2012/03 Performance versus Quantitative Directional Hedge Fund Index
I report performance twice most months, against two benchmark figures, and this is the second of those:
Hampton Active Diversified Fund No.1 (vs HFRX Quantitative Directional Index – see www.hedgefundresearch.com)
March 2012 (Note: HFRX frequently adjust performance data for the immediate past month)..
Hampton Active Diversified Fund No.1 Month return: -2.89% (vs Index +0.35%)
Alpha (Stock Selection) Performance: -3.20% – against HFRX Quantitative Directional index
Market Timing Performance: -0.07%
Active performance: -3.28%
Since Launch 01/07/10
Total Return: 43.68% (vs Index+4.99% )
Alpha (Stock Selection) Performance: 56.78% - using HFRX Quantitative Directional index
Market Timing Performance: -3.87%
Cumulative Active performance: 50.51%
Disclaimer: the information contained on this website is not, and is not intended to be an offer of, or an invitation to purchase or subscribe for, financial products
Probability of Hedge Fund Returns
In my series on ‘How much money do you need to start a hedge fund’ (series link here) I provided tabular results from two spreadsheets that I use to validate my results. Based on a request, I’ve agreed to post the spreadsheets on this site. In doing so, I take no responsibility for the accuracy or completeness of these spreadsheets.
The first of these spreadsheets provides a probability of returns based on a user entered average annual return, and standard deviation of returns. The probabilities produced assume that the return profiles from the investment can be normally distributed – this is a known shortcoming as investment returns are generally not normally distributed (see this piece from Investopedia for a short discussion on return distribution and the wagging of tails http://www.investopedia.com/articles/financial-theory/09/bell-curve-wag-tails.asp#axzz1sZlWHq1c).
To use the attached spreadsheet, just enter your expected Annual Return in cell B3, and your expected Standard Deviation in cell C3. The spreadsheet can be found here –> Return Frequency
I hope this helps, and will provide a spreadsheet on scenario analysis soon.
Andrew
2012/03: Hampton Active Diversified Fund No. 1
Filed under: Hampton Active Diversified Fund No.1, Measuring Performance
An unusual month, of new highs followed by rapid drawbacks. The month ended in the red, due to poor performance in US equities and Futures:
Most recent Month: March 2012
Month return: -2.89% (versus Equity Market Benchmark return of +2.82%)
Alpha (Stock Selection): -6.75%
Market Timing: +1.99% - The Fund average exposure level (or leverage) during the month was 143.68%
Active Returns: -4.76%
Note: For some guidance on the above variables and there means of calculation, refer to this entry –> http://yohf.net/2010/06/08/measuring-hedge-fund-performance-active-returns-versus-alpha/
Since launch (July 1st, 2010): Total Return: +60.62% (versus Equity Benchmark of +23.66%)
Alpha (Stock Selection) Performance: +34.97% – using existing ASX200/Nasdaq benchmark and a Long Term (7 years+) expected Average Net Exposure.
Market Timing Performance: +0.14%
Cumulative Active performance: 42.15%
Unit Price as of 31st March 2012: $1.6062 — (Initial Unit Price at Launch: $1.0000).
Disclaimer: the information contained on this website is not, and is not intended to be an offer of, or an invitation to purchase or subscribe for, financial products
Australian Share market still well below true value
Filed under: Greed versus Fear index, Measuring Performance
The Australian All Ordinaries, based on its Relative Real long term average growth rate, remains almost 29% undervalued…..
Greed vs Fear Index scores for the Australian All Ordinaries – February 29, 2012:
Greed vs Fear index value: -148.2 (data refreshed with Dec ’11 CPI data)
Greed vs Fear current state: Loathing! (an improvement from the Terror state of the last 3 months)
Greed vs Fear index value change: From last month: +3.2 (figures are corrected when CPI data is released).
Over past 12 months: -80.6
Relative current value of All Ords: -28.9% (underpriced)
Current value change:- from last month: +0.5% Over past 12 months: -14.5%
2012/02: Hampton Active Diversified Fund No. 1
Filed under: Hampton Active Diversified Fund No.1, Measuring Performance, Your Own Hedge Fund life
Another excellent month driven by another strong month in equity markets:
Most recent Month: February 2012
Month return: +7.12% (versus Equity Market Benchmark return of +3.48%)
Alpha (Stock Selection): +2.83% . - The Fund average exposure level (or leverage) during the month was 126.90%
Market Timing: +2.03%
Active Returns: +4.86%
Note: For some guidance on the above variables and there means of calculation, refer to this entry –> http://yohf.net/2010/06/08/measuring-hedge-fund-performance-active-returns-versus-alpha/
Since launch (July 1st, 2010): Total Return: 65.40% (versus Equity Benchmark of 20.27%)
Alpha (Stock Selection) Performance: 44.74% – using existing ASX200/Nasdaq benchmark and a Long Term (7 years+) expected Average Net Exposure.
