Credit Suisse Event Driven Distressed Hedge Fund Index

Rf

Rf (1M)

Monthly Return

d i , t

d ( i , t ) 2

Semi Deviation

Sortino Ratio

Average Sortino Ratio

29/12/17

2.405%

0.198%

1.52%

0.00%

0.000%

0.111%

11.89718105

5.25

30/11/17

2.415%

0.199%

−0.38%

0.58%

0.003%

0.112%

−5.168997777

31/10/17

2.377%

0.196%

0.53%

0.00%

0.000%

0.111%

3.010091334

29/09/17

2.339%

0.193%

0.69%

0.00%

0.000%

0.126%

3.953804913

Calculation Continued Till 31/12/96

30/04/97

6.720%

0.543%

0.52%

0.02%

0.000%

0.125%

−0.190608225

31/03/97

6.907%

0.558%

0.38%

0.18%

0.000%

0.130%

−1.389514811

28/02/97

6.556%

0.531%

2.16%

0.00%

0.000%

0.146%

11.1633067

31/01/97

6.500%

0.526%

2.42%

0.00%

0.000%

0.147%

12.85528782

31/12/96

6.430%

0.521%

2.19%

0.00%

0.000%

0.147%

11.3395009