impact of size and age on hedge fund performance 2015 edition … · all three young cta/ managed...

Impact of Size and Age onHedge Fund Performance

2015 Edition

eVestment Alternatives ResearchJuly 2015

© eVestment Alliance, LLC - All Rights Reserved

Table of Contents

2

What's New in the 2015 Edition 3 Strategy Analysis by Size & Age 26 - 74

Highlights 4 Convertibles 27 - 30

Methodology 5 CTA/Managed Futures ex-Commodities & FX Funds 31 - 34

Size and Age Indicies 6 - 7 CTA/Managed Futures Commodity-Only Funds 35 - 38

Number of Funds 6 CTA/Managed Futures FX/Currency Funds 39 - 42

Cumulative and Annual Performance 7 Emerging Markets (Equity & Fixed Income) 43 - 46

Size Universe 8 - 13 Event Driven/Distressed 47 - 50

Number of Funds and Average AUM 8 Fixed Income (Developed & Broad Markets) 51 - 54

Performance and Risk Statistics 9 Long Short Equity (Developed & Broad Markets) 55 - 58

Trailing Returns 10 Macro 59 - 62

Returns During Various Economic Cycles 11 Market Neutral Equity (Developed & Broad Markets) 63 - 66

AUM Migration Across Time 12 Multi-Strategy 67 - 70

30 Largest, Most Prominent Funds 13 Securitized 71 - 74

Age Universe 14 - 17 Appendix 75 - 115

Number of Funds and Longevity 14 Size and Age Indices 75

Performance and Risk Statistics 15 Size Universe 76 - 78

Trailing Returns 16 Size Universe by Strategy 79 - 85

Returns During Various Economic Cycles 17 Size Universe by Investment Market 86 - 92

Cross Sectional Analysis by Size 18 - 20 Size Universe Alphas by Strategy/Investment Market 93 - 95

Cross Sectional Analysis by Age 21 - 23 Age Universe 96 - 98

Age Universe by Strategy 99 - 105

Age Universe by Investment Market 106 - 112

Age Universe Alphas by Strategy/Investment Market 113 - 115

About eVestment 116

Cross Sectional Analysis of Size & Age

with Secondary AUM Ranges24 - 25

What’s New in the 2015 Edition

3

The 2015 edition of eVestment’s Impact of Size & Age on Hedge Fund Performance report continues to build on findings from last year’s report to provide insight

into performance trends for funds of various sizes and ages. In response to feedback from eVestment clients, the 2015 edition includes the following new

elements:

(1) Analysis by strategy, including alphas where applicable

(2) Trailing statistics (3 years, 5 years, 7 years)

(3) Performance during various economic climates

(4) Migration across fund sizes

(5) More granular AUM breakdown of the ≥ USD 1 billion group

(6) Analysis of the 30 largest, most prominent funds

(7) Appendix of underlying data presented in tables and charts, inclusive of investment market information not present in the body of the report

Beyond the addition of these new elements, we have also updated, where applicable, figures from the prior edition of the report as new fund performance and

AUM records have been added to eVestment’s historical sample.


Highlights

4© eVestment Alliance, LLC - All Rights Reserved

The proportion of small (<$250m) hedge funds is declining across the hedge fund industry, while investor interest in medium ($250-$999m) and large (≥$1b) hedge fundsseems to be growing as these two groups now make up their largest share of the reporting industry to date.

The tendency for smaller funds to outperform has declined. By average annual returns, the dominant outperformance streak of small hedge funds ceased in 2009 and has beeninconsistent since.

The hedge fund industry continues to mature. The highest proportion of young funds (51.89%) dates back to December 2003, mid-age funds (35.69%) less distantly toJanuary 2008 and tenured funds (56.64%) most recently to January 2014.

Age appears to play a greater factor in relative performance than size. Young (<2 years) funds posted the highest cumulative returns since 2003 and during the past 5 yearshave also outperformed mid-age (2-5 years) and tenured (>5 years) funds.

Data confirms a marked increase in the size of new fund launches. Cross-sectional samples of size and age show the representation of medium-sized funds under 2 years ofage has increased from under 8% pre-financial crisis, to just over 13% in 2013.

Performance volatility tends to decline as AUM increases. In every year since 2003 the average medium fund has been less volatile than the average small fund, and theaverage large fund even less so than both. As a result, medium and large funds appear to have gained the upper hand over small funds in recent years on a risk-adjustedperformance basis.

It is extremely unlikely for a small fund to become large in a single year. Nine out of 10 times in our sample a small fund in one year remained a small fund in the next. Itappears that outflows move faster than inflows when it comes to large funds becoming small versus small funds becoming large.

During the worst drawdown period for the S&P 500 NTR in recent memory (Oct 2007 – Feb 2009), the average (median) prominent—group of 30 largest—fund was able tolimit its cumulative losses to a minor -0.61% (-1.29%). This feat may be viewed as even more impressive considering how difficult it can be for these largest of hedge funds toshift in and out of positions due to scale.

As the trailing period extends from 36 to 60 and 84 months, the performance results generally favor youth, as the average young fund outperformed both its peers in every 5year trailing period apart from 2010 and every 7 year trailing period excluding 2011. The same results are found when comparing the median 5 and 7 year trailing figuresexcept for the 2010 period in which the 7 year median mid-age fund outperformed the young fund.

Within the tenured group the largest funds have been less volatile. The average large fund was continually less volatile than the average medium, and the medium kept apersistently lower standard deviation than the small.

In 2014 the best performing strategy across all average size ranges was CTA/managed futures ex-commodities/FX. Securitized credit funds were the second highest small andlarge funds performers, and the third highest medium.

Data indicates that a smaller proportion of long short equity hedge funds are large products. Among small funds, long short equity (Dev/Brd) comprised 36.25% of the universeon average in a given year, among medium funds 31.55%, and among large 22.40%. But that does not mean they disappear as the data by age scenario was opposite. Longshort equity (Dev/Brd) comprised 29.52% of the young, 32.65% of the mid-age, and then 35.00% of the tenured fund universe on average.

Although rare, a few strategies managed to generate positive average annual returns for all periods throughout 2003 – 2014. Small securitized credit, young securitized credit,all three young CTA/ managed futures fund types, young and mid-age market neutral equity (Dev/Brd) funds all had zero down periods, on average.

Most strategies saw their alphas peak in 2009 (based on our chosen market benchmarks), as the financial crisis began to give way to a recovery. Alpha high points for macroand market neutral equity (Dev/Brd) funds were somewhat scattered throughout 2003 – 2014. Commodity and macro funds were the only two strategies to have positiveaverage alphas across all size and age categories in 2008.

Within the last four years, multi-strategy and long short equity (Dev/Brd) funds across the size and age spectrums were the only groups with just one instance of 5% or greaterannualized alphas. The average large multi-strategy fund posted 6.96% in 2013 and the average young long short equity (Dev/Brd) 5.15% in the same year; all of theirremaining alphas were below 5% within this period.

Methodology

5

1 Based on data from eVestment Advantage, a product which offers a view into how investment consultants and institutional investors use eVestment Analytics to evaluate managers for investment mandates.

2 According to Citi Prime Finance’s 2012 Hedge Fund Business Expense Survey

Additional steps were taken to cleanse the AUM and

performance records of funds. A fund’s maximum AUM

was compared to its average and median AUM to

identify potential data input errors. AUM values were

corrected when possible, or otherwise removed to

preserve a clean sample. Particular attention was placed

on larger funds and those with maximum AUMs

exceeding 10 times their average and medians.

Performance records with zero, very low, or very high

standard deviations were also examined, corrected

when possible, or removed in an effort to offer a more

refined analysis.

The $250 million threshold to denote a small fund was

chosen to align with a theoretical minimum operating

AUM to cover expenses. A prominent industry survey

found that, “…without incentive fees or additional capital

injections, managers should have somewhere between

$250 million and $375 million in AUM…” to cover the

expenses associated with running a fund.2 The $1

billion threshold to denote a large fund was chosen

because funds of this size and above can typically

absorb the allocations large institutional investors make

without the institution becoming the fund’s dominant

investor. Larger funds also have the resources to spend

more on accommodative infrastructures for larger

allocators.

The young, mid-age and tenured thresholds were

chosen from experience in the management of an

alternatives database with managers and investors

communicating their perceptions of age. The 5 year

threshold to denote a tenured fund is very close to the

50th percentile value of fund age.

Hedge funds were divided into three primary size and

three primary age ranges:

Some investors may prefer examining hedge funds in

narrower size bands; therefore, additional secondary

size ranges were provided for cross sectional analysis.

Hedge funds within each size and age classification

were rebalanced annually to more closely coincide with

investor timeframes which ordinarily extend beyond

monthly and quarterly periods.

Fund sizes were determined by their last twelve month

(L12M) maximum master AUM, or L12M maximum rolled

up share class AUM if the master data was missing,

because the typical fund screening process begins

several months in advance of an allocation decision.

Therefore, funds classified as small, medium, or large in

one year were used in the following year’s performance

metrics. Duplicate AUM data across master and share

classes were removed along with highly correlated

performance data.

Fund ages were determined by their performance length

as of the December preceding the start of each annual

period. Only unique fund records were kept. If share

classes belonging to this unique fund record had AUM

and performance information outside of its reported

bounds, the additional information was appended to the

record to more accurately capture assets and longevity.

Funds with less than $1 million in AUM to start each

annual period were not analyzed within that period.

Size Range Age Range

Small < $250 million Young < 2 years

Medium $250 - $999 million Mid-Age 2 - 5 years

Large ≥ $1 billion Tenured > 5 years

The hedge fund screening process for institutional

investors and investment consultants encompasses a

multitude of qualitative and quantitative components.

Among the most frequently searched criteria are assets

under management (AUM) and longevity.1 Impact of

Size & Age on Hedge Fund Performance uses these two

variables to provide insight into performance trends for

funds of various sizes and ages.

The report draws from the records of over 26,000

investment vehicles available in the eVestment

alternatives database and parses the data into:

(1) size and age indices encompassing all hedge funds

for monthly performance information;

(2) size and age universes comprised of hedge funds

that survived (those with more than 10 monthly

returns within yearly periods) for annualized

performance and risk statistics.

For the size indices and universes, funds were required

to have AUM and performance information for analysis.

For the age indices and universes, only performance

information was necessary. For cross sectional

comparisons, AUM and performance data was required.

All available fund records were utilized for the indices

analysis and the eVestment alternatives database

retains all fund records irrespective of their active or

inactive status to mitigate survivorship bias. Historical

returns for funds with a solid track record and for those

with poorer performance streaks are also captured

because performance since inception is a requisite for

funds listing with eVestment, which aids in offsetting the

effects of backfill, or instant-history, bias in the analysis.


Size and Age Indices: Number of Funds

6

Figure 1: Stacked chart of monthly index fund counts and monthly index compositions by fund size with annual rebalancing from January 2003 to December 2014

Figure 2: Stacked chart of monthly index fund counts and monthly index compositions by fund age with annual rebalancing from January 2003 to December 2014

Size and age indices were constructed using the equal

weighted average of the performance returns of funds within

their respective groups during each month. Any fund reporting

a monthly performance figure was included within its

respective index for that month, provided the fund met the

criteria outlined in the methodology. The compositions of the

size and age groups were rebalanced annually.

The number of small funds reporting performance

increased at the start of each year until reaching a peak of

2,342 in January 2007. In the ensuing years, and with the

exception of January 2010, small funds experienced

declines at the start of every year, eventually falling to

1,675 in January 2014, a -28.48% decline from the peak.

The number of medium sized funds reached its apex in

January 2012, at 579, a threefold increase from the 189

funds in January 2003. Large funds totaled 266 in January

2014, the highest of any period analyzed.

A gradual decline has befallen the smallest hedge funds

over the analysis period while the proportions of medium

and large funds comprising the size group have ticked

upwards. As of December 2014, medium funds comprised

22.27% of the size group and large 12.35%, their heftiest

shares to date.

The hedge fund industry has matured over the years. The

number of young funds reporting hit a high of 2,099 in

December 2006, mid-age funds 1,756 in January 2008, and

tenured funds 2,217 in December 2012. The highest

proportion of young funds (51.89%) dates back to

December 2003, mid-age funds (35.69%) less distantly to

January 2008 and tenured funds (56.64%) most recently to

January 2014.

0

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Young Mid-Age Tenured

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Size and Age Indices: Cumulative and Annual Performance

7

Figure 3: Cumulative index performance by size and age from January 2003 to December 2014

Figure 4: Annual index returns by size and age from January 2003 to December 2014

Of importance to keep in mind throughout the analysis is

that reporting drop-offs were more far common among

smaller funds than medium and large. For all annual

periods excluding 2003 and 2005, a greater percentage of

small funds ceased reporting by year-end, increasing the

likelihood that small funds’ lowest returns went uncaptured

in the indices. For instance, there were 20.91% fewer small

funds reporting returns in December 2008 versus the

number that reported in January 2008, compared to

10.99% fewer medium and 10.64% fewer large funds.

Among the three sizes indices, the small index had the

highest cumulative return from January 2003 to December

2014, at 139.86%. The medium index came in second at

106.49% and the large index third at 96.30%. Cumulative

returns since January 2009 have been much narrower:

52.31% for the small fund index, 56.97% for the medium,

and 49.96% for the large.

The small fund index generally outperformed the medium

and large indices on an annual basis. In 2009 and 2011

however, the small index underperformed both the medium

and large, and in 2014 it underperformed the medium.

Over the last 12 years the medium index has outperformed

the large 7 times. In 3 of the last 4 years the large index

has outperformed the medium, albeit by slim margins.

Among the three age indices, the young had the highest

cumulative return from January 2003 to December 2014, at

250.25%. The mid-age index came in second at 144.04%

followed by the tenured index at 137.24%. The young

index outperformed the mid-age and tenured on an annual

basis since 2003; the young index also remained positive in

2011 while the others turned negative. The mid-age and

tenured indices each outperformed the other in 6 of the

past 12 years, an even split.

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Size Universe: Number of Funds and Average AUMs

8

Figure 5: Fund count by size with annual rebalancing for funds with >10 months of performance in respective year and compositions by fund size with annual rebalancing from January 2002 to December 2013

Figure 6: Average and median annual AUM by size for funds with >10 months of performance in respective year in USD millions


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Small Medium Large

Average Small Medium Large

2002 49.2$ 466.5$ 1,634.8$

2003 52.9$ 487.0$ 1,713.3$

2004 55.2$ 487.4$ 2,136.9$

2005 54.9$ 486.9$ 2,311.1$

2006 55.8$ 488.4$ 2,699.9$

2007 58.9$ 499.4$ 2,918.3$

2008 59.5$ 502.3$ 3,212.8$

2009 56.2$ 485.9$ 3,314.9$

2010 59.6$ 489.9$ 3,395.5$

2011 66.8$ 499.5$ 3,492.4$

2012 67.0$ 503.2$ 3,594.2$

2013 66.4$ 501.2$ 4,081.8$

Median Small Medium Large

2002 25.2$ 425.4$ 1,349.8$

2003 27.2$ 424.4$ 1,346.9$

2004 30.2$ 433.6$ 1,671.5$

2005 30.6$ 435.0$ 1,696.7$

2006 30.1$ 429.3$ 1,706.2$

2007 35.0$ 441.1$ 1,755.0$

2008 35.0$ 443.9$ 1,864.7$

2009 32.6$ 434.0$ 2,001.5$

2010 37.0$ 431.0$ 1,919.0$

2011 44.0$ 444.5$ 1,857.3$

2012 45.0$ 462.1$ 1,868.0$

2013 44.0$ 450.0$ 2,095.0$

The following information pertaining to the size universe uses

a subset of the data from the size indices: only funds with

greater than 10 months of returns in a given annual period.

The viewpoint of this analysis is from an investor’s perspective;

therefore, funds have been classified as small, medium, or

large based on their maximum reported AUM in the last twelve

months preceding the start of a new yearly performance

period. For instance, the returns of funds classified as small in

2013 were used for the performance and risk statistics of the

2014 small fund universe.

The number of small hedge funds with more than 10

months of performance within a year rose from 1,266 in

2002 to a peak of 2,038 in 2006. Beginning in 2007 and

continuing every year thereafter, the number of small funds

declined, eventually reaching 1,330 in 2013. The number of

medium and large funds in 2013 (which were used for the

performance and risk statistics for the 2014 medium and

large fund universes), stood at 447 and 245 respectively.

Average large fund AUM has not declined year-over-year

throughout the entirety of the analysis, which at first

suggests investors have continuously allocated to the

largest funds. Yet the median AUM figures show that no

group is impervious to withdrawals or downturns, because

even the large funds experienced year-over-year declines

of USD 82.5 million from 2009 to 2010 and USD 61.7

million from 2010 to 2011.

Over the last 12 years, the average small fund has

outperformed its medium and large counterparts in all but

two years: 2009 and 2011. The median small fund

outperformed its medium and large counterparts in 7 and 8

of the last 12 years, respectively.

The disparity in the average annual returns of small funds

versus medium and large was highest in 2003, a year in

which the average small fund returned 22.87%, 8.17 points

higher than the average medium fund and 8.14 points

higher than the average large. In 2014, the difference in

outperformance was only 15 bps and 121 bps respectively.

Performance volatility tends to decline as AUM increases. In

every year since 2003 the average medium fund has been

less volatile than the average small fund, and the average

large fund even less so than both. Comparing the three

groups’ median funds shows a similar pattern, with an

exception in 2010 where the medium fund was 39 bps less

volatile than the large.

