Sharpe Ratio

Full Sample (Jan 94 to Dec 17)

Credit Suisse Hedge Fund Index

0.214

DJIA

0.139

Convertible Arbitrage Hedge Fund Index

0.194

Dedicated Short Bias Hedge Fund Index

−0.176

Long/Short Equity Hedge Fund Index

0.193

Emerging Markets Hedge Fund Index

0.172

Equity Market Neutral Hedge Fund Index

0.229

Event Driven Hedge Fund Index

0.271

Event Driven Distressed Hedge Fund Index

0.345

Event Driven Multi-Strategy Hedge Fund Index

0.214

Event Driven Risk Arbitrage Hedge Fund Index

0.171

Fixed Income Arbitrage Hedge Fund Index

0.263

Global Macro Hedge Fund Index

0.279

Managed Futures Hedge Fund Index

0.039

Multi-Strategy Hedge Fund Index

0.340