Distribution of Performance Measures | Sharpe Ratio | Alpha (%) | Treynor’s Ratio | VaR @ 5% |
S&P 500 Index | 0.112 | 0.000 | 0.507 | −6.542 |
30-Day T-Bill | 0.000 | −0.023 | ||
Long-Short Equity Hedge Funds | ||||
Mean | 0.223** | 0.473*** | 12.180** | −6.903** |
Median | 0.153 | 0.434 | 0.742 | −6.191 |
Standard Deviation | 1.159 | 0.602 | 128.852 | 4.129 |
Maximum | 23.192 | 4.120 | 1798.000 | 0.453 |
Minimum | −0.340 | −1.643 | −69.173 | −25.141 |
Number (%) above the Market | 261 (65.3) | 335 (83.8) | 233 (58.3) | 224 (56.0) |
Number (%) below the Market | 138 (34.5) | 65 (16.3) | 167 (41.8) | 176 (44.0) |