Medium and large funds appear to have gained the upper

hand over small funds in recent years on a risk-adjusted

performance basis. While the average small fund

outperformed the average medium fund in the six years

preceding 2009, the average medium fund has been

outperforming the small ever since. The average large fund

outperformed the average small fund in 4 of the last 6

years, but the storyline is more convincing when comparing

the medians, as the median medium fund outperformed the

small in 9 of the past 12 years and the large outperformed

the small in 11 of 12.

Size Universe: Performance and Risk Statistics

9

Figure 8: Average and median annualized st. dev. by size for funds with >10 months of performance in respective year

Figure 9: Avg. and median annualized Sharpe ratios by size for funds with >10 months of performance in respective year

Figure 7: Average and median annualized returns by size for funds with >10 months of performance in respective year


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In this section we require funds to report 36, 60, or 84

consecutive months of performance, with the idea that an

investor allocates to a particular sized fund and then holds this

investment over 3, 5, or 7 year timeframes.

The average small funds with 36 months of performance

has generally outperformed medium and large funds on an

annualized trailing basis. The 36 month trailing period

ending in December 2011 was an instance where both the

average medium and large funds outperformed.

As the trailing period extends from 36 to 60 to 84 months,

the average large fund’s performance improves relative to

the average medium fund. For trailing 3 year periods, the

large fund only outperforms the medium in 2 of 10

instances (2005 and 2008); for the 5 year periods it fares

better in 4 of 8 instances (2007, 2008, 2010, and 2014);

and for the 7 year periods it outperforms in 4 of 6 (2009,

2010, 2012, and 2014).

Median returns shows the performance of small funds is

slightly less impressive than their average returns over the

medium and large, but also that the median large fund

improves relative to its medium-sized peer. Whereas the

average small fund outperformed the average medium and

large in 75% or more trailing 3, 5, and 7 year periods, the

median small fund outperformed in only 50% or more of

these trailing periods. Furthermore, the median large fund’s

outperformance over the medium fund increases from

occurring in 20% of the 3 year periods, to 62.5% of the 5

year periods, and up to 83.33% of the 7 year periods.

Size Universe: Trailing Returns

10

Figure 10: Annualized average and median trailing returns by fund size; fund size determined at the start of trailing period (e.g. funds were classified as small, medium, or large in 2002 for the Trailing 5YR Returns 2007 period; funds were classified as small, medium, or large in 2003 for the Trailing 5YR Returns 2008 period)


Trailng 3YR Returns; 36 Month Performance Minimum, Through December of Respective Year

2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

Small 14.08% 11.33% 11.98% 2.23% 4.43% 4.25% 9.06% 4.51% 4.52% 7.82%

Medium 9.98% 9.28% 10.91% 1.16% 3.69% 3.66% 10.72% 4.57% 4.36% 5.90%

Large 11.44% 8.28% 9.18% 1.48% 3.10% 2.30% 9.09% 4.37% 4.25% 5.62%


2007 2008 2009 2010 2011 2012 2013 2014

Small 13.49% 4.84% 7.33% 1.31% 4.15% 3.44% 9.81% 6.08%

Medium 10.29% 3.93% 7.16% 2.08% 3.73% 2.84% 9.77% 5.41%

Large 11.48% 5.00% 6.71% 3.49% 2.62% 2.38% 8.95% 5.68%


2009 2010 2011 2012 2013 2014

Small 9.81% 8.38% 1.53% 5.92% 5.86% 4.85%

Medium 7.70% 7.12% 2.26% 5.20% 5.35% 3.96%

Large 8.78% 7.58% 2.16% 5.69% 4.53% 4.20%


2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

Small 11.42% 9.34% 9.46% 2.88% 4.37% 4.18% 7.20% 4.10% 4.65% 7.33%

Medium 8.59% 8.19% 9.36% 1.56% 3.56% 3.65% 8.76% 4.53% 5.11% 6.40%

Large 9.85% 7.94% 8.60% 1.51% 3.73% 3.05% 7.26% 4.25% 4.60% 6.33%


2007 2008 2009 2010 2011 2012 2013 2014

Small 11.27% 4.91% 6.67% 0.92% 4.13% 3.60% 8.66% 5.86%

Medium 8.56% 4.12% 6.52% 1.98% 3.58% 3.35% 8.88% 5.59%

Large 10.19% 5.35% 7.31% 2.99% 2.77% 2.59% 8.51% 6.14%


2009 2010 2011 2012 2013 2014

Small 8.77% 7.57% 1.19% 5.50% 5.92% 4.69%

Medium 7.29% 6.99% 2.05% 4.88% 5.06% 4.61%

Large 8.09% 6.85% 2.09% 5.82% 5.25% 5.29%

AVERAGE

MEDIAN

In this section we require funds to report performance over

the entirety of any of the four economic cycles based on the

S&P 500 NTR drawdown shown in figure 12. The idea here is

to get a sense of how the average and median funds based on

size—determined in the year preceding each cycle—and which

continued reporting throughout the entirety of any of these

cycles fared in terms of performance. We note that this section

is pro-forma, as it is improper to compare all hedge funds

against an equity benchmark given the broad range of asset

classes and geographies hedge funds target for investment.

The average and median small fund had higher annualized

and cumulative returns than its medium and large

counterparts in the pre-crisis, crisis, and post-rebound

periods, yet underperformed the medium fund in the rally

following the market’s March 2009 bottom through its

March 2012 climb.

In the January 2003 – September 2007 period prior to the

global financial crisis, only the average small fund

outperformed the S&P 500 NTR on a cumulative basis as it

returned 105.50% versus the equity index’s 84.16% rise.

During the deepest part of the financial crisis the average

and median funds across all three size ranges, which

continued reporting throughout the timeframe, excelled

relative to the S&P 500 by limiting their drawdowns to less

than a third and up to nearly one-sixth of the equity index’s

-50.68% decline.

In the rebound period (March 2009 – March 2012) and

post-rebound period (April 2012 – December 2014), none

of the average and median funds managed to produce

absolute returns as high as the S&P 500 NTR.

Size Universe: Returns During Various Economic Cycles

11

Figure 11: Average and median annualized and cumulative returns by fund size during various economic cycles; fund size determined at the start year of each preceding annual period (e.g. funds were classified as small, medium, or large in 2006 for the Oct 2007 – Feb 2009 period)


Jan 2003 - Sep 2007 Oct 2007 - Feb 2009 Mar 2009 - Mar 2012 Apr 2012 - Dec 2014

Small 13.78% -8.90% 11.43% 6.39%

Medium 10.45% -10.36% 12.39% 4.92%

Large 11.41% -9.93% 10.08% 4.76%

Cumulative Returns; Monthly Performance Required for Duration of Each Period

Small 105.50% -10.19% 47.74% 21.19%

Medium 66.12% -12.82% 49.52% 16.20%

Large 71.15% -12.59% 38.45% 14.82%


Small 11.62% -6.07% 9.11% 6.13%

Medium 9.32% -9.12% 10.28% 5.42%

Large 10.62% -10.11% 8.59% 5.60%

Small 68.56% -8.49% 30.85% 17.77%

Medium 52.69% -12.67% 35.23% 15.63%

Large 61.55% -14.01% 28.92% 16.16%

Median

Average

Annualized Returns; Monthly Performance Required for Duration of Each Period



Figure 12: S&P 500 net total return drawdown pre, during, and post financial crisis

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S&P 500 Net Total Return Drawdown

Pre-Crisis +84.16%

Crisis-50.68%

Reboud+100.51%

Post-Reboud +52.35%

In this section we examine the yearly migration of funds across

the three size spectrums, excluding funds that ceased

reporting (had under 11 months of performance in respective

year), liquidated, or fell below the USD 1 million threshold.

This is a look at how surviving and reporting funds moved up

or down in the size ranges.

It is extremely unlikely for a small fund to become large in

a single year. Just 0.18% of small funds, on average, have

managed to grow their asset base beyond USD 1 billion in

one year. Nine out of 10 times in our sample a small fund

in one year remained a small fund in the next.

It appears that outflows move faster than inflows when it

comes to large funds becoming small, versus small funds

becoming large. On average, 1.39% of large funds in one

year convert to small funds in the next compared to 0.18%

on the contrary.

The average AUM change of small funds which remained

small in the subsequent year fell within a narrow band of

USD 25 million, from a low of USD -8.9 million in 2009 to a

high of USD 16.1 million in 2004.

Medium funds turning large in subsequent years

experienced an average AUM expansion exceeding that of

the large funds which remained large in every year except

2006 and 2007.

Size Universe: AUM Migration Across Time

12

Figure 13: AUM migration by size for funds with >10 months of performance in respective year; excluding funds that ceased reporting/liquidated/fell below USD 1 million; (e.g. of how to read table: of the funds classified as small in 2002, 92.31% remained small in 2003; of the funds classified as small in 2003, 91.48% remained small in 2004)


AUM

Preceding

Year

AUM End$1 -

$249M

$250 -

$999M≥$1B

$1 -

$249M

$250 -

$999M≥$1B

$1 -

$249M

$250 -

$999M≥$1B

2003 92.31% 7.69% 0.00% 12.15% 67.96% 19.89% 2.86% 14.29% 82.86%

2004 91.48% 8.16% 0.35% 8.12% 76.92% 14.96% 0.00% 3.13% 96.88%

2005 93.15% 6.85% 0.00% 11.04% 76.66% 12.30% 0.99% 10.89% 88.12%

2006 92.85% 6.98% 0.17% 14.29% 72.75% 12.96% 0.79% 9.45% 89.76%

2007 92.38% 7.51% 0.10% 9.05% 75.95% 15.00% 0.60% 7.78% 91.62%

2008 94.82% 5.13% 0.06% 14.41% 78.17% 7.42% 1.00% 14.50% 84.50%

2009 96.60% 3.29% 0.11% 36.21% 60.42% 3.37% 4.55% 35.35% 60.10%

2010 94.49% 5.34% 0.17% 11.06% 80.10% 8.85% 2.14% 12.14% 85.71%

2011 91.86% 7.77% 0.37% 10.60% 79.03% 10.37% 0.62% 5.56% 93.83%

2012 94.15% 5.51% 0.34% 11.84% 80.76% 7.40% 0.45% 8.97% 90.58%

2013 91.71% 7.96% 0.33% 16.29% 72.18% 11.53% 1.32% 12.78% 85.90%

Average 93.26% 6.56% 0.18% 14.10% 74.63% 11.28% 1.39% 12.26% 86.35%

AUM

Preceding

Year

AUM End$1 -

$249M

$250 -

$999M≥$1B

$1 -

$249M

$250 -

$999M≥$1B

$1 -

$249M

$250 -

$999M≥$1B

2003 15.6$ 265.0$ N/A (144.4)$ 106.4$ 776.9$ (1,047.8)$ (636.3)$ 468.6$

2004 16.1$ 224.5$ 1,005.8$ (246.5)$ 116.1$ 868.4$ N/A (670.5)$ 820.8$

2005 10.4$ 221.8$ N/A (158.5)$ 43.4$ 533.5$ (1,906.4)$ (378.7)$ 483.1$

2006 11.0$ 246.7$ 1,267.6$ (180.0)$ 54.4$ 704.7$ (1,130.2)$ (688.7)$ 849.4$

2007 12.7$ 210.9$ 1,484.5$ (183.8)$ 80.0$ 736.1$ (5,555.6)$ (478.7)$ 833.6$

2008 4.0$ 216.1$ 882.9$ (221.1)$ 18.2$ 528.6$ (1,028.5)$ (556.0)$ 351.5$

2009 (8.9)$ 194.6$ 1,927.8$ (247.0)$ (80.0)$ 530.0$ (1,412.1)$ (824.5)$ (765.9)$

2010 3.7$ 186.2$ 1,387.8$ (210.0)$ 38.4$ 626.0$ (1,455.5)$ (656.3)$ 598.4$

2011 11.8$ 253.1$ 1,323.6$ (175.8)$ 54.5$ 789.1$ (3,596.1)$ (1,148.2)$ 745.0$

2012 2.9$ 243.5$ 1,193.6$ (182.0)$ 16.8$ 664.5$ (1,485.8)$ (674.9)$ 415.0$

2013 (1.0)$ 224.6$ 2,176.9$ (232.7)$ 23.0$ 962.3$ (1,093.7)$ (761.4)$ 612.0$

Percentage of Funds

Small Medium Large

Average AUM Change italicized figures contain <8 funds

LargeMediumSmall

In this section we examine the 30 largest, most prominent

reporting hedge funds as of year-end 2014. Combined, these

30 funds reported USD 448.40 billion in AUM in December

2014, with individual fund AUM ranging between USD 5.33

billion to USD 78.88 billion, averaging USD 14.95 billion, and

with a median of USD 9.28 billion.

The 30 largest, most prominent hedge funds returned

6.01% on average in 2014, a higher figure than that of the

average small, medium, large, mid-age, and tenured funds

in the same period. Just the average young fund surpassed

this figure, but only by 5 bps.

As was the case among all average funds by size and age,

the average prominent fund finished in the red in 2008.

However in 2011, it joined the average young as the only

other to remain in the black, although the prominent

group’s median was -0.56% for the year.

The average and median prominent fund was able to

maintain a positive Sharpe ratio in every annual period

outside of 2008.

During the worst drawdown period for the S&P 500 NTR in

recent memory (October 2007 – February 2009), the

average (median) prominent fund was able to limit its

cumulative losses to a minor -0.61% (-1.29%). This feat

may be viewed as even more impressive considering how

difficult it can be for these largest of hedge funds to shift in

and out of positions due to scale.

Size Universe: 30 Largest, Most Prominent Hedge Funds

13

Figure 14: Average and median return and risk statistics for the 30 largest hedge funds with >10 months of performance in respective year


Fund

Return St. Dev. Sharpe Return St. Dev Sharpe Count

2003 22.00% 6.87% 3.81 20.06% 5.24% 3.66 16

2004 17.49% 6.31% 2.67 15.34% 5.68% 2.09 20

2005 12.43% 7.27% 1.26 9.44% 6.94% 1.19 21

2006 16.38% 6.82% 2.19 16.81% 6.62% 1.97 25

2007 38.54% 11.17% 1.41 16.40% 7.22% 1.41 27

2008 -7.03% 13.47% -0.64 -7.40% 12.60% -0.86 27

2009 21.32% 7.89% 2.97 19.72% 7.24% 3.29 30

2010 11.59% 7.72% 1.83 10.60% 7.03% 1.44 30

2011 1.64% 7.82% 0.43 -0.56% 6.90% 0.00 30

2012 10.27% 6.33% 2.10 10.68% 5.56% 1.74 30

2013 14.39% 6.31% 2.83 13.00% 5.72% 3.17 30

2014 6.01% 6.81% 1.18 5.58% 7.33% 1.14 30

MedianAverage


2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

Average 16.67% 14.82% 14.62% 7.21% 13.02% 7.65% 10.68% 7.48% 8.26% 9.97%

Median 16.16% 12.31% 13.69% 7.71% 8.75% 8.60% 10.99% 5.63% 8.14% 8.75%


2007 2008 2009 2010 2011 2012 2013 2014

Average 15.74% 9.52% 10.83% 10.77% 9.94% 7.00% 11.17% 8.35%

Median 14.09% 9.60% 10.56% 11.19% 7.05% 6.67% 11.66% 7.82%


2009 2010 2011 2012 2013 2014

Average 15.31% 9.70% 11.07% 10.94% 9.93% 6.94%

Median 14.09% 9.60% 10.56% 11.19% 7.05% 6.57%

January 2003 -

September 2007

October 2007 -

February 2009

March 2009 -

March 2012

April 2012 -

December 2014

Average 15.75% -1.04% 11.57% 9.09%

Median 14.52% -0.91% 11.56% 8.50%


Average 103.61% -0.61% 41.77% 27.68%

Median 90.42% -1.29% 40.11% 25.16%


Figure 15: Average and median trailing annualized returns for the 30 largest hedge funds

Figure 16: Average and median annual and cumulative returns for the 30 largest hedge funds during various economic cycles

Age Universe: Number of Funds and Longevity

14

Figure 18: Average and median longevity by age for funds with >10 months of performance in respective year


Figure 17: Fund count by age with annual rebalancing for funds with >10 months of performance in respective year and compositions by fund age with annual rebalancing from January 2003 to December 2014

0

200

400

600

800

1,000

1,200

1,400

1,600

1,800

2,000

2,200


0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%


Average Young Mid-Age Tenured

2003 11.15 40.12 108.97

2004 11.59 39.98 109.40

2005 11.77 38.55 108.51

2006 11.34 40.05 109.45

2007 12.03 41.44 110.06

2008 12.29 41.61 109.73

2009 12.00 41.21 109.51

2010 12.25 42.36 112.25

2011 12.28 42.60 114.16

2012 12.66 42.77 117.58

2013 12.89 43.44 122.26

2014 12.33 43.58 127.44

Median Young Mid-Age Tenured

2003 11 39 96

2004 12 39 96

2005 12 36 95

2006 11 39 96

2007 12 42 96

2008 12 41 96

2009 12 41 95

2010 12 43 96

2011 12 42 100

2012 13 43 106

2013 13 44 111

2014 12 45 116

The following information pertaining to the age universe uses a

subset of the data from the age indices: only funds with

greater than 10 months of returns in a given annual period.

The number of young hedge funds with more than 10

months of performance within an annual period declined

from a peak of 1,490 in 2007 to 484 in 2014. Mid-age funds

fell from a high of 1,503 in 2008 to 824 in 2014. Tenured

funds reached a peak of 1,904 in 2011.

