Performance vs. Indices
January 1999 to December 2011
| Manager's Record ($)
(%) |
HFRI Fund of Funds Index (%) | FT World Index (Local) (%) | Citigroup World Govt. Bond Index (Local) (%) | |
| Annualised Rate of return | 4.66 | 4.91 | 2.38 | 4.15 |
| Standard Deviation | 3.08 | 5.92 | 15.31 | 2.95 |
| Sharpe Ratio | 0.54 | 0.32 | (0.04) | 0.39 |
| Biggest Monthly Loss | (5.04) | (6.89) | (16.53) | (1.81) |
| Maximum peak to trough drawdown | (9.09) | (20.52) | (49.92) | (2.67) |
| Profitable Months | 73 | 65 | 56 | 66 |
| Correlation with the FT World Index | 0.49 | 0.67 | (0.32) |
Source: Absolute Fund Managers/HFRI/Citigroup/Bloomberg
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