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P Value Hedge Fund Index Quarterly
P Value Hedge Fund Index Quarterly
(public) 1.41% May 29
Delayed
Holdings (As of 03/31/2009)
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Previous
Performance (As of 05/29/2009)
Since 08/14/1999
| Name | YTD* Return |
1Yr AR** |
3Yr AR** |
5Yr AR** |
10Yr AR** |
15Yr AR** |
|---|---|---|---|---|---|---|
| P Value Hedge Fund Index Quarterly | -19.3% | -47.1% | -15.6% | -4.0% | N/A | N/A |
| VFINX (Vanguard (S&P 500) Index) | 8.4% | 25.7% | 21.5% | 13.2% | 15.2% | 14.2% |
| VBINX (Vanguard Balance (60% stocks/40% bonds) | 5.2% | 17.0% | 14.2% | 7.3% | 9.5% | 9.2% |
* YTD: Year to Date
** AR: Annualized Return
** portfolio AR is delayed
| 1 Yr | 3 Yr | 5 Yr | 10 Yr | 15 Yr | 20 Yr | Since 08/14/1999 |
2009 | 2008 | 2007 | 2006 | 2005 | 2004 | 2003 | 2002 | 2001 | 2000 | 1999 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Annualized Return(%) | -47.1 | -15.6 | -4.0 | NA | 0.0 | 0.0 | 6.9 | 10.8 | -38.2 | 2.8 | 20.3 | 9.0 | 24.1 | 33.8 | -7.7 | 11.4 | 21.3 | 0.5 |
| Sharpe Ratio | -0.69 | -0.33 | -0.01 | NA | NA | NA | 0.25 | 0.26 | -0.99 | -0.01 | 1.53 | 0.67 | 2.14 | 2.62 | -0.51 | 0.6 | 1.01 | -0.15 |
| Draw Down(%) | 53.3 | 57.1 | 57.1 | NA | NA | NA | 57.1 | 28.3 | 51.4 | 10.9 | 8.7 | 6.5 | 7.2 | 9.3 | 22.6 | 15.9 | 8.0 | 4.8 |
| Standard Deviation(%) | 45.6 | 29.3 | 23.6 | NA | NA | NA | 19.8 | 41.6 | 39.4 | 15.1 | 11.1 | 10.2 | 10.8 | 12.6 | 17.1 | 15.1 | 17.2 | 5.4 |
| Treynor Ratio | -0.32 | -0.1 | 0.0 | NA | NA | NA | 0.06 | 0.1 | -0.42 | 0.0 | 0.16 | 0.07 | 0.26 | 0.47 | -0.14 | 0.14 | 0.26 | -0.09 |
| Alpha | 0.02 | 0.01 | 0.02 | NA | NA | NA | 0.04 | 0.09 | -0.01 | 0.0 | 0.02 | 0.02 | 0.06 | 0.05 | 0.04 | 0.09 | 0.12 | 0.01 |
| Beta | 0.98 | 0.98 | 0.97 | NA | NA | NA | 0.82 | 1.09 | 0.94 | 0.92 | 1.06 | 0.93 | 0.9 | 0.7 | 0.63 | 0.62 | 0.67 | 0.09 |
| RSquared | 0.96 | 0.96 | 0.95 | NA | NA | NA | 0.87 | 0.97 | 0.97 | 0.95 | 0.91 | 0.88 | 0.86 | 0.89 | 0.92 | 0.79 | 0.74 | 0.08 |
| Sortino Ratio | -0.93 | -0.44 | -0.02 | NA | NA | NA | 0.34 | 0.37 | -1.29 | -0.02 | 2.31 | 0.95 | 3.15 | 4.09 | -0.74 | 0.82 | 1.51 | -0.22 |
| Yield(%) | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A |
| Dividend Growth(%) | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A |
*: NOT annualized;YTD: Year to Date
**Inception: starting from 08/14/1999
Strategies
| Asset Strategy | Hedge fund group index |
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