Investors may have become more hesitant to allocate to

funds that lack longer track records following the global

financial crisis. All three age groups saw their numbers rise

from 2003 to 2007, but in 2008, 8.72% fewer young funds

(with more than 10 months of returns) continued reporting

from the prior year and in 2009, 1.26% fewer mid-age

funds reported. The declines for both groups have

continued in each year since.

Tenured funds have seen their percentage share of the

universe increase in every year, from 26.58% in 2003 to

56.46% in 2014.

15

Figure 20: Average and median annualized st. dev. by age for funds with >10 months of performance in respective year

Figure 21: Average and median annualized Sharpe ratios by age for funds with >10 months of performance in respective year

Figure 19: Average and median annual returns by age for funds with >10 months of performance in respective year• Annual returns for the average young fund were higher

than the average mid-age and tenured funds in every year

since 2003. Annual returns of the median young fund were

higher in every year except 2003 (lower than both mid-age

and tenured).

• Mid-age and tenured funds have generally gone back and

forth in outperformance over one another since 2003. By

average returns, the split was 50/50; by median returns,

the mid-age fund has two additional years in its favor.

• Tenured funds are typically more volatile than their peers.

Performance volatility generally appears to increase with

age. Both average young and mid-age funds had lower

annualized standard deviations than the average tenured in

10 of the past 12 years; the median young was less volatile

in 9 of 12 and the mid-age in 11 of 12 versus the median

tenured.

• Annualized risk-adjusted performance tends to wane with

age. The average tenured fund only outperformed the

average mid-age in 2009, and the average mid-age only

outperformed the young in 2012. By median returns, young

funds always exhibited higher Sharpe ratios and the mid-

age outperformed the large in 9 of 12 periods.

Age Universe: Performance and Risk Statistics


-15%

-10%

-5%

0%

5%

10%

15%

20%

25%

30%


Returns Average

-15%

-10%

-5%

0%

5%

10%

15%

20%

25%


Returns Median

8%

10%

12%

14%

16%

18%

20%


St. Dev.Average

6%

8%

10%

12%

14%

16%


St. Dev. Median

-1

-0.5

0

0.5

1

1.5

2

2.5

3


Sharpe Average

-1.5

-1

-0.5

0

0.5

1

1.5

2

2.5


Sharpe Median

Age Universe: Trailing Returns

16

Figure 22: Annualized average and median trailing returns by fund age; fund age determined at the start of trailing period (e.g. funds were classified as young, mid-age, or tenured in 2003 for the Trailing 5YR Returns 2007 period; funds were classified as young, mid-age, or tenured in 2004 for the Trailing 5YR Returns 2008 period)


In this section we require funds to report 36, 60, or 84

consecutive months of performance, with the idea that an

investor allocates to a fund with a general track record length

and then holds this investment over 3, 5, or 7 year

timeframes.

The average young fund with 36 months of performance

has outperformed mid-age and tenured funds on an

annualized trailing basis in every period excluding the 36

months ending December 2005, which saw the mid-age

outperform by 52 bps.

By trailing 36 month median returns, the tenured fund

fared better the both the young and mid-age funds,

outperforming the young in 8 of 10 periods and the mid-

age in 7 of 10 (tied in 2013).

As the trailing period extends from 36 to 60 and 84

months, the performance results generally favor youth, as

the average young fund outperformed both its peers in

every 5 year trailing period apart from 2010 and every 7

year trailing period excluding 2011. The same results are

found when comparing the median 5 and 7 year trailing

figures except for the 2010 period in which the 7 year

median mid-age fund outperformed the young fund.


2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

Young 14.21% 12.51% 13.71% 5.30% 6.91% 6.56% 12.07% 7.93% 6.78% 9.01%

Mid-Age 14.72% 11.62% 11.91% 2.27% 4.70% 4.35% 9.39% 4.88% 5.81% 8.83%

Tenured 13.75% 10.46% 11.21% 1.38% 4.02% 4.10% 9.31% 4.60% 4.28% 7.38%


2007 2008 2009 2010 2011 2012 2013 2014

Young 14.15% 6.12% 8.56% 1.41% 5.78% 5.37% 12.01% 8.13%

Mid-Age 13.74% 5.27% 7.32% 2.02% 4.16% 3.48% 9.60% 6.52%

Tenured 12.60% 4.38% 6.74% 2.32% 3.70% 3.23% 9.95% 5.98%


2009 2010 2011 2012 2013 2014

Young 10.26% 8.91% 1.76% 7.33% 7.05% 6.66%

Mid-Age 9.38% 8.53% 1.92% 6.31% 5.89% 4.52%

Tenured 9.13% 7.67% 2.25% 5.44% 5.56% 4.81%


2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

Young 11.20% 10.40% 9.29% 1.53% 3.89% 3.83% 7.47% 3.97% 4.42% 6.98%

Mid-Age 11.57% 9.80% 8.84% 1.49% 4.14% 3.08% 8.10% 4.08% 4.72% 6.45%

Tenured 11.98% 8.76% 9.99% 2.61% 5.07% 4.08% 7.17% 4.48% 4.72% 7.09%


2007 2008 2009 2010 2011 2012 2013 2014

Young 11.83% 5.73% 7.78% 0.92% 5.56% 5.08% 10.49% 7.27%

Mid-Age 11.31% 5.29% 6.67% 1.50% 4.25% 3.63% 8.68% 6.32%

Tenured 10.70% 3.79% 6.25% 2.14% 3.38% 3.29% 9.34% 5.89%


2009 2010 2011 2012 2013 2014

Young 9.20% 7.90% 1.28% 6.75% 6.85% 6.10%

Mid-Age 8.55% 8.10% 1.66% 6.08% 6.01% 5.05%

Tenured 8.12% 6.98% 2.07% 5.26% 5.44% 4.96%

MEDIAN

AVERAGE

Age Universe: Returns During Various Economic Cycles

17

Figure 23: Average and median annualized and cumulative returns by fund age during various economic cycles; fund age determined at the start year of each period (e.g. funds were classified as young, mid-age, or tenured in 2007 for the Oct 2007 – Feb 2009 period)


Figure 24: S&P 500 net total return drawdown pre, during, and post financial crisis


Young 14.35% -4.13% 13.65% 8.05%

Mid-Age 14.22% -7.93% 11.49% 7.47%

Tenured 12.87% -9.30% 11.67% 6.06%


Young 108.94% -3.56% 55.31% 26.12%

Mid-Age 110.48% -9.23% 47.85% 24.00%

Tenured 93.56% -10.85% 47.31% 22.68%


Young 12.12% -2.27% 11.04% 7.05%

Mid-Age 11.62% -5.90% 9.03% 7.04%

Tenured 11.19% -9.85% 10.02% 6.12%

Young 72.17% -3.20% 38.12% 20.61%

Mid-Age 68.58% -8.26% 30.54% 20.56%

Tenured 65.54% -13.66% 34.24% 17.75%

Average


Median



In this section we require funds to report performance over

the entirety of any of the four economic cycles based on the

S&P 500 NTR drawdown shown in figure 12. The idea here is

to get a sense of how the average and median funds based on

age—determined in the year preceding each cycle—and which

continued reporting throughout the entirety of any of these

cycles fared in terms of performance. We note that this section

is pro-forma, as it is improper to compare all hedge funds

against an equity benchmark given the broad range of asset

classes and geographies hedge funds target for investment.

The average and median young fund outperformed its mid-

age and tenured peers during the four assessed economic

cycles in terms of annualized returns. Cumulatively, it

outperformed the tenured in every period and the mid-age

in all but the average pre-crisis (January 2003 – September

2007).

In the January 2003 – September 2007 and October 2007 –

February 2009 periods, the average funds from all three

age groups outperformed the S&P 500 net total return on a

cumulative basis. In the rebound and post-rebound periods

that followed, the returns for each of the three average age

groups were roughly half of the S&P index.

The only period in which the median mid-age fund had

lower annualized and cumulative returns than the tenured

fund was between March 2009 – March 2012.

-55%

-50%

-45%

-40%

-35%

-30%

-25%

-20%

-15%

-10%

-5%

0%

S&P 500 Net Total Return Drawdown

Pre-Crisis +84.16%

Crisis-50.68%

Reboud+100.51%

Post-Reboud +52.35%

The following cross sectional information pertaining to the size

and age universes uses a subset of the data from the size and

age indices. This section examines fund ages by size.

• The percentage composition of small funds which are

young has steadily declined since the first year of the

analysis, from 41.71% in 2002 to 13.76% in 2013. A similar

pattern of young funds waning is also found in the medium

and large groups. Tenured fund percentages have

increased among all three size groups from 2002 to 2013.

• The percentage of large funds which are tenured increased

from 59.46% in 2002 to 83.67% in 2013, the highest total

to date. Amassing USD 1 billion or more in assets is usually

a lengthy and formidable undertaking; it is no wonder that

relative to its small and medium size peers the annual

universe composition of large tenured funds grew higher

with the passing of time.

• Within the small and large size categories, the average

young fund outperformed mid-age and tenured peers for

the majority of annual occasions, but went 50/50 with the

mid-age fund in the medium bucket and only beat the

tenured in 4 of 12 periods throughout the analysis.

• In the down years of 2008 and 2011, the youngest small

funds experienced lower drawdowns than their mid-age

and tenured small peers. The order was reversed within the

medium category, as tenured outperformed mid-age and

mid-age outperformed young. Results in the large segment

are less conclusive because of sample restrictions in the

number of young funds reporting in 2011, but in 2008 the

young was the lowest performer.

Cross Sectional Analysis by Size

18

Figure 25: Annual universe composition and average annual returns by size and age for funds with >10 months of performance in respective year; note 2003-05, ‘09, ‘11-’14 large young fund samples contain <8 funds


0%

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30%

40%

50%

60%

70%

80%

90%

100%


Small

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Medium

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Large

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Small Returns

-25%

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-5%

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Medium Returns

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-5%

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35%


Large Returns


19

• Within the small size segment, the youngest funds were

nearly always less volatile than their older peers; tenured

funds were less volatile in 2007 and mid-age in 2006 and

2007.

• As AUM expands the youngest funds begin to lose their

steadiness versus the mid-age and tenured funds. Small

mid-age funds were less volatile than the small young in

only 2 of 12 periods, medium mid-age were less volatile

than the medium young in 8 of 12, and the large mid-age

were less volatile than the large young in 5 of 12. Small

tenured funds were less volatile than the small young in

only 1 of 12 periods, but medium tenured were less volatile

than medium young in 4 of 12 and large tenured less so

than the large young in 6 of 12.

• Among the small size funds, young funds produced the

best risk-adjusted returns in every year except 2012 (mid-

age posted a slightly higher 1.53 versus 1.46 Sharpe ratio);

among the medium and large categories the youngest

funds did not outperform as consistently on an annual

basis.

• Over the last three years in the large size category, mid-

age funds have exhibited the highest Sharpe ratios among

the three age groups. Tenured funds also outperformed the

young in this timeframe, and have done so in 7 of the past

12 years.


0%

4%

8%

12%

16%

20%

24%


Small St. Dev.

Figure 26: Average annualized standard deviations and Sharpe ratios by size and age for funds with >10 months of performance in respective year; note 2003-05, ‘09, ‘11-’14 large young fund samples contain <8 funds

5%

10%

15%

20%

25%


Medium St. Dev.

0%

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10%

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20%

25%


Large St. Dev.

-1

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Small Sharpe

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Medium Sharpe

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Large Sharpe


20

Figure 27: Annual universe composition, average annual returns, average standard deviations, and average Sharpe ratios by size and age for funds with >10 months of performance in respective year; italicized figures indicate <8 funds in sample


Young Mid-Age Tenured2003 9.43% 11.02% 12.09%2004 9.67% 10.38% 10.71%2005 9.41% 9.66% 10.90%2006 10.05% 9.74% 10.66%2007 11.60% 10.99% 11.29%2008 18.58% 19.59% 19.88%2009 13.36% 14.72% 15.30%2010 10.23% 13.28% 12.93%2011 10.62% 12.64% 14.19%2012 8.44% 9.41% 12.04%2013 8.36% 9.02% 10.39%2014 7.83% 8.60% 10.07%



S

T

A

N

D

A

R

D

D

E

V

I

A

T

I

O

N

Small

Medium

Large

Young Mid-Age Tenured2003 2.32 2.17 2.002004 1.52 1.18 1.212005 1.12 0.75 0.652006 1.37 1.31 0.912007 1.45 0.89 0.652008 0.26 -0.43 -0.502009 2.46 1.44 1.472010 1.87 0.98 1.302011 0.34 -0.06 -0.092012 1.46 1.53 0.882013 2.12 1.78 1.392014 1.79 1.28 0.71

Young Mid-Age Tenured2003 2.48 1.85 2.062004 0.96 1.01 0.782005 1.03 0.71 0.902006 1.10 1.16 1.062007 0.57 0.81 0.732008 -0.83 -0.52 -0.732009 2.07 1.78 2.042010 1.86 1.78 1.312011 -0.12 0.29 0.262012 2.38 2.24 1.442013 2.56 1.56 1.572014 1.19 2.33 1.21

Young Mid-Age Tenured2003 2.78 2.58 3.262004 1.36 1.91 1.442005 0.98 0.34 0.922006 1.31 1.26 1.252007 0.62 0.48 0.752008 -1.38 -0.97 -1.072009 2.85 1.65 1.962010 2.29 1.10 1.122011 1.42 0.06 -0.102012 1.03 2.28 1.252013 -0.18 2.03 1.812014 0.46 1.44 0.83

S

H

A

R

P

E

R

A

T

I

O

Small

Medium

Large

Young Mid-Age Tenured2003 22.26% 22.58% 24.25%2004 11.61% 10.20% 10.52%2005 12.88% 8.86% 10.48%2006 14.19% 14.64% 12.20%2007 17.04% 11.22% 10.92%2008 -8.33% -11.56% -11.59%2009 22.47% 21.20% 23.14%2010 12.05% 10.15% 11.40%2011 -0.13% -4.28% -5.99%2012 8.04% 8.46% 7.03%2013 11.48% 10.42% 11.61%2014 4.24% 4.07% 3.84%

Young Mid-Age Tenured2003 13.90% 12.54% 16.73%2004 4.87% 7.10% 6.74%2005 10.89% 10.18% 9.63%2006 11.51% 12.76% 11.90%2007 8.97% 12.51% 10.62%2008 -20.40% -16.64% -15.81%2009 25.01% 22.63% 31.48%2010 11.48% 8.62% 8.85%2011 -3.74% -0.23% -2.87%2012 9.88% 8.26% 6.23%2013 10.28% 7.04% 8.69%2014 2.68% 3.03% 4.16%

Young Mid-Age Tenured2003 15.53% 14.01% 14.94%2004 5.86% 11.05% 8.97%2005 11.79% 6.85% 8.82%2006 11.35% 10.77% 10.79%2007 10.55% 8.44% 10.97%2008 -23.20% -16.05% -16.45%2009 29.03% 20.13% 22.78%2010 13.23% 7.46% 8.50%2011 4.00% -0.86% -2.86%2012 4.67% 8.81% 6.37%2013 0.64% 6.92% 9.25%2014 6.01% 2.27% 2.78%

Small

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Cross Sectional Analysis by Age

21

Figure 28: Annual universe composition and average annual returns by age and size for funds with >10 months of performance in respective year; note 2003-05, ‘09, ‘11-’14 young large fund samples contain <8 funds

The following cross sectional information pertaining to the size

and age universes uses a subset of the data from the size and

age indices. This section examines fund sizes by age.

• The percentage of young funds which are small has slowly

trended downward during the analysis, although there were

a few upside blips. The percentage of young medium-sized

funds reached 13.43% in 2013, the highest total to date.

• Among the mid-age group, the percentage compositions of

small and medium funds exhibited ebb and flow patterns

during the 12 year analysis. Typically, a year or two of

declines were followed by the occasional year or two of

increases, likely the result of funds being reclassified from

young to mid-age and mid-age to tenured. Mid-age small

funds did show a substantial 6.20 point rise from 2008 to

2009, bringing their percentage composition to 82.61%,

slightly beneath their 84.41% high in 2002.

• The trend among the tenured group included a general

decline in the percentage of small funds offset by an

increase in the large during the past 12 years. Between

2008 and 2009 however, the small group’s composition

expanded by nearly 10 points as many of the prior

medium-sized funds saw their assets fall below the USD

250 million threshold, thus resulting in a reclassification.

• Across all three age ranges it appears that being small

helps during a substantial market decline but not so much

in a flat trading year. Within all three ages, the smallest

fund had the lowest drawdown during the 2008 crisis; in

the 2011 flat period, the mid-age and tenured small funds

were the lowest performers relative to medium and large

peers.


0%

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Small Medium Large

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Small Medium Large

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-25%

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Small Medium Large

Tenured Returns


22

Figure 29: Average annualized standard deviations and Sharpe ratios by age and size for funds with >10 months of performance in respective year; note 2003-05, ‘09, ‘11-’14 young large fund samples contain <8 funds• Among the young, mid-age, and tenured groups, the

average small fund was usually the most volatile (only less

volatile than medium and large funds in 2008 and 2014).

• Within the tenured group the largest funds have been less

volatile. The average large fund was continually less volatile

than the average medium, and the medium kept a

persistently lower standard deviation than the small.

• The most volatile performance years for all three age

ranges, across all three sizes, were in 2008 during the

crash and in the ensuing rebound in 2009. Average

volatility has been ticking down ever since among the mid-

age and tenured funds.

