0.079 0.106
Fama French 3 Fators Alpha(assume bs bv =0.5) 0.079 0.066 -0.067 0.039 0.024 0.086 0.109 0.076 0.052 0.040 0.135 0.082 0.060 0.088
Fama French 5 Fators Alpha(assume factors=0.5) 0.042 0.029 -0.104 0.002 -0.014 0.049 0.072 0.039 0.015 0.003 0.098 0.045 0.023 0.051
Carhart's Alpha(assume Fama's RWM factor is the fourth factor in Carhart) 0.059 0.046 -0.087 0.019 0.003 0.066 0.088 0.055 0.032 0.020 0.115 0.062 0.040 0.067
Omega Ratio (assume return>1 will be value of Call( r ), similarly for Put) 2.244 2.481 0.718 1.653 3.000 2.926 2.708 2.671 2.761 3.621 2.436 1.792 1.233 3.714