I Don't Think This Performance is Impressive. Do You?

[nodoodahs]

This data is calculated from the indices formerly known as CS/T, now rebranded as DJCS. The indices are asset-weighted, fund-only (no SMAs), and represent after-fee performance delivered to the investor. Sharpes are annualized from monthly return streams and compounding rates are from YE 1993 through 3Q 2010.

Hedge Fund Index Sharpe 0.77 Compounding 9.3%
Convertible Arbitrage Index Sharpe 0.63 Compounding 7.8%
Dedicated Short Bias Index Sharpe -0.30 Compounding -3.2%
Emerging Markets Index Sharpe 0.37 Compounding 8.1%
Equity Market Neutral Index Sharpe 0.24 Compounding 5.2%
Event Driven Index Sharpe 1.09 Compounding 10.2%
Event Driven Distressed Index Sharpe 1.13 Compounding 11.0%
Event Driven Multi-Strategy Index Sharpe 0.97 Compounding 9.8%
Event Driven Risk Arbitrage Index Sharpe 0.93 Compounding 7.3%
Fixed Income Arbitrage Index Sharpe 0.33 Compounding 5.2%
Global Macro Index Sharpe 0.89 Compounding 12.4%
Long/Short Equity Index Sharpe 0.68 Compounding 10%
Managed Futures Index Sharpe 0.31 Compounding 6.4%
Multi-Strategy Index Sharpe 0.86 Compounding 8.4%

Since these are asset-weighted averages, there's going to be some dispersion and some impressive performance in the mix, but overall, do these numbers impress you?
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I haven’t seen a beatin’ like that since somebody stuck a banana in my pants and turned a monkey loose.

[rffrydr]

The "Event -Driven" is certainly impressive with a sharpe over 1. But then again, haven't we just lived THE event? Don't know that I'd use that as a guide for anything.

And then there's the rise of developing markets, 12%: that this includes the '98 asian tigers washout is impressive and shows just what a locomotive china has been. That it excludes the russian default perhaps flatters that result. Go sit on the stairs of the Paris Club if you started your math in 1990.

I would have thought the Convertible Arb would have a better sharpe. And that Mangaged Futures is so low for such a bull as they've enjoyed just shows you that minefields are also stuff.

Compare to 400% Total Return on LT Treasuries and another click or two on IBM bonds--or IBM bonds from the end of the boomers in the early 60's and roll that around a couple more times. Buy and hold dead? Widows and orphans live
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Today is the Tomorrow you worried about Yesterday!