• Young, mid-age, and tenured funds generated annualized

Sharpe ratios of 2.0 or higher infrequently. There were

back-to-back readings of 2.0 or higher in only three

instances: young medium funds in 2012/2013, young large

in 2009/2010, and mid-age large in 2012/2013.

• As funds age, the effect of bigger size becomes beneficial

in terms of risk-adjusted performance. Tenured medium

funds outperformed the small in 10 of 12 periods and the

large outperformed small in 9 of 12. Medium and large

funds split the difference, with each outperforming the

other in 6 of 12 periods, but the medium finished ahead in

6 of the last 7 years.


0%

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23

Figure 30: Annual universe composition, average annual returns, average standard deviations, and average Sharpe ratios by age and size for funds with >10 months of performance in respective year; italicized figures indicate <8 funds in sample


Small Medium Large2003 22.26% 13.90% 15.53%2004 11.61% 4.87% 5.86%2005 12.88% 10.89% 11.79%2006 14.19% 11.51% 11.35%2007 17.04% 8.97% 10.55%2008 -8.33% -20.40% -23.20%2009 22.47% 25.01% 29.03%2010 12.05% 11.48% 13.23%2011 -0.13% -3.74% 4.00%2012 8.04% 9.88% 4.67%2013 11.48% 10.28% 0.64%2014 4.24% 2.68% 6.01%

Small Medium Large2003 22.58% 12.54% 14.01%2004 10.20% 7.10% 11.05%2005 8.86% 10.18% 6.85%2006 14.64% 12.76% 10.77%2007 11.22% 12.51% 8.44%2008 -11.56% -16.64% -16.05%2009 21.20% 22.63% 20.13%2010 10.15% 8.62% 7.46%2011 -4.28% -0.23% -0.86%2012 8.46% 8.26% 8.81%2013 10.42% 7.04% 6.92%2014 4.07% 3.03% 2.27%

Small Medium Large2003 24.25% 16.73% 14.94%2004 10.52% 6.74% 8.97%2005 10.48% 9.63% 8.82%2006 12.20% 11.90% 10.79%2007 10.92% 10.62% 10.97%2008 -11.59% -15.81% -16.45%2009 23.14% 31.48% 22.78%2010 11.40% 8.85% 8.50%2011 -5.99% -2.87% -2.86%2012 7.03% 6.23% 6.37%2013 11.61% 8.69% 9.25%2014 3.84% 4.16% 2.78%

Young

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Small Medium Large2003 9.43% 6.37% 4.86%2004 9.67% 5.61% 4.20%2005 9.41% 7.92% 5.72%2006 10.05% 8.65% 7.94%2007 11.60% 9.13% 9.73%2008 18.58% 21.27% 20.24%2009 13.36% 10.88% 10.86%2010 10.23% 6.99% 10.17%2011 10.62% 9.31% 5.04%2012 8.44% 7.71% 8.29%2013 8.36% 6.26% 4.36%2014 7.83% 8.38% 10.52%



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Small Medium Large2003 2.32 2.48 2.782004 1.52 0.96 1.362005 1.12 1.03 0.982006 1.37 1.10 1.312007 1.45 0.57 0.622008 0.26 -0.83 -1.382009 2.46 2.07 2.852010 1.87 1.86 2.292011 0.34 -0.12 1.422012 1.46 2.38 1.032013 2.12 2.56 -0.182014 1.79 1.19 0.46

Small Medium Large2003 2.17 1.85 2.582004 1.18 1.01 1.912005 0.75 0.71 0.342006 1.31 1.16 1.262007 0.89 0.81 0.482008 -0.43 -0.52 -0.972009 1.44 1.78 1.652010 0.98 1.78 1.102011 -0.06 0.29 0.062012 1.53 2.24 2.282013 1.78 1.56 2.032014 1.28 2.33 1.44

Small Medium Large2003 2.00 2.06 3.262004 1.21 0.78 1.442005 0.65 0.90 0.922006 0.91 1.06 1.252007 0.65 0.73 0.752008 -0.50 -0.73 -1.072009 1.47 2.04 1.962010 1.30 1.31 1.122011 -0.09 0.26 -0.102012 0.88 1.44 1.252013 1.39 1.57 1.812014 0.71 1.21 0.83

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24

Figure 33: Annual counts and average annual returns by age and size for funds with >10 months of performance in respective year; italicized denotes <5 funds in sample

The following cross sectional information with secondary AUM

ranges of the size and age universes, uses a subset of the

data from the size and age indices. Commentary will exclude

samples with under 5 reporting funds. Once again, we note

that the viewpoint of this analysis is from an investor’s

perspective; therefore, funds have been classified by size

based on their maximum reported AUM in the last twelve

months preceding the start of a new yearly performance

period. For instance, the returns of funds classified as

belonging to the USD 5 – 9.99 billion group in 2013 were used

for the performance and risk statistics for the USD 5 - 9.99

billion 2014 fund universe.

• In 2014, and excluding samples with under 5 funds, the

average young fund with USD 1 - 9.99 million in assets

generated the highest annual return, at 7.26%. In 2013, it

was the average mid-age fund with USD 1 – 9.99 million

with 16.45% and in 2012 it was the young fund with USD

250 – 499.9 million with 12.53%.

• In 2011, a year in which the average hedge fund was in

the red, young funds with USD 1 - 9.99 million, USD 100 -

249.99 million, USD 1 – 4.99 billion, and mid-age with USD

500 - 749.99 million and USD 750 – 999.9 million in assets

were groups which remained in the black.

• The average tenured fund with USD 5 – 9.99 billion was

among the best performers in 2014. Only 4 of 27 other

fund size and age combinations produced a higher return

than the 5.83% of this tenured subset (in total there are

33 fund size and age combinations but we exclude

samples with under 5 funds for this commentary).


Cross Sectional Analysis of Size & Age with Secondary AUM Ranges

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20131m-9.99m 198 197 181 226 180 153 141 84 51 59 51 47

10m-24.99m 112 149 139 135 167 106 100 73 58 44 46 3325m-49.99m 88 92 108 115 133 103 73 50 54 39 30 3850m-99.99m 68 81 83 95 100 95 51 51 49 38 34 39

100m-249.99m 62 80 77 83 92 99 83 53 47 59 42 27250m-499.99m 23 28 24 30 36 36 32 30 18 17 15 18500m-749.99m 12 7 14 15 6 9 16 6 5 13 8 9750m-999.99m 2 7 5 8 10 2 5 3 2 4 4 2

1b - 4.99b 4 3 5 7 8 9 6 7 7 6 4 35b - 9.99b N/A N/A N/A 1 1 N/A N/A 1 N/A N/A N/A 1

10b+ N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A1m-9.99m 109 130 137 140 137 136 139 136 124 74 81 79

10m-24.99m 92 104 123 140 156 134 106 121 91 96 65 7425m-49.99m 74 85 100 115 139 122 143 129 103 106 104 6950m-99.99m 64 82 122 137 128 147 131 138 131 91 112 85

100m-249.99m 78 106 140 171 189 174 171 160 136 130 123 89250m-499.99m 48 62 92 98 104 111 101 73 78 94 62 61500m-749.99m 15 29 37 38 47 47 40 37 24 24 30 21750m-999.99m 3 9 13 15 25 34 24 10 15 14 15 17

1b - 4.99b 11 23 34 42 48 65 43 21 27 44 42 365b - 9.99b N/A N/A 1 2 1 1 4 3 1 N/A 3 N/A

10b+ N/A N/A N/A N/A 3 2 1 N/A N/A N/A N/A N/A1m-9.99m 57 56 66 83 89 75 94 123 119 88 93 109

10m-24.99m 56 82 96 96 106 116 138 155 165 136 133 10525m-49.99m 58 72 102 103 127 130 151 178 163 146 158 13550m-99.99m 75 84 99 117 119 122 159 192 202 184 199 181

100m-249.99m 75 101 124 139 177 190 209 240 242 283 289 221250m-499.99m 53 60 82 104 120 134 160 150 192 193 208 175500m-749.99m 20 25 43 59 67 69 81 78 74 94 118 98750m-999.99m 11 14 21 28 26 39 49 43 57 54 54 46

1b - 4.99b 22 42 63 79 103 112 133 92 105 142 161 1585b - 9.99b N/A 1 2 4 12 14 19 17 23 33 31 33

10b+ N/A N/A 1 1 2 7 7 3 7 8 12 14

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 20141m-9.99m 29.64% 15.10% 13.54% 14.95% 24.31% -5.92% 23.05% 12.45% 3.23% 9.58% 13.19% 7.26%

10m-24.99m 20.10% 13.01% 11.17% 15.12% 13.89% -8.98% 25.15% 11.31% -0.21% 8.25% 9.24% 0.76%25m-49.99m 17.09% 8.76% 14.57% 12.71% 12.71% -7.58% 22.42% 14.02% -1.84% 7.88% 14.59% 3.36%50m-99.99m 18.68% 8.62% 12.21% 13.19% 18.84% -7.76% 24.95% 12.42% -2.52% 9.20% 8.05% 3.62%

100m-249.99m 13.82% 6.70% 12.78% 13.79% 12.79% -12.78% 17.08% 10.18% 0.74% 5.69% 12.39% 5.37%250m-499.99m 12.81% 5.21% 9.56% 9.83% 11.66% -21.95% 23.14% 11.10% -4.29% 12.53% 11.08% 6.38%500m-749.99m 14.00% 1.38% 13.56% 11.57% 1.61% -15.34% 27.25% 13.61% -2.61% 6.05% 8.53% 2.56%750m-999.99m 25.77% 7.01% 9.80% 17.69% 3.70% -15.23% 29.82% 11.05% -1.64% 11.02% 10.76% -30.13%

1b - 4.99b 15.53% 5.86% 11.79% 11.60% 12.01% -23.20% 29.03% 13.70% 4.00% 4.67% 0.64% 4.49%5b - 9.99b N/A N/A N/A 9.55% -1.19% N/A N/A 9.90% N/A N/A N/A 10.56%

10b+ N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A1m-9.99m 27.30% 10.55% 9.45% 13.79% 13.00% -6.44% 20.13% 11.24% -3.92% 6.52% 16.45% 3.76%

10m-24.99m 21.37% 10.42% 7.00% 14.73% 11.46% -5.80% 17.37% 11.66% -4.93% 10.51% 11.79% 4.75%25m-49.99m 25.27% 9.90% 7.77% 18.50% 9.49% -15.85% 23.29% 12.70% -7.92% 8.80% 11.19% 6.24%50m-99.99m 20.68% 13.73% 10.22% 12.10% 11.38% -14.43% 19.83% 8.79% -3.26% 7.72% 9.00% 3.31%

100m-249.99m 16.40% 7.09% 9.53% 14.69% 10.89% -14.58% 23.74% 7.21% -2.44% 8.29% 6.38% 2.83%250m-499.99m 11.57% 7.06% 11.23% 13.34% 13.04% -15.52% 24.12% 8.38% -0.61% 9.17% 7.71% 3.06%500m-749.99m 15.46% 6.57% 6.00% 11.21% 13.54% -16.76% 17.60% 9.52% 0.72% 6.40% 6.01% 1.08%750m-999.99m 13.53% 9.01% 14.68% 12.92% 8.41% -20.13% 29.33% 7.04% 0.20% 5.36% 6.30% 5.38%

1b - 4.99b 14.01% 11.05% 6.84% 10.07% 8.82% -15.75% 19.41% 6.73% -1.08% 8.81% 7.04% 2.27%5b - 9.99b N/A N/A 7.17% 25.47% 6.35% -7.01% 2.07% 12.53% 4.99% N/A 5.24% N/A

10b+ N/A N/A N/A N/A 3.03% -30.26% 10.15% N/A N/A N/A N/A N/A1m-9.99m 26.53% 12.56% 12.01% 11.08% 14.95% -9.30% 25.97% 12.69% -7.06% 3.58% 9.35% 3.16%

10m-24.99m 34.82% 15.31% 7.05% 12.56% 10.86% -4.97% 22.40% 11.85% -5.89% 9.94% 14.95% 2.59%25m-49.99m 25.81% 8.96% 12.68% 8.83% 9.29% -11.83% 21.31% 10.72% -4.96% 7.75% 10.14% 6.51%50m-99.99m 22.43% 10.43% 11.72% 12.82% 8.84% -16.95% 25.18% 10.78% -6.21% 6.74% 12.40% 3.53%

100m-249.99m 15.25% 6.81% 9.52% 14.55% 11.46% -13.09% 22.13% 11.44% -6.06% 6.63% 11.07% 3.40%250m-499.99m 14.63% 6.78% 10.32% 12.69% 10.61% -14.59% 28.48% 9.19% -2.67% 6.49% 9.44% 4.38%500m-749.99m 19.48% 8.30% 7.65% 11.51% 11.17% -19.69% 36.07% 8.72% -3.66% 6.24% 7.95% 3.98%750m-999.99m 21.85% 3.77% 10.98% 9.80% 9.27% -13.15% 33.68% 7.90% -2.53% 5.32% 7.45% 3.59%

1b - 4.99b 14.94% 8.97% 8.94% 10.75% 10.25% -16.03% 23.16% 8.34% -2.96% 6.59% 9.60% 2.12%5b - 9.99b N/A 8.91% 7.81% 13.48% 17.17% -19.12% 22.51% 7.23% -3.12% 6.01% 9.41% 5.83%

10b+ N/A N/A 3.46% 3.42% 10.73% -17.92% 16.36% 20.59% -0.49% 3.97% 4.13% 2.95%

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Cross Sectional Analysis of Size & Age with Secondary AUM Ranges

25

Figure 34: Average annualized standard deviations and Sharpe ratios by age and size for funds with >10 months of performance in respective year; italicized denotes <5 funds in sample

• Comparing the small fund secondary size groups by age,

the average standard deviations increased, relatively, as

funds became older in nearly every instance. The highest

number of occasions where the opposite was true is for

mid-age funds with $1 to $9.99 million, which had a lower

volatility than their younger peers in 4 of 11 years.

Survivorship bias may be responsible for a smoothing of

earlier returns, if younger, more volatile funds have lower

survival rates than their mid-age and tenured peers.

• Mid-age funds with USD 1 – 4.99 billion produced higher

average risk-adjusted returns than their tenured peers in

the last four years. In 6 of the 8 years preceding 2011

however, the tenured funds with USD 1 – 4.99 billion

outperformed their mid-age counterparts.

• Among small funds, when comparing their respective

secondary size ranges by age, the young usually exhibited

higher Sharpe ratios relative to their mid-age and tenured

peers. In 2005, ‘08, ‘09, and ‘11, there was not a single

instance where any of the small and young secondary size

groups underperformed their mid-age and tenured

counterparts.

• Risk-adjusted performance among medium funds across

the three secondary size ranges in the last few years has

been somewhat inconsistent. In 2010, ‘12, and ’13 the

young outperformed the mid-age and tenured in every

instance except the USD 250 – 499.99 million range in

2010 when the group underperformed the mid-age. In

2011 and 2014 the young medium funds struggled, only

outperforming the tenured in the USD 500 – 749.99 million

range in 2011 and the mid-age USD 500 – 749.99 million

and tenured USD 250 – 499.99 million in 2014.