Market Timing Performance: -1.82%
Cumulative Active performance: 42.15%
Unit Price as of 29th February 2012: $1.6540 — (Initial Unit Price at Launch: $1.0000).
Disclaimer: the information contained on this website is not, and is not intended to be an offer of, or an invitation to purchase or subscribe for, financial products
Relative Real Value of Australian Share Market: Almost 30% undervalued!
The Australian All Ordinaries Index bounced back from its end of 2011 low.
Greed vs Fear Index scores for the Australian All Ordinaries – January 31, 2012:
Greed vs Fear index value: -152.2 (data refreshed with Dec ’11 CPI data)
Greed vs Fear current state: Terror! (as it has been for 4 of the past 5 months)
Greed vs Fear index value change: From last month: +19.1 (figures are corrected when CPI data is released).
Over past 12 months: -80.6
Relative current value of All Ords: -29.6% (underpriced)
Current value change:- from last month: +3.03% Over past 12 months: -14.36%
Relative Real Value of U.S. Stock Market: 14% undervalued
Greed vs Fear Index scores for the US S&P500 – January 31, 2012:
Greed vs Fear index value: -65.6
Greed vs Fear current state: Fear
Greed vs Fear index value change:- From last month: +15.1 (figures are corrected when CPI data is released).
Over past 12 months: -19.9
Relative current value of S&P500: -14.0% (underpriced)
Current value change:- from last month: +2.9% Over past 12 months: -4.0%
2012/01: Performance versus Quantitative Directional Hedge Fund Index
Filed under: Hampton Active Diversified Fund No.1, Measuring Performance
I report performance twice each month against two benchmark figures, and this is the second of those:
Hampton Active Diversified Fund No.1 (vs HFRX Quantitative Directional Index – see www.hedgefundresearch.com)
January 2012 (Note: HFRX frequently adjust performance data for the immediate past month)..
Hampton Active Diversified Fund No.1 Month return: +14.17% (vs Index +3.70%)
Alpha (Stock Selection) Performance: +10.43% – against HFRX Quantitative Directional index
Market Timing Performance: +1.35%
Active performance: +11.78%
Since Launch 01/07/10
Total Return: +54.41% (vs Index+5.82% )
Alpha (Stock Selection) Performance: +50.50% - using HFRX Quantitative Directional index
Market Timing Performance: -3.63%
Cumulative Active performance: +44.71%
Disclaimer: the information contained on this website is not, and is not intended to be an offer of, or an invitation to purchase or subscribe for, financial products
2012/01: Hampton Active Diversified Fund No. 1
Filed under: Hampton Active Diversified Fund No.1, Measuring Performance
An excellent month driven by a strong performance in equity markets:
Most recent Month: January 2012
Month return: +14.17% (versus Equity Market Benchmark return of +6.75%)
Alpha (Stock Selection): +7.34%
Market Timing: +2.60%
Active Returns: +9.95%
Since launch (July 1st, 2010): Total Return: 54.41% (versus Equity Benchmark of 16.23%)
Alpha (Stock Selection) Performance: 40.76% – using existing ASX200/Nasdaq benchmark and a Long Term (7 years+) Expected Average Net Exposure.
Market Timing Performance: -3.78%
Cumulative Active performance: 35.57%
Unit Price as of 31st December 2011: $1.5441 — (Initial Unit Price at Launch: $1.0000).
Disclaimer: the information contained on this website is not, and is not intended to be an offer of, or an invitation to purchase or subscribe for, financial products
2011/12 Performance versus Quantitative Directional Hedge Fund Index
Filed under: Hampton Active Diversified Fund No.1, Measuring Performance
I report performance twice each month against two benchmark figures, and this is the second of those:
Hampton Active Diversified Fund No.1 (vs HFRX Quantitative Directional Index – see www.hedgefundresearch.com)
December 2011 (Note: HFRX frequently adjust performance data for the immediate past month)..updated jan 19th
Hampton Active Diversified Fund No.1 Month return: +1.08% (vs Index -0.53%)
Alpha (Stock Selection) Performance: +1.28% – against HFRX Quantitative Directional index
Market Timing Performance: -0.08%
Active performance: +1.20%
Since Launch 01/07/10
Total Return: 35.24% (vs Index+1.96% )
Alpha (Stock Selection) Performance: 36.35% - using HFRX Quantitative Directional index
Market Timing Performance: -4.92%
Cumulative Active performance: 29.52%
Disclaimer: the information contained on this website is not, and is not intended to be an offer of, or an invitation to purchase or subscribe for, financial products