2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 20141m-9.99m 12.11% 11.41% 10.79% 12.20% 15.14% 22.34% 18.06% 11.53% 11.90% 8.94% 8.87% 9.04%

10m-24.99m 8.42% 10.05% 9.23% 10.24% 10.75% 18.24% 11.87% 10.62% 9.57% 9.11% 10.21% 8.41%25m-49.99m 7.89% 7.44% 9.27% 8.34% 9.79% 16.49% 10.71% 9.35% 13.93% 8.58% 8.11% 8.50%50m-99.99m 8.08% 8.11% 8.27% 8.57% 11.19% 16.50% 12.58% 10.05% 9.72% 8.05% 7.48% 6.09%

100m-249.99m 6.38% 8.79% 7.92% 7.97% 9.27% 17.24% 9.98% 8.64% 7.65% 7.60% 6.60% 6.52%250m-499.99m 5.46% 5.27% 9.04% 8.01% 8.87% 22.79% 10.42% 7.02% 10.06% 8.61% 6.61% 5.64%500m-749.99m 7.24% 6.33% 7.23% 6.53% 6.43% 16.88% 10.58% 6.52% 6.77% 7.42% 6.44% 7.72%750m-999.99m 11.72% 6.25% 4.46% 15.00% 11.69% 13.74% 14.83% 7.57% 8.87% 4.84% 4.54% 35.93%

1b - 4.99b 4.86% 4.20% 5.72% 8.64% 10.04% 20.24% 10.86% 8.45% 5.04% 8.29% 4.36% 11.72%5b - 9.99b N/A N/A N/A 2.99% 7.22% N/A N/A 22.25% N/A N/A N/A 6.94%

10b+ N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A1m-9.99m 13.11% 15.48% 12.82% 11.74% 12.14% 21.55% 18.01% 17.46% 15.38% 12.95% 10.97% 10.42%

10m-24.99m 13.48% 10.24% 9.52% 10.47% 11.19% 18.97% 13.84% 13.30% 12.12% 9.39% 11.33% 9.46%25m-49.99m 11.43% 8.98% 8.61% 8.84% 10.17% 21.79% 14.78% 13.47% 13.56% 9.70% 8.65% 9.35%50m-99.99m 7.61% 8.40% 8.44% 8.94% 12.42% 17.91% 13.14% 11.48% 12.67% 8.81% 7.97% 7.31%

100m-249.99m 7.63% 6.90% 8.49% 8.77% 9.60% 18.43% 13.74% 11.11% 9.71% 7.57% 7.80% 6.94%250m-499.99m 5.82% 6.45% 8.30% 7.49% 10.72% 17.30% 12.09% 7.61% 8.67% 6.14% 6.03% 6.04%500m-749.99m 7.43% 5.83% 6.43% 6.45% 8.89% 18.68% 9.28% 10.02% 8.29% 6.27% 6.22% 5.41%750m-999.99m 5.38% 5.76% 7.65% 8.64% 9.55% 19.22% 12.22% 7.21% 8.48% 6.01% 5.71% 4.85%

1b - 4.99b 5.09% 6.10% 6.67% 7.58% 9.61% 17.04% 10.56% 9.60% 8.58% 6.16% 5.96% 5.03%5b - 9.99b N/A N/A 2.57% 7.72% 8.74% 13.71% 21.06% 12.04% 7.37% N/A 7.40% N/A

10b+ N/A N/A N/A N/A 14.86% 18.45% 9.25% N/A N/A N/A N/A N/A1m-9.99m 18.04% 14.95% 13.42% 13.92% 15.03% 24.61% 18.88% 15.35% 17.33% 15.66% 16.72% 11.87%

10m-24.99m 12.84% 12.08% 10.77% 12.53% 13.45% 20.76% 16.16% 13.74% 15.31% 13.53% 11.40% 12.39%25m-49.99m 11.98% 10.66% 12.00% 8.89% 10.22% 17.13% 15.00% 13.26% 14.03% 12.91% 10.77% 10.08%50m-99.99m 11.88% 10.68% 10.73% 9.89% 9.87% 18.41% 14.81% 11.39% 13.76% 12.23% 9.83% 9.30%

100m-249.99m 7.32% 7.23% 8.85% 9.31% 9.78% 20.34% 13.69% 12.14% 12.39% 9.62% 8.06% 8.72%250m-499.99m 7.67% 6.79% 7.62% 8.54% 9.54% 19.35% 13.76% 10.49% 11.22% 9.28% 7.40% 7.24%500m-749.99m 7.08% 6.22% 7.41% 7.58% 9.11% 22.23% 15.24% 10.56% 9.85% 7.81% 7.98% 8.11%750m-999.99m 10.70% 10.65% 7.76% 7.99% 8.10% 16.46% 13.97% 10.78% 11.12% 9.71% 6.96% 9.31%

1b - 4.99b 5.99% 6.39% 7.38% 7.00% 9.06% 15.54% 11.66% 9.14% 9.58% 7.45% 5.78% 6.42%5b - 9.99b N/A 13.15% 2.96% 3.39% 6.35% 15.73% 7.74% 6.16% 8.13% 6.98% 6.70% 7.46%

10b+ N/A N/A 5.21% 7.23% 7.07% 17.93% 5.13% 6.02% 9.56% 6.27% 6.91% 5.92%

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 20141m-9.99m 2.42 1.67 0.95 1.49 1.83 0.51 1.99 2.12 0.75 1.77 2.65 1.39

10m-24.99m 2.47 1.57 1.04 1.52 1.11 -0.01 3.53 1.28 0.18 1.43 1.02 4.9625m-49.99m 2.04 1.73 1.61 0.98 1.48 0.09 2.65 2.60 0.07 1.36 1.87 0.4650m-99.99m 2.33 1.49 0.96 1.55 1.78 0.80 2.03 2.00 0.12 1.41 3.16 1.38

100m-249.99m 2.14 0.82 1.16 1.12 0.97 -0.22 2.09 1.46 0.64 1.26 2.04 1.04250m-499.99m 2.91 0.98 0.77 0.87 0.80 -0.75 2.19 1.89 -0.17 2.37 2.01 1.53500m-749.99m 1.71 0.82 1.25 1.70 -0.23 -1.03 1.86 1.91 0.17 2.14 3.82 0.92750m-999.99m 2.25 1.04 1.69 0.84 0.21 -1.39 1.94 1.49 -0.36 3.25 2.08 -0.64

1b - 4.99b 2.78 1.36 0.98 1.30 0.79 -1.38 2.85 2.54 1.42 1.03 -0.18 0.125b - 9.99b N/A N/A N/A 1.43 -0.75 N/A N/A 0.51 N/A N/A N/A 1.47

10b+ N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A1m-9.99m 2.00 0.87 0.78 1.08 1.01 -0.04 0.83 0.96 -0.02 0.72 1.66 1.35

10m-24.99m 1.74 1.33 0.45 1.13 0.71 -0.27 1.08 1.08 0.11 2.60 1.35 1.2925m-49.99m 2.04 1.37 0.46 1.18 0.81 -0.47 1.44 0.96 -0.37 1.44 2.98 1.3750m-99.99m 2.52 1.40 0.92 1.40 0.59 -0.74 1.87 0.92 -0.09 1.28 1.23 1.35

100m-249.99m 2.77 1.08 1.05 1.64 1.20 -0.57 1.84 1.00 0.05 1.46 1.56 1.05250m-499.99m 1.95 1.01 0.72 1.33 0.79 -0.24 1.82 2.05 0.24 2.29 1.78 2.99500m-749.99m 1.49 0.83 0.34 0.96 0.99 -0.68 1.69 1.34 0.42 1.76 1.23 0.81750m-999.99m 2.02 1.54 1.66 0.54 0.53 -1.23 1.77 1.47 0.33 2.80 1.29 1.83

1b - 4.99b 2.58 1.91 0.31 1.14 0.52 -0.95 1.80 1.01 0.04 2.28 2.11 1.445b - 9.99b N/A N/A 1.28 3.94 0.24 -0.59 0.19 1.75 0.67 N/A 0.92 N/A

10b+ N/A N/A N/A N/A -0.16 -1.92 1.04 N/A N/A N/A N/A N/A1m-9.99m 1.52 0.54 0.57 0.68 0.84 -0.23 1.01 0.87 -0.21 0.33 0.79 0.51

10m-24.99m 2.32 1.18 0.70 0.85 0.58 -0.42 1.41 0.52 0.11 0.92 1.47 0.4225m-49.99m 2.28 0.65 0.43 0.65 0.51 -0.18 1.52 1.15 -0.12 0.74 1.10 0.6450m-99.99m 2.05 1.74 0.59 1.01 0.44 -0.99 1.58 2.60 -0.03 0.98 1.62 0.61

100m-249.99m 1.86 1.60 0.90 1.18 0.82 -0.58 1.59 1.10 -0.22 1.03 1.56 1.08250m-499.99m 1.71 0.69 1.12 1.15 0.75 -0.47 2.12 1.57 0.53 1.74 1.59 0.87500m-749.99m 2.56 1.18 0.50 1.02 0.70 -1.07 1.78 0.98 -0.15 1.15 1.41 1.94750m-999.99m 2.85 0.42 0.89 0.85 0.74 -1.02 2.21 1.03 -0.09 0.84 1.87 0.96

1b - 4.99b 3.26 1.46 0.91 1.18 0.76 -1.07 1.90 1.02 -0.11 1.25 1.89 0.795b - 9.99b N/A 0.57 1.66 3.00 0.70 -0.91 2.20 1.33 0.02 1.35 1.68 0.98

10b+ N/A N/A -0.03 -0.18 0.87 -1.32 2.52 3.14 -0.44 0.94 1.14 0.93

S

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M edium

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Tenured

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M edium

Small

M edium

Small

Strategy Analysis by Size & Age

26

In the following pages we separate hedge funds with

>10 months of performance in a respective year by

their investment strategies—excluding smaller strategy

samples—and perform intra-strategy comparisons based

on size and age (cross-strategy comparisons are located

in the appendix). Information included encompasses

fund counts, annual returns, standard deviations,

Sharpe ratios, alphas, trailing returns, and performance

during various economic cycles.

In 2014 the best performing strategy across all

average size ranges was CTA/managed futures ex-

commodities/FX (10.71% small return, 10.75%

medium, and 10.70% large). Securitized credit funds

were the second highest small and large funds

performers, and the third highest medium.

By age, the best performing strategy in 2014 among

the young group was securitized credit (11.26%),

among the mid-age CTA/managed futures FX

(15.54%), and among the tenured CTA/managed

futures ex-commodities/FX (12.81%).

Long short equity funds targeting developed/broad

markets were generally the most numerous on

average in a given year. However, these funds

waned in concentration as assets grew. Among small

funds, long short equity (Dev/Brd) funds comprised

36.25% of the universe on average in a given year,

among medium funds 31.55%, and among large

22.40%. But by age the scenario was opposite, as

long short equity (Dev/Brd) comprised 29.52% of the

young, 32.65% of the mid-age, and then 35.00% of

the tenured fund universe on average.

2008 was an extremely volatile year for all strategies.

Market neutral equity (Dev/Brd)) funds upheld their

stated objective—relatively—by generating the lowest

or second lowest (after CTA/managed futures FX)

volatilities across the size and age ranges. Market

neutral equity, CTA/managed futures FX, and

securitized credit funds were the only subsets to

exhibit average volatilities under 2% in a given year

throughout the 12 year period of analysis.

CTA/managed futures commodity-only funds and

emerging markets (fixed income +equity) were

usually the most volatile strategies in a given year on

average from 2003 – 2014. For the emerging

markets (FI + EQ) group, volatility trended down as

assets grew, but tended to increase as time passed

and funds became tenured.

Funds investing in convertible securities, securitized

credit, and emerging markets (FI+EQ) were the only

groups to generate average annual returns in excess

of 50% within a given year after subdivision by size

and age. One instance of 50% or greater return

occurred in 2007 (young securitized group) while the

remaining occurrences happened in 2009.

Although rare, a few strategies managed to generate

positive average annual returns for all periods

throughout 2003 – 2014. Small securitized credit,

young securitized credit, all three young CTA/

managed futures fund types, young and mid-age

market neutral equity (Dev/Brd) funds all had zero

down periods, on average.

In 2014 the average Sharpe ratio of young fixed

income funds was 5.66, the highest across all size

and age ranges. Small fixed income funds had the

highest average Sharpe ratio across all categories in

2009 and 2010, with values of 6.21 and 5.98

respectively.

Commodity-only and FX/currency funds—subsets of

the broader CTA/managed futures universe—had the

highest totals of negative Sharpe ratios throughout

the analysis timeframe: 24 and 25 instances of sub-

zero values, respectively, across all size and age

ranges.

Market neutral equity (Dev/Brd) maintained the most

consistent, albeit not the highest, average annualized

alphas across the various fund segments, typically

ranging between 0% and 5%.

Most strategies saw their alphas peak in 2009 (based

on our chosen market benchmarks), as the financial

crisis began to give way to a recovery. Alpha high

points for macro and market neutral equity (Dev/Brd)

funds were somewhat scattered throughout 2003 –

2014. Commodity and macro funds were the only two

strategies to have positive average alphas across all

size and age categories in 2008.

Within the last four years, multi-strategy and long

short equity (Dev/Brd) funds across the size and age

spectrums were the only groups with just one

instance of 5% or greater annualized alphas. The

average large multi-strategy fund posted 6.96% in

2013 and the average young long short equity

(Dev/Brd) 5.15% in the same year; all of their

remaining alphas were below 5% within this period.


Strategy Analysis by Size & Age: Convertibles

27

Figure 35: Fund counts, average returns, and average standard deviations by strategy and size for funds with >10 months of performance in respective year


0

20

40

60

80

Small Medium Large

Count

-35%

-20%

-5%

10%

25%

40%

55%

70%

85%

Small Medium Large

Returns

0%

4%

8%

12%

16%

20%

24%

Small Medium Large

St. Dev.

0

20

40

60

80

100


Count

-30%

-15%

0%

15%

30%

45%

60%

75%


Returns

0%

4%

8%

12%

16%

20%

24%


St. Dev.

Small Med Large Young Mid Ten'd2002 55 18 N/A 41 24 272003 50 21 2 31 26 362004 44 21 1 17 29 362005 46 18 1 15 31 362006 51 11 2 15 30 392007 38 10 4 14 21 352008 22 13 3 10 14 342009 25 7 2 8 13 312010 21 9 3 8 13 282011 12 13 3 4 14 242012 13 10 4 3 12 262013 10 9 3 N/A 11 25

Count

Small Med Large Young Mid Ten'd2003 16.11% 10.18% N/A 14.79% 23.83% 13.40%2004 3.75% 1.92% -0.83% 3.81% 3.48% 2.21%2005 6.76% -0.34% -3.12% 2.52% -0.78% 8.97%2006 11.34% 12.63% 13.17% 11.64% 13.52% 10.15%2007 3.37% 2.91% 11.13% 4.92% 4.91% 3.00%2008 -23.79% -26.45% -17.60% -17.84% -22.30% -25.28%2009 40.14% 65.74% 73.36% 58.02% 52.50% 47.64%2010 12.64% 12.01% 15.51% 22.11% 11.34% 11.15%2011 -2.97% -0.27% 2.95% -3.35% -2.69% -1.01%2012 8.10% 7.12% 5.82% 22.97% 9.86% 7.26%2013 -1.05% 8.04% 6.61% 7.59% 2.23% 8.95%2014 -3.34% 0.41% 2.12% N/A 1.93% -0.06%

Return

Small Med Large Young Mid Ten'd2003 5.43% 4.23% N/A 5.44% 7.32% 4.78%2004 3.90% 3.50% 3.38% 4.05% 4.48% 4.61%2005 6.62% 4.76% 4.23% 4.28% 5.38% 6.76%2006 3.63% 3.02% 4.32% 3.02% 3.14% 3.82%2007 5.05% 5.03% 4.08% 4.80% 4.93% 5.08%2008 21.10% 19.67% 16.95% 18.23% 19.54% 21.49%2009 8.52% 10.52% 9.02% 9.45% 9.91% 9.46%2010 5.85% 5.21% 8.26% 5.98% 7.35% 6.01%2011 6.34% 4.54% 3.79% 8.27% 6.90% 5.53%2012 4.62% 3.49% 3.62% 8.80% 5.06% 3.98%2013 5.04% 3.44% 2.38% 4.03% 5.97% 3.66%2014 6.97% 3.58% 3.21% N/A 3.88% 4.89%

Standard Deviation


28

Figure 36: Average Sharpe ratios and alphas by strategy and size for funds with >10 months of performance in respective year


-2

-1

0

1

2

3

4

5

6

7

Small Medium Large

Sharpe

-20%

-10%

0%

10%

20%

30%

40%

50%

60%

70%

Small Medium Large

Alpha

-2

0

2

4

6


Sharpe

-10%

0%

10%

20%

30%

40%

50%

60%


Alpha

Alphas for All Convertible Funds

Monthly Risk-Free Rate: Average Monthly Rate of 1-Year UST Constant Maturity in Respective Year

Market Benchmark: BofA ML Investment Grade Convertible

Small Med Large Young Mid Ten'd2003 2.44 2.09 N/A 2.54 2.38 2.852004 2.29 -0.28 -0.87 1.88 0.02 1.632005 -0.71 -0.13 -1.60 -0.34 -0.77 -0.152006 3.90 2.30 1.76 2.32 3.67 3.082007 1.96 0.31 1.58 0.15 2.15 1.152008 0.35 -0.99 -0.91 -1.08 0.90 -0.742009 4.31 4.26 6.02 4.91 4.37 4.072010 2.23 2.35 1.71 3.87 1.66 1.822011 -0.10 0.35 1.37 -0.18 -0.16 0.202012 1.87 2.12 1.57 2.10 2.07 1.902013 0.84 2.13 2.52 1.78 1.93 2.042014 -0.10 0.00 0.70 N/A 0.41 0.25

Sharpe

Small Med Large Young Mid Ten'd2003 11.12% 6.42% N/A 10.01% 14.98% 7.74%2004 0.92% -0.84% -3.50% 1.05% 0.08% -0.95%2005 1.63% -3.12% -5.81% -0.52% -3.75% 3.67%2006 5.42% 6.70% 5.45% 5.86% 7.47% 3.84%2007 -1.65% -2.34% 6.65% -0.63% -0.07% -2.15%2008 -6.66% -5.87% -2.86% 0.03% -3.99% -6.49%2009 32.25% 45.12% 66.19% 48.70% 38.32% 35.03%2010 8.66% 9.02% 7.65% 19.14% 6.28% 6.81%2011 -2.02% 0.72% 3.92% -1.93% -1.87% 0.27%2012 3.65% 3.71% 2.33% 10.32% 5.48% 2.99%2013 -1.84% 1.87% 3.13% -0.27% 1.32% 1.68%2014 -7.28% -1.31% 0.75% N/A -2.24% -2.84%

Alpha


29

Figure 37: Fund counts and average and median trailing 3 year returns by strategy and size for funds with >10 months of performance in respective year


0

10

20

30

40

50

60

Small Medium Large

Count

-10%

-5%

0%

5%

10%

15%

20%

25%

30%

Small Medium Large

Average Trailing 3YR Returns

-10%

-5%

0%

5%

10%

15%

20%

25%

Small Medium Large

Median Trailing 3YR Returns

0

10

20

30

40

50

60

70

80


Trailing Count

-10%

-5%

0%

5%

10%

15%

20%

25%



-10%

-5%

0%

5%

10%

15%

20%

25%



Small Medium Large Young Mid Ten'd

2005 33 12 N/A 21 14 24

2006 32 14 1 22 13 29

2007 34 18 1 15 23 30

2008 23 11 1 6 20 23

2009 24 6 1 10 13 25

2010 22 7 3 8 10 25

2011 12 8 3 9 8 21

2012 11 7 1 6 8 20

2013 10 6 3 6 8 20

2014 7 12 3 4 11 18

Count (36 Month Perf. Min.)


2005 7.58% 4.29% N/A 6.97% 14.52% 6.38%

2006 5.41% 5.33% 3.39% 7.00% 4.34% 6.04%

2007 6.51% 5.01% 3.57% 7.05% 6.24% 5.92%

2008 -7.13% -5.43% -3.95% -2.40% -3.61% -7.01%

2009 2.59% 8.60% 9.14% 7.62% 4.78% 3.12%

2010 6.33% 9.71% 13.56% 9.90% 9.17% 5.79%

2011 18.09% 18.47% 27.85% 21.31% 20.27% 17.71%

2012 7.65% 6.48% 11.55% 11.32% 4.80% 6.57%

2013 3.37% 4.64% 6.35% 7.77% 2.03% 5.10%

2014 0.29% 4.71% 6.10% 10.25% 3.79% 5.95%

Average Trailing 3YR Returns (36 Month Perf. Min.)


2005 4.91% 3.15% N/A 4.05% 5.54% 3.64%

2006 5.03% 4.72% 3.39% 5.87% 3.39% 4.70%

2007 6.72% 4.17% 3.57% 6.82% 4.47% 5.11%

2008 -5.87% -2.15% -3.95% -3.82% -1.97% -3.75%

2009 1.54% 9.52% 9.14% 3.27% 6.43% 3.95%

2010 4.96% 6.86% 11.64% 7.25% 4.95% 5.25%

2011 17.70% 16.67% 22.86% 16.44% 20.38% 16.90%

2012 6.40% 6.44% 11.55% 12.46% 5.05% 5.93%

2013 3.54% 4.35% 6.03% 8.59% 4.60% 3.89%

2014 3.34% 4.19% 4.49% 6.58% 5.85% 4.22%

Median Trailing 3YR Returns (36 Month Perf. Min.)


30

Figure 38: Fund counts and average and cumulative returns during economic cycles by strategy and size for funds with >10 months of performance in respective year


0

5

10

15

20

25

30

35

40

45

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small Medium Large

Economic Cycles Count

-20%

-15%

-10%

-5%

0%

5%

10%

15%

20%

25%

30%

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small Medium Large

Economic CyclesAnnual Returns

-40%

-20%

0%

20%

40%

60%

80%

100%

120%

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small Medium Large

Economic Cycles Cumulative Returns

0

10

20

30

40

50

60

70

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014



-20%

-15%

-10%

-5%

0%

5%

10%

15%

20%

25%

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014



-40%

-20%

0%

20%

40%

60%

80%

100%

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014



Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small 30 27 12 7

Medium 10 7 8 12

Large N/A 2 3 3

Young 19 15 9 4

Mid-Age 11 15 7 11

Tenured 22 28 21 18

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small 7.40% -17.14% 16.59% -1.44%

Medium 5.97% -14.71% 16.72% 3.71%

Large N/A 0.68% 24.44% 5.30%

Young 6.57% -10.21% 19.54% 6.53%

Mid-Age 12.02% -11.36% 20.13% 2.19%

Tenured 7.34% -16.30% 16.51% 5.10%

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small 44.52% -22.19% 61.31% -1.28%

Medium 32.91% -19.38% 63.57% 10.76%

Large N/A 1.34% 98.26% 15.82%

Young 39.63% -13.68% 77.16% 19.48%

Mid-Age 81.77% -14.79% 78.27% 8.34%

Tenured 42.65% -21.19% 62.01% 15.40%

Strategy Analysis by Size & Age: CTA/Managed Futures ex-Commodities & FX Funds

31

Figure 39: Fund counts and average returns by strategy and size for funds with >10 months of performance in respective year


Small Med Large Young Mid Ten'd2002 90 8 2 74 62 612003 101 14 6 90 73 702004 118 14 9 91 76 912005 137 19 7 103 84 1072006 152 20 10 104 98 1212007 160 19 11 95 116 1222008 171 28 13 94 122 1442009 174 25 10 87 124 1652010 167 33 12 91 109 1922011 140 38 15 65 101 1832012 131 37 14 52 94 1672013 124 28 9 50 65 143

Count

Small Med Large Young Mid Ten'd2003 13.30% 7.14% 8.64% 18.61% 11.48% 13.73%2004 5.82% 2.82% 4.58% 9.44% 6.11% 6.01%2005 7.45% 6.48% -1.53% 17.15% 8.71% 5.87%2006 9.06% 7.45% 7.21% 13.52% 12.04% 7.05%2007 13.77% 10.17% 11.08% 17.48% 17.66% 14.07%2008 20.92% 26.67% 14.23% 13.65% 17.70% 28.07%2009 4.62% 2.36% 0.10% *21.19% 4.93% 0.56%2010 10.83% 9.33% 5.89% 13.73% 8.69% 12.95%2011 -4.09% -4.65% -1.59% 6.42% -0.66% -4.09%2012 1.90% -5.71% -0.95% 2.91% 5.64% 0.03%2013 -0.84% 1.41% 3.59% 3.20% 0.43% -0.49%2014 10.71% 10.75% 10.70% 7.70% 9.71% 12.81%

Return

0

50

100

150

200

250

Small Medium Large

Count

-10%

-5%

0%

5%

10%

15%

20%

25%

30%

Small Medium Large

Returns

0

50

100

150

200

250

300

350

400

450


Count

-5%

0%

5%

10%

15%

20%

25%

30%


Returns

* The 2009 young fund figure is very high because of twoexceptionally volatile funds, both of which ceased reporting thefollowing year.


32

Figure 40: Average standard deviation and Sharpe ratios by strategy and size for funds with >10 months of performance in respective year


Small Med Large Young Mid Ten'd2003 17.61% 16.62% 10.29% 15.65% 15.89% 21.63%2004 14.78% 10.05% 16.14% 13.44% 12.74% 18.35%2005 13.16% 9.35% 13.53% 13.68% 12.18% 15.48%2006 14.10% 10.32% 10.45% 14.92% 14.24% 15.80%2007 16.71% 13.73% 13.03% 16.55% 16.94% 17.72%2008 23.10% 22.58% 11.72% 17.04% 24.81% 21.89%2009 17.31% 12.60% 9.01% 18.34% 14.07% 13.98%2010 16.13% 15.08% 8.35% 15.26% 13.45% 15.34%2011 16.07% 14.63% 10.57% 17.96% 13.11% 16.49%2012 12.43% 13.02% 9.89% 12.35% 10.83% 13.73%2013 11.01% 11.43% 8.99% 9.32% 10.82% 11.34%2014 11.77% 11.46% 9.80% 13.29% 10.72% 13.05%

Standard Deviation

Small Med Large Young Mid Ten'd2003 0.77 0.44 0.88 1.06 0.82 0.692004 0.41 0.27 0.40 0.74 0.46 0.252005 0.34 0.22 -0.19 0.89 0.32 0.232006 0.45 0.27 0.51 0.69 0.50 0.272007 0.59 0.53 0.59 0.77 0.77 0.612008 0.96 1.16 1.25 0.99 0.82 1.272009 0.41 0.10 -0.01 1.55 0.45 0.072010 0.79 0.70 0.46 1.22 0.80 0.822011 -0.10 -0.31 -0.20 0.48 0.20 -0.152012 0.32 -0.37 -0.09 0.91 1.11 0.052013 0.13 0.06 0.48 0.53 0.62 0.072014 1.05 0.86 1.37 0.46 1.13 0.96

Sharpe

0%

5%

10%

15%

20%

25%

Small Medium Large

St. Dev.

-0.4

-0.2

0

0.2

0.4

0.6

0.8

1

1.2

1.4

Small Medium Large

Sharpe

0%

5%

10%

15%

20%

25%

30%


St. Dev.

-0.4

0

0.4

0.8

1.2

1.6

2


Sharpe


33



0

20

40

60

80

100

120

140

160

180

Small Medium Large

Trailng Count

-5%

0%

5%

10%

15%

20%

Small Medium Large


-2%

2%

6%

10%

14%

18%

Small Medium Large


0

50

100

150

200

250

300

350


Trailng Count

-5%

0%

5%

10%

15%

20%



-2%

2%

6%

10%

14%

18%




2005 77 8 2 54 50 56

2006 83 12 6 61 58 66

2007 90 12 9 70 60 83

2008 106 15 6 82 61 92

2009 117 17 9 78 84 100

2010 126 19 11 76 96 109

2011 130 26 13 66 96 126

2012 118 19 9 64 83 124

2013 97 25 10 57 67 126

2014 83 30 12 35 51 109



2005 7.54% 1.69% 5.82% 10.12% 9.20% 7.46%

2006 6.49% 5.16% 1.33% 11.16% 8.59% 4.80%

2007 10.17% 8.24% 5.15% 16.05% 10.14% 9.09%

2008 15.55% 14.79% 12.45% 14.65% 12.92% 16.56%

2009 10.58% 13.11% 8.93% 10.69% 9.30% 12.76%

2010 10.84% 11.96% 6.14% 9.07% 9.08% 12.42%

2011 2.62% 2.99% 1.87% 8.03% 2.37% 2.16%

2012 2.68% -1.65% 1.73% 7.39% 2.74% 2.44%

2013 -1.21% -2.84% -0.48% 2.50% 1.91% -1.65%

2014 3.61% 1.74% 2.80% 4.06% 6.40% 3.68%



2005 4.42% 2.16% 5.82% 5.43% 5.74% 5.81%

2006 4.82% 4.60% 4.38% 10.19% 7.05% 3.88%

2007 9.78% 6.53% 5.73% 13.41% 8.73% 9.57%

2008 15.55% 15.23% 12.48% 12.12% 11.87% 15.55%

2009 9.96% 12.41% 9.43% 8.73% 9.60% 11.88%

2010 8.42% 11.44% 7.51% 8.09% 7.13% 10.77%

2011 1.34% 0.41% 2.46% 7.01% 1.54% 1.32%

2012 2.05% -0.67% 2.12% 8.80% 3.16% 1.59%

2013 -0.74% -1.48% 0.04% 0.96% 1.92% -1.67%

2014 3.03% 2.47% 4.78% 4.22% 4.59% 4.22%



34



0

20

40

60

80

100

120

140

160

180

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small Medium Large


0%

5%

10%

15%

20%

25%

30%

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small Medium Large


0%

10%

20%

30%

40%

50%

60%

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small Medium Large


0

50

100

150

200

250

300

350

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014



0%

5%

10%

15%

20%

25%

30%

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014



0%

10%

20%

30%

40%

50%

60%

70%

80%

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014



Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small 65 129 120 83

Medium 8 17 26 30

Large 2 9 13 12

Young 44 114 65 38

Mid-Age 45 88 90 51

Tenured 52 104 122 109

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small 7.67% 18.82% 2.14% 3.79%

Medium 3.35% 27.09% 3.11% 2.35%

Large 6.62% 16.43% 1.37% 3.10%

Young 9.16% 15.01% 7.64% 4.97%

Mid-Age 9.93% 13.95% 2.14% 6.21%

Tenured 7.38% 25.93% 2.05% 4.00%

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small 49.26% 29.46% 9.79% 12.45%

Medium 20.19% 40.86% 14.03% 8.49%

Large 35.60% 24.14% 4.66% 9.64%

Young 59.00% 23.75% 29.37% 15.92%

Mid-Age 68.81% 22.07% 9.81% 20.32%

Tenured 49.92% 39.91% 8.77% 13.53%

Strategy Analysis by Size & Age: CTA/Managed Futures Commodity-Only Funds

35



Small Med Large Young Mid Ten'd2002 21 2 N/A 18 21 182003 35 2 N/A 32 24 202004 50 4 N/A 56 29 292005 65 7 1 75 28 392006 75 8 3 82 46 382007 86 7 8 84 73 392008 93 12 7 67 86 462009 76 12 7 48 88 512010 67 14 7 39 65 732011 73 16 13 35 47 752012 67 22 10 25 43 792013 51 15 5 8 31 59

Count

Small Med Large Young Mid Ten'd2003 21.07% 14.73% N/A 18.09% 14.45% 14.15%2004 7.96% -9.08% N/A 16.58% 4.42% 12.15%2005 4.59% 14.68% N/A 19.09% 7.53% 9.15%2006 9.90% 4.13% -11.59% 16.76% 8.32% 12.35%2007 10.86% 17.75% 18.23% 24.87% 12.80% 17.59%2008 10.23% -11.40% -26.42% 6.04% 2.60% 18.10%2009 4.27% 13.14% 18.26% 7.41% 10.55% 1.14%2010 8.21% 15.79% 14.30% 15.50% 7.89% 12.06%2011 -3.57% -5.14% -7.74% 11.67% 3.17% -5.33%2012 -1.45% 0.98% -1.98% 2.83% 0.12% 0.80%2013 -4.28% -5.79% -5.73% 1.71% -2.80% -5.04%2014 5.61% -10.35% -14.11% 1.64% -2.28% -1.33%

Return

Small Med Large Young Mid Ten'd2003 24.86% 14.24% N/A 18.39% 20.59% 28.93%2004 19.03% 16.95% N/A 20.50% 14.87% 22.30%2005 14.75% 16.39% N/A 15.52% 16.24% 20.77%2006 14.28% 13.64% 21.29% 14.73% 12.49% 19.29%2007 14.61% 12.44% 10.59% 19.50% 12.75% 19.04%2008 25.28% 27.05% 35.22% 24.53% 22.71% 27.66%2009 15.05% 15.23% 16.83% 13.83% 14.42% 17.21%2010 17.22% 16.14% 17.90% 15.67% 17.49% 15.50%2011 16.15% 15.10% 16.80% 15.90% 14.11% 17.94%2012 13.51% 12.94% 13.92% 14.52% 13.53% 14.11%2013 11.74% 9.28% 9.30% 14.82% 11.61% 9.61%2014 12.10% 11.28% 13.35% 7.87% 12.78% 13.12%

Standard Deviation

0

20

40

60

80

100

120

Small Medium Large

Count

-30%

-20%

-10%

0%

10%

20%

30%

Small Medium Large

Returns

0%

5%

10%

15%

20%

25%

30%

35%

40%

Small Medium Large

St. Dev.

0

50

100

150

200

250


Count

-10%

-5%

0%

5%

10%

15%

20%

25%

30%


Returns

0%

5%

10%

15%

20%

25%

30%

35%


St. Dev.


36



-10%

-5%

0%

5%

10%

15%

20%

Small Medium Large

Alpha

-10%

-5%

0%

5%

10%

15%

20%

25%


Alpha

Alphas for Commodity-Only CTA/MF Funds


Market Benchmark: S&P Goldman Sachs Commodity Index

Small Med Large Young Mid Ten'd2003 10.99% 7.62% N/A 8.71% 6.49% 3.83%2004 4.98% -6.63% N/A 13.38% 1.68% 6.40%2005 1.32% 8.19% -6.72% 9.30% 2.22% 6.23%2006 10.29% 5.06% 3.56% 17.02% 7.32% 13.46%2007 0.25% 4.45% -0.15% 9.17% 1.23% 4.16%2008 17.06% 7.47% 2.86% 15.95% 13.53% 21.48%2009 2.42% 7.41% 11.30% 7.28% 6.72% -2.82%2010 5.95% 12.15% 9.54% 12.61% 5.00% 8.57%2011 -2.96% -4.38% -7.58% 8.80% 2.03% -4.55%2012 -1.44% 0.82% -1.98% 3.01% -0.56% 0.59%2013 -6.28% -5.50% -5.00% 1.55% -5.73% -4.61%2014 8.16% 2.57% 0.13% 7.68% 4.69% 4.98%

Alpha

Small Med Large Young Mid Ten'd2003 0.85 0.64 N/A 0.98 0.84 0.572004 0.50 -0.44 N/A 1.09 0.55 0.542005 0.23 0.52 N/A 0.89 0.33 0.132006 0.28 -0.19 -0.71 0.60 0.21 0.492007 0.44 0.86 0.96 0.88 0.52 0.732008 0.42 -0.24 -0.77 0.45 0.36 0.542009 0.19 0.41 1.22 0.42 0.52 0.142010 0.68 1.09 0.89 0.97 0.61 0.812011 -0.29 -0.28 -0.43 0.62 0.17 -0.322012 -0.06 -0.20 -0.24 0.18 0.00 -0.042013 -0.57 -0.76 -0.79 0.04 -0.14 -0.822014 0.22 -0.88 -1.06 -0.15 -0.05 -0.28

Sharpe

-1.5

-1

-0.5

0

0.5

1

1.5

Small Medium Large

Sharpe

-1

-0.5

0

0.5

1

1.5


Sharpe


37



0

10

20

30

40

50

60

70

80

Small Medium Large

Trailng Count

-25%

-15%

-5%

5%

15%

Small Medium Large


-24%

-16%

-8%

0%

8%

16%

Small Medium Large


0

20

40

60

80

100

120

140

160


Trailing Count

-5%

0%

5%

10%

15%

20%



-10%

-5%

0%

5%

10%

15%

20%




2005 21 2 N/A 18 21 18

2006 31 2 N/A 25 20 19

2007 33 2 N/A 35 20 25

2008 40 6 1 60 18 33

2009 55 8 3 59 37 31

2010 57 6 8 53 54 27

2011 59 10 7 40 63 30

2012 43 10 7 25 55 35

2013 41 11 6 23 43 47

2014 37 11 9 20 20 44



2005 9.64% 5.26% N/A 11.72% 9.15% 9.69%

2006 6.27% 4.05% N/A 10.11% 7.32% 12.28%

2007 9.64% 10.96% N/A 17.52% 16.28% 11.59%

2008 13.75% 3.42% *-20.64% 11.97% 10.54% 15.14%

2009 8.92% 4.00% -2.70% 7.74% 6.33% 10.21%

2010 6.15% 5.09% -1.29% 2.10% 4.72% 9.10%

2011 3.20% 8.10% 8.19% 8.27% 5.47% 3.65%

2012 1.52% 2.48% 1.43% 9.03% 2.54% 2.38%

2013 -2.59% -3.77% -4.24% -1.01% 0.41% -3.69%

2014 1.38% -7.00% -3.37% 3.23% 0.58% -2.06%



2005 7.43% 5.26% N/A 12.21% 7.20% 7.79%

2006 5.74% 4.05% N/A 9.15% 7.53% 7.28%

2007 5.84% 10.96% N/A 13.87% 15.00% 10.93%

2008 11.81% 3.40% *-20.64% 9.40% 11.81% 12.40%

2009 7.23% 3.38% -5.19% 5.85% 6.92% 8.92%

2010 5.21% 1.79% -1.80% 1.18% 5.28% 7.96%

2011 2.56% 7.68% 10.25% 6.09% 3.65% 5.99%

2012 1.77% 1.63% 2.18% 4.51% 2.18% 3.35%

2013 -5.11% -5.21% -4.86% -2.31% -1.63% -4.54%

2014 -0.40% -8.89% -7.52% 4.54% -1.37% -4.01%


* The 2008 large fund figures are from a limited sample.


38



0

10

20

30

40

50

60

70

80

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small Medium Large


0

20

40

60

80

100

120

140

160

180

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014



-25%

-20%

-15%

-10%

-5%

0%

5%

10%

15%

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small Medium Large


-5%

0%

5%

10%

15%

20%

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014



-40%

-20%

0%

20%

40%

60%

80%

100%

120%

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small Medium Large


-20%

0%

20%

40%

60%

80%

100%

120%

140%

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014



Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small 16 62 49 37

Medium 2 8 9 11

Large N/A 3 6 9

Young 11 93 37 21

Mid-Age 17 38 54 20

Tenured 16 35 29 44

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small 12.02% 11.65% 3.62% 0.90%

Medium 6.26% -6.80% 10.58% -8.14%

Large N/A -19.36% 9.76% -4.02%

Young 15.42% 8.88% 8.15% 2.29%

Mid-Age 10.86% -0.37% 6.45% -0.58%

Tenured 11.57% 17.22% 4.84% -3.02%

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small 103.09% 18.22% 14.61% 4.87%

Medium 36.48% -7.93% 38.01% -20.37%

Large N/A -23.93% 34.59% -8.38%

Young 131.01% 15.88% 30.83% 9.94%

Mid-Age 72.35% 1.24% 24.34% 0.97%

Tenured 75.23% 27.79% 17.69% -6.37%

Strategy Analysis by Size & Age: CTA/Managed Futures FX/Currency Funds

39

Figure 47: Fund counts and average returns by strategy and size for funds with >10 months of performance in respective year


Small Med Large Young Mid Ten'd2002 25 2 N/A 23 14 212003 35 1 1 33 22 242004 37 7 1 38 26 242005 35 10 1 25 34 272006 40 6 4 25 42 322007 42 7 5 21 31 382008 36 10 5 14 26 462009 25 13 5 15 23 382010 20 13 6 21 20 332011 21 12 6 15 14 332012 19 9 7 10 10 302013 14 9 8 7 5 26

Count

Small Med Large Young Mid Ten'd2003 13.14% 4.16% N/A 23.65% 10.35% 7.53%2004 6.22% 21.45% 1.02% 12.94% 6.53% 3.90%2005 3.06% 4.38% -1.29% 20.14% 4.90% 1.38%2006 5.19% 9.75% -0.59% 8.41% 7.06% 6.33%2007 5.70% 4.53% -0.21% 8.15% 15.20% 3.51%2008 7.88% -2.18% 2.51% 3.22% 9.35% 8.08%2009 1.10% 5.59% 2.69% 9.43% 5.83% -0.85%2010 2.68% 3.54% -0.76% 8.78% 4.29% 2.31%2011 -4.02% -0.03% -2.47% 8.20% 0.74% -1.75%2012 3.12% 1.57% -1.02% 6.54% 0.33% 2.33%2013 -1.41% -0.72% 0.55% 0.93% -2.20% -0.66%2014 5.12% 10.45% 0.59% 2.35% 15.54% 4.48%

Return

0

10

20

30

40

50

60

Small Medium Large

Count

-5%

0%

5%

10%

15%

20%

25%

Small Medium Large

Returns

0

20

40

60

80

100

120


Count

-5%

0%

5%

10%

15%

20%

25%

30%


Returns


40

Figure 48: Average standard deviations and Sharpe ratios by strategy and size for funds with >10 months of performance in respective year


Small Med Large Young Mid Ten'd2003 10.16% 3.83% N/A 11.49% 10.36% 6.26%2004 10.40% 6.32% 2.80% 10.94% 10.87% 7.47%2005 8.72% 6.41% 1.01% 8.40% 10.26% 5.78%2006 10.79% 14.35% 1.81% 8.89% 10.09% 8.30%2007 9.98% 6.18% 6.21% 11.20% 14.33% 6.73%2008 9.26% 11.09% 3.91% 8.46% 10.54% 8.64%2009 7.11% 5.74% 3.09% 5.51% 6.79% 6.40%2010 7.68% 5.32% 3.35% 6.72% 6.95% 7.00%2011 9.08% 8.37% 5.17% 12.22% 6.32% 9.61%2012 8.51% 5.14% 2.56% 13.85% 6.01% 7.83%2013 4.42% 4.63% 4.31% 5.88% 5.99% 4.49%2014 7.36% 7.66% 3.65% 4.29% 8.03% 6.48%

Standard Deviation

Small Med Large Young Mid Ten'd2003 0.97 0.79 N/A 1.48 0.81 0.742004 0.41 2.83 -0.31 0.70 0.52 0.022005 -0.26 0.08 *-4.93 0.89 -0.13 *-2.472006 -0.02 -0.69 *-3.05 0.17 -0.76 *-2.572007 0.18 -0.46 -1.60 1.08 -0.28 -1.192008 0.60 -0.24 0.14 0.73 0.32 0.272009 0.33 0.60 0.31 1.57 0.55 -0.112010 0.24 0.80 -0.32 1.17 0.43 0.142011 -0.11 -0.15 -0.36 0.05 0.32 -0.122012 0.70 0.24 -0.29 0.63 0.79 0.162013 0.15 -0.28 -0.28 0.38 -0.52 0.072014 0.92 0.66 0.53 0.21 1.42 0.60

Sharpe

0%

2%

4%

6%

8%

10%

12%

14%

16%

Small Medium Large

St. Dev.

-5

-4

-3

-2

-1

0

1

2

3

Small Medium Large

Sharpe

0%

2%

4%

6%

8%

10%

12%

14%

16%


St. Dev.

-3

-2.5

-2

-1.5

-1

-0.5

0

0.5

1

1.5

2


Sharpe

* The 2005/2006 large fund figures are from a limited sample. The2005/2006 tenured figures are low because one fund exhibitedexceptionally negative Sharpe ratios in back-to-back years.


41



0

5

10

15

20

25

30

35

40

Small Medium Large

Trailng Count

-2%

0%

2%

4%

6%

8%

10%

Small Medium Large


-2%

0%

2%

4%

6%

8%

Small Medium Large


0

10

20

30

40

50

60

70

80


Trailng Count

-2%

0%

2%

4%

6%

8%

10%

12%

14%

16%



-2%

0%

2%

4%

6%

8%

10%




2005 21 2 N/A 18 12 19

2006 27 1 1 23 17 21

2007 28 6 1 30 19 22

2008 24 9 1 16 24 26

2009 28 6 3 17 23 29

2010 24 7 3 16 15 26

2011 16 7 3 9 14 26

2012 12 11 3 8 14 24

2013 9 11 5 6 10 19

2014 9 9 5 5 4 21



2005 7.22% 4.64% N/A 9.36% 9.23% 3.17%

2006 4.99% 5.01% -0.29% 12.61% 6.57% 3.59%

2007 3.67% 7.75% -0.47% 15.08% 3.98% 3.22%

2008 7.39% 6.27% 0.34% 14.51% 6.63% 4.46%

2009 4.19% 3.50% 3.07% 6.45% 4.48% 2.55%

2010 3.12% 2.61% 3.84% 4.99% 3.75% 3.00%

2011 0.61% 3.62% 2.19% 4.23% 5.23% -0.02%

2012 1.56% 1.59% 0.20% 1.66% 4.58% 0.70%

2013 -0.77% 0.69% -0.63% 3.86% -0.26% 0.19%

2014 2.02% 2.95% 0.84% 10.14% 2.55% 1.23%



2005 6.85% 4.64% N/A 9.06% 5.41% 1.51%

2006 4.25% 5.01% -0.29% 5.00% 6.39% 0.51%

2007 3.84% 5.16% -0.47% 5.36% 4.46% 0.28%

2008 5.99% 4.32% 0.34% 5.53% 5.55% 2.24%

2009 3.48% 2.04% 1.49% 6.05% 3.19% 1.49%

2010 2.68% 2.02% 1.34% 2.72% 2.66% 1.71%

2011 2.86% 1.85% 0.28% 3.00% 3.88% -0.73%

2012 1.12% 1.53% 0.09% 0.15% 2.63% 0.65%

2013 -1.30% 0.75% 0.09% 1.90% -0.28% 0.23%

2014 2.53% 1.51% 1.54% 4.58% 1.01% 0.73%


42




0

5

10

15

20

25

30

35

40

45

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small Medium Large


0

10

20

30

40

50

60

70

80

90

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014



-1%

0%

1%

2%

3%

4%

5%

6%

7%

8%

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small Medium Large


0%

1%

2%

3%

4%

5%

6%

7%

8%

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014



0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

50%

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small Medium Large


0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014



Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small 17 31 15 9

Medium 2 6 8 9

Large N/A 4 3 5

Young 14 24 8 6

Mid-Age 10 29 14 4

Tenured 17 31 24 21

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small 7.01% 5.46% -0.25% 2.01%

Medium 2.32% 4.16% 4.04% 3.15%

Large N/A 0.22% 1.77% 1.01%

Young 6.69% 5.40% 3.31% 7.55%

Mid-Age 6.14% 7.03% 5.39% 2.48%

Tenured 4.78% 4.17% 0.09% 1.53%

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small 44.94% 8.17% 0.51% 6.23%

Medium 11.82% 6.79% 14.14% 9.55%

Large N/A 0.40% 5.79% 2.85%

Young 42.15% 8.20% 11.42% 25.36%

Mid-Age 35.48% 10.58% 19.92% 7.35%

Tenured 30.52% 6.32% 1.29% 4.73%

Strategy Analysis by Size & Age: Emerging Markets (Equity & Fixed Income)

43



0

50

100

150

200

250

Small Medium Large

Count

-40%

-20%

0%

20%

40%

60%

Small Medium Large

Returns

0%

10%

20%

30%

Small Medium Large

St. Dev.

0

50

100

150

200

250

300

350

400


Count

-40%

-20%

0%

20%

40%

60%


Returns

0%

10%

20%

30%


St. Dev.


Count

Small Med Large Young Mid Ten'd2003 47.53% 22.10% 6.61% 42.65% 45.57% 47.28%2004 20.17% 12.01% 13.04% 18.52% 19.33% 20.55%2005 26.81% 20.25% 24.32% 25.24% 20.87% 26.76%2006 31.48% 26.19% 15.73% 38.89% 29.42% 29.71%2007 32.12% 28.24% 18.06% 41.47% 32.18% 26.09%2008 -33.64% -38.53% -30.93% -27.75% -33.46% -34.88%2009 50.82% 51.60% 50.06% 46.31% 50.70% 56.18%2010 14.92% 7.46% 11.80% 13.62% 14.82% 14.06%2011 -13.18% -12.12% -7.44% -6.79% -10.22% -15.41%2012 13.05% 11.15% 8.18% 14.17% 13.08% 11.82%2013 4.37% 4.99% 10.67% 5.90% 10.55% 6.13%2014 -0.21% 0.61% 0.88% 4.55% 3.13% 2.69%

Return


Standard Deviation


44



-2

-1

0

1

2

3

4

Small Medium Large

Sharpe

-30%

-20%

-10%

0%

10%

20%

30%

Small Medium Large

Alpha

Alphas for All Emerging Markets (Equity + Fixed Income) Funds


Market Benchmark: 50% MSCI EM - ND / 50% Citi WGBI ex-US

-2

-1

0

1

2

3

4

5


Sharpe

-30%

-20%

-10%

0%

10%

20%

30%


Alpha

Small Med Large Young Mid Ten'd2003 3.21 2.55 1.55 4.59 3.03 2.722004 1.67 1.46 1.73 1.34 2.56 1.392005 1.51 1.26 1.51 1.35 2.13 1.182006 1.65 1.45 1.14 1.59 2.23 1.572007 1.68 1.43 1.23 1.95 1.82 1.592008 -1.11 -1.67 -1.76 -0.69 -1.52 -0.882009 2.51 1.71 2.58 2.70 2.06 2.852010 1.42 1.02 1.17 2.26 1.64 1.452011 -0.01 -0.31 -0.66 0.18 0.37 -0.242012 1.18 1.46 0.91 1.54 2.48 1.152013 0.78 1.11 1.28 0.71 2.18 1.132014 1.02 0.32 0.10 0.78 0.45 0.89

Sharpe

Small Med Large Young Mid Ten'd2003 15.15% 8.01% -3.64% 17.35% 14.78% 13.52%2004 6.05% 1.39% 8.38% 5.89% 6.44% 5.98%2005 13.88% 7.86% 13.13% 13.66% 9.11% 13.12%2006 10.62% 7.22% 2.05% 15.36% 10.11% 9.29%2007 12.14% 7.85% 3.10% 20.23% 11.93% 6.37%2008 -23.02% -24.82% -15.80% -17.52% -22.83% -19.50%2009 17.16% 17.33% 21.49% 19.22% 15.06% 21.72%2010 6.47% 1.02% 3.89% 6.76% 6.41% 5.68%2011 -9.17% -8.22% -3.05% -2.45% -6.75% -10.79%2012 4.62% 3.44% 1.92% 6.34% 7.13% 3.11%2013 8.24% 6.58% 11.98% 7.77% 11.89% 9.85%2014 -3.51% -1.19% -1.48% 2.38% 0.43% -0.54%

Alpha

45



0

20

40

60

80

100

120

140

160

180

Small Medium Large

Trailng Count

-5%

0%

5%

10%

15%

20%

25%

30%

35%

Small Medium Large


-4%

0%

4%

8%

12%

16%

20%

24%

28%

Small Medium Large


0

50

100

150

200

250

300


Trailng Count

-5%

0%

5%

10%

15%

20%

25%

30%

35%



-4%

0%

4%

8%

12%

16%

20%

24%

28%

32%





2005 71 6 2 47 41 44

2006 80 7 3 55 47 50

2007 93 12 4 67 55 59

2008 101 17 5 88 66 61

2009 115 20 8 95 76 66

2010 114 34 10 93 93 76

2011 112 34 11 85 99 92

2012 99 19 8 71 83 93

2013 94 24 8 63 75 99

2014 89 24 9 49 62 89



2005 29.30% 20.24% 7.24% 24.89% 30.49% 29.86%

2006 23.97% 24.17% 8.39% 24.77% 23.45% 23.61%

2007 27.83% 20.82% 16.01% 29.89% 25.17% 27.62%

2008 -1.82% -2.94% 1.53% 4.21% 2.92% -2.80%

2009 2.30% 2.81% 5.42% 6.46% 5.07% 4.96%

2010 0.19% -2.02% 2.10% 1.76% 0.85% 1.26%

2011 13.14% 12.62% 15.36% 14.00% 13.11% 13.92%

2012 3.20% 0.55% 1.57% 6.84% 3.43% 2.15%

2013 0.33% -1.10% 3.45% 6.04% 3.77% -1.02%

2014 5.94% 3.63% 5.15% 9.12% 9.50% 5.11%



2005 23.37% 13.06% 7.24% 18.76% 24.92% 26.82%

2006 15.96% 15.83% 7.45% 18.54% 16.20% 16.80%

2007 24.21% 16.17% 9.10% 25.18% 20.20% 24.21%

2008 -1.24% -1.77% 2.72% 2.27% 2.83% -1.77%

2009 3.37% 2.48% 4.93% 6.97% 5.23% 6.14%

2010 2.70% -0.04% 3.74% 3.96% 2.14% 4.10%

2011 12.81% 12.84% 9.29% 11.69% 12.06% 13.40%

2012 3.99% 1.22% 2.11% 7.53% 3.86% 3.03%

2013 1.47% 1.38% 3.28% 6.37% 4.18% 0.77%

2014 6.72% 5.08% 6.71% 9.16% 9.89% 6.53%



46



0

20

40

60

80

100

120

140

160

180

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small Medium Large


-40%

-30%

-20%

-10%

0%

10%

20%

30%

40%

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small Medium Large


-100%

-50%

0%

50%

100%

150%

200%

250%

300%

350%

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small Medium Large


0

50

100

150

200

250

300

350

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014



-30%

-20%

-10%

0%

10%

20%

30%

40%

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014



-100%

-50%

0%

50%

100%

150%

200%

250%

300%

350%

400%

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014



Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small 58 132 96 89

Medium 5 22 31 24

Large 2 8 9 9

Young 43 157 81 52

Mid-Age 35 86 84 62

Tenured 36 72 85 89

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small 29.12% -31.40% 17.30% 3.54%

Medium 18.42% -27.80% 17.31% 1.55%

Large 7.58% -18.54% 16.42% 3.46%

Young 26.44% -23.05% 16.50% 7.97%

Mid-Age 31.20% -24.55% 18.05% 7.24%

Tenured 29.28% -26.21% 17.24% 2.84%

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small 300.83% -39.10% 74.23% 14.03%

Medium 139.18% -35.63% 73.60% 9.04%

Large 41.52% -23.97% 66.41% 11.77%

Young 246.44% -28.42% 66.07% 30.01%

Mid-Age 356.16% -30.80% 76.81% 24.56%

Tenured 293.73% -33.11% 71.96% 11.88%

Strategy Analysis by Size & Age: Event Driven/Distressed

47

Figure 55: Fund counts and average cumulative returns by strategy and size for funds with >10 months of performance in respective year


0

50

100

150

200

250

Small Medium Large

Count

0

50

100

150

200

250

300

350


Count

-30%

-20%

-10%

0%

10%

20%

30%

40%

Small Medium Large

Returns

-30%

-15%

0%

15%

30%

45%

60%


Returns

Small Med Large Young Mid Ten'd2002 133 19 N/A 95 63 682003 143 28 5 107 77 802004 145 38 13 85 103 1022005 144 34 22 84 113 1102006 142 47 19 84 110 1212007 116 54 20 81 89 1292008 105 48 20 88 67 1412009 132 28 11 84 85 1462010 108 36 12 64 83 1412011 91 44 19 39 87 1392012 104 42 23 41 76 1472013 96 38 23 32 53 138

Count

Small Med Large Young Mid Ten'd2003 25.33% 14.65% N/A 23.82% 29.95% 23.45%2004 16.77% 10.46% 13.14% 16.47% 16.98% 10.77%2005 9.32% 6.77% 9.70% 13.68% 8.08% 7.08%2006 16.10% 13.53% 16.17% 18.21% 16.36% 14.05%2007 6.76% 8.49% 16.51% 12.70% 7.99% 7.93%2008 -14.57% -24.25% -19.56% -12.30% -20.64% -17.18%2009 28.89% 36.53% 30.46% 46.81% 30.73% 29.60%2010 13.47% 15.21% 7.81% 16.21% 14.54% 12.41%2011 -0.80% -0.72% -4.69% -2.11% -1.03% -2.96%2012 12.44% 8.87% 13.18% 14.20% 13.43% 10.60%2013 13.42% 13.14% 18.84% 13.56% 15.01% 14.35%2014 1.40% 3.52% 0.81% 5.66% 2.18% 2.33%

Return


48

Figure 56: Average standard deviations and Sharpe ratios by strategy and size for funds with >10 months of performance in respective year


0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

20%

Small Medium Large

St. Dev.

-2

-1

0

1

2

3

4

5

Small Medium Large

Sharpe

0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

20%


St. Dev.

-2

-1

0

1

2

3

4

5


Sharpe

Small Med Large Young Mid Ten'd2003 6.74% 2.91% N/A 6.34% 7.07% 7.00%2004 7.65% 5.11% 4.11% 8.03% 7.43% 6.71%2005 7.99% 5.58% 7.24% 8.37% 7.83% 6.13%2006 6.74% 5.49% 6.94% 7.41% 6.45% 5.95%2007 8.52% 7.14% 7.41% 10.70% 8.53% 7.61%2008 14.20% 18.14% 13.44% 17.66% 15.57% 14.52%2009 11.22% 11.98% 11.29% 12.18% 14.67% 11.28%2010 8.17% 8.26% 8.13% 9.33% 10.55% 9.18%2011 9.18% 6.93% 9.27% 9.64% 10.54% 9.38%2012 7.75% 7.72% 7.14% 10.26% 7.83% 7.47%2013 7.24% 4.76% 5.51% 7.77% 6.82% 6.14%2014 7.57% 6.59% 5.57% 7.03% 6.22% 7.85%

Standard Deviation

Small Med Large Young Mid Ten'd2003 3.47 3.95 N/A 4.00 3.41 3.062004 1.86 1.59 2.83 2.31 1.90 1.452005 0.76 0.50 0.92 0.95 0.65 0.652006 1.89 1.54 1.98 2.03 1.85 1.772007 0.33 0.69 0.84 0.56 0.61 0.402008 -0.83 -1.68 -1.60 -0.45 -1.36 -1.282009 3.64 3.00 2.73 4.38 2.10 2.752010 2.37 2.35 1.42 2.82 1.97 1.582011 0.35 0.22 -0.28 0.30 0.11 0.072012 2.35 1.72 2.24 1.74 2.55 1.752013 2.57 3.47 3.48 2.61 2.79 2.692014 0.83 1.40 1.14 0.93 1.57 0.67

Sharpe


49



0

20

40

60

80

100

120

140

160

Small Medium Large

Trailng Count

-2%

0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

Small Medium Large


-4%

0%

4%

8%

12%

16%

Small Medium Large


0

50

100

150

200

250


Trailng Count

-4%

0%

4%

8%

12%

16%

20%



-4%

0%

4%

8%

12%

16%




2005 119 15 N/A 72 57 64

2006 118 22 5 84 60 71

2007 104 30 12 62 79 85

2008 87 25 12 46 73 89

2009 76 35 11 44 68 93

2010 77 37 16 64 64 101

2011 77 32 16 59 47 114

2012 78 24 10 54 61 105

2013 74 27 12 52 62 100

2014 61 31 16 27 61 95



2005 15.31% 11.00% N/A 15.88% 17.44% 13.33%

2006 13.69% 10.08% 11.75% 13.90% 14.83% 10.40%

2007 10.00% 9.59% 14.48% 12.28% 11.28% 8.90%

2008 -0.65% -0.79% 3.01% 2.05% 0.16% -0.24%

2009 3.39% 0.83% 2.57% 5.83% 2.42% 2.88%

2010 4.77% 4.44% 4.55% 8.39% 5.22% 4.04%

2011 12.45% 13.05% 14.42% 17.67% 14.51% 10.80%

2012 7.43% 8.76% 4.87% 9.36% 7.15% 6.27%

2013 7.63% 8.09% 8.82% 8.59% 8.21% 6.84%

2014 9.86% 5.82% 11.07% 9.56% 10.37% 9.64%



2005 12.96% 13.33% N/A 13.96% 11.77% 12.20%

2006 10.83% 8.25% 12.71% 11.57% 12.88% 9.17%

2007 8.42% 8.63% 10.34% 10.86% 9.39% 8.17%

2008 0.23% -0.97% 1.39% -0.08% 1.60% -0.18%

2009 3.82% 2.18% 2.05% 6.58% 1.83% 2.49%

2010 5.36% 3.85% 3.65% 6.83% 4.36% 4.27%

2011 8.68% 11.48% 10.99% 14.34% 11.74% 9.83%

2012 5.42% 6.95% 4.57% 8.44% 5.91% 5.18%

2013 6.93% 6.36% 8.52% 7.37% 7.75% 5.81%

2014 8.09% 6.46% 11.13% 10.27% 9.77% 9.12%



50



0

20

40

60

80

100

120

140

160

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small Medium Large


-20%

-15%

-10%

-5%

0%

5%

10%

15%

20%

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small Medium Large


-40%

-20%

0%

20%

40%

60%

80%

100%

120%

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small Medium Large


0

50

100

150

200

250

300

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014



-20%

-15%

-10%

-5%

0%

5%

10%

15%

20%

25%

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014



-40%

-20%

0%

20%

40%

60%

80%

100%

120%

140%

160%

180%

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014



Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small 97 90 66 61

Medium 14 39 29 31

Large N/A 11 15 16

Young 57 83 60 29

Mid-Age 46 76 43 61

Tenured 58 99 105 95

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small 14.37% -13.22% 15.31% 8.18%

Medium 11.92% -16.74% 14.59% 4.97%

Large N/A -12.79% 14.33% 9.54%

Young 15.31% -11.62% 18.99% 8.97%

Mid-Age 16.61% -14.75% 17.43% 8.83%

Tenured 12.34% -12.84% 13.03% 8.08%

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small 101.36% -17.32% 67.97% 25.38%

Medium 75.95% -21.38% 55.41% 16.68%

Large N/A -17.27% 54.67% 29.40%

Young 104.31% -14.88% 81.91% 28.11%

Mid-Age 159.13% -19.30% 82.06% 27.07%

Tenured 82.51% -16.35% 51.35% 25.68%

Strategy Analysis by Size & Age: Fixed Income (Developed & Broad Markets)

51



0

30

60

90

120

150

180

Small Medium Large

Count

-20%

-10%

0%

10%

20%

30%

40%

Small Medium Large

Returns

0%

5%

10%

15%

20%

Small Medium Large

St. Dev.

0

50

100

150

200

250

300


Count

-20%

-10%

0%

10%

20%

30%


Returns

0%

5%

10%

15%

20%


St. Dev.


Count

Small Med Large Young Mid Ten'd2003 13.80% 7.16% 31.23% 14.01% 12.19% 5.87%2004 7.55% 6.67% 8.85% 7.50% 6.59% 8.04%2005 5.59% 5.77% 5.89% 5.54% 5.43% 4.67%2006 8.97% 9.17% 8.14% 10.86% 9.09% 6.60%2007 5.43% 6.47% 5.46% 14.53% 4.43% 6.51%2008 -5.31% -12.94% -14.64% -0.10% -8.92% -9.21%2009 22.90% 28.83% 29.06% 26.37% 25.50% 25.80%2010 8.33% 9.96% 13.06% 11.48% 11.59% 10.06%2011 2.01% 1.55% 2.10% 2.05% 0.81% 1.50%2012 10.33% 8.16% 8.91% 12.41% 9.81% 8.90%2013 5.00% 4.78% 5.74% 9.53% 5.69% 5.18%2014 4.35% 3.82% 2.33% 11.21% 3.56% 3.64%

Return


Standard Deviation

52



-1

0

1

2

3

4

5

6

7

Small Medium Large

Sharpe

-30%

-20%

-10%

0%

10%

20%

30%

40%

Small Medium Large

Alpha

Alphas for All Fixed Income Funds


Market Benchmark: Barclays Global Aggregate Hedged

-1

0

1

2

3

4

5

6

7


Sharpe

-20%

-10%

0%

10%

20%

30%


Alpha

Small Med Large Young Mid Ten'd2003 3.35 1.21 5.34 3.30 2.82 2.682004 1.77 1.97 2.42 1.86 1.87 1.652005 0.72 0.56 0.26 1.30 0.64 0.852006 1.37 1.46 1.19 1.85 1.45 1.362007 0.71 0.91 0.18 1.08 1.36 1.522008 0.37 0.23 -0.17 0.90 1.16 -0.222009 6.21 3.42 3.19 5.27 5.11 3.052010 5.98 3.04 2.68 5.75 5.73 4.712011 0.88 1.39 0.80 0.98 0.71 1.072012 3.06 3.50 2.74 3.25 3.21 2.792013 2.46 1.97 2.82 4.01 2.64 2.092014 3.17 1.95 1.45 5.66 2.07 1.39

Sharpe

Small Med Large Young Mid Ten'd2003 10.96% 5.39% 28.10% 11.85% 9.85% 2.98%2004 4.77% 3.84% 6.80% 4.70% 4.27% 4.78%2005 1.91% 2.21% 2.39% 1.79% 1.79% 1.13%2006 3.71% 3.70% 2.83% 5.60% 3.74% 1.35%2007 1.05% 2.55% 0.47% 5.40% -0.09% 2.34%2008 -10.32% -17.94% -21.16% -5.82% -13.73% -13.32%2009 21.31% 27.17% 25.42% 23.19% 22.75% 23.48%2010 6.81% 8.86% 13.18% 10.89% 10.68% 7.65%2011 3.08% 2.77% 4.18% 2.94% 1.97% 2.23%2012 8.96% 5.41% 8.00% 10.91% 9.60% 7.03%2013 4.79% 4.57% 5.54% 8.06% 5.47% 4.95%2014 2.61% 0.87% 1.00% 7.59% 1.64% 0.23%

Alpha


53




0

20

40

60

80

100

120

Small Medium Large

Trailng Count

-10%

-5%

0%

5%

10%

15%

20%

Small Medium Large


-8%

-4%

0%

4%

8%

12%

16%

20%

Small Medium Large


0

20

40

60

80

100

120

140

160

180

200


Trailng Count

-2%

0%

2%

4%

6%

8%

10%

12%

14%



0%

2%

4%

6%

8%

10%

12%

14%

16%




2005 41 10 3 53 24 21

2006 49 11 6 53 35 19

2007 54 10 14 62 46 28

2008 48 12 8 51 49 30

2009 45 13 9 48 54 35

2010 49 21 10 49 64 44

2011 52 32 12 56 55 62

2012 51 29 9 66 49 59

2013 60 23 14 51 56 69

2014 56 26 21 43 58 55



2005 10.36% 6.12% 16.66% 9.70% 8.94% 6.48%

2006 7.59% 6.57% 5.85% 8.03% 6.94% 6.04%

2007 5.96% 7.88% 4.63% 5.60% 7.25% 6.00%

2008 0.78% 3.81% -6.00% 1.30% -0.20% 1.28%

2009 5.83% 7.99% 2.58% 7.83% 5.02% 5.60%

2010 7.00% 8.21% 3.64% 9.89% 6.15% 5.64%

2011 9.34% 14.60% 14.16% 12.90% 11.80% 11.16%

2012 6.52% 7.89% 8.66% 8.21% 6.72% 7.71%

2013 5.65% 6.53% 5.61% 7.51% 5.40% 4.92%

2014 6.79% 6.96% 5.83% 7.53% 6.82% 6.72%



2005 9.60% 6.22% 15.24% 7.85% 8.80% 6.20%

2006 6.72% 7.93% 5.59% 7.24% 6.36% 5.77%

2007 5.62% 7.31% 5.43% 5.79% 6.86% 5.83%

2008 2.56% 4.97% -4.55% 3.57% 1.29% 2.19%

2009 5.98% 10.86% 1.28% 6.25% 5.35% 5.47%

2010 7.43% 6.56% 3.22% 7.85% 7.29% 5.32%

2011 8.34% 11.81% 9.77% 13.36% 8.37% 9.05%

2012 6.05% 6.53% 9.98% 7.58% 5.79% 5.47%

2013 5.94% 7.15% 4.88% 6.34% 5.43% 5.38%

2014 6.56% 6.94% 4.41% 5.02% 6.93% 6.31%


54




0

20

40

60

80

100

120

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small Medium Large


-15%

-10%

-5%

0%

5%

10%

15%

20%

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small Medium Large


-30%

-20%

-10%

0%

10%

20%

30%

40%

50%

60%

70%

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small Medium Large

Economic Cycles

Cumulative Returns

0

20

40

60

80

100

120

140

160

180

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014



-6%

-4%

-2%

0%

2%

4%

6%

8%

10%

12%

14%

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014



-10%

0%

10%

20%

30%

40%

50%

60%

70%

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014



Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small 27 55 45 57

Medium 10 16 29 26

Large 2 10 12 21

Young 39 66 56 55

Mid-Age 18 61 48 58

Tenured 16 41 60 55

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small 9.97% -4.11% 9.60% 5.90%

Medium 5.18% -3.45% 14.90% 6.39%

Large 11.05% -12.93% 13.11% 4.91%

Young 9.85% -1.50% 13.00% 6.99%

Mid-Age 7.98% -3.85% 12.19% 5.97%

Tenured 6.51% -4.25% 11.60% 5.86%

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small 60.47% -4.70% 35.87% 17.93%

Medium 28.19% -3.35% 61.79% 18.97%

Large 65.19% -16.58% 51.95% 14.41%

Young 61.06% -0.55% 48.57% 21.75%

Mid-Age 45.11% -4.30% 51.63% 17.86%

Tenured 35.70% -5.06% 44.81% 17.38%

Strategy Analysis by Size & Age: Long Short Equity (Developed & Broad Markets)

55



0

200

400

600

800

1000

Small Medium Large

Count

-30%

-20%

-10%

0%

10%

20%

30%

Small Medium Large

Returns

0%

5%

10%

15%

20%

25%

Small Medium Large

St. Dev.

0

200

400

600

800

1000

1200

1400


Count

-30%

-20%

-10%

0%

10%

20%

30%


Returns

0%

5%

10%

15%

20%

25%


St. Dev.


Count

Small Med Large Young Mid Ten'd2003 26.93% 19.63% 13.75% 27.99% 25.02% 28.48%2004 11.76% 7.88% 18.29% 13.07% 10.15% 12.07%2005 11.51% 13.69% 19.23% 14.63% 11.54% 10.51%2006 14.03% 12.02% 8.97% 14.45% 14.76% 12.63%2007 11.43% 12.30% 12.02% 12.73% 12.27% 10.72%2008 -17.95% -19.51% -18.51% -10.40% -16.83% -21.26%2009 26.07% 27.41% 20.26% 27.36% 24.14% 28.37%2010 11.73% 9.26% 5.37% 15.80% 11.30% 11.09%2011 -5.11% -4.85% -5.78% 0.28% -4.37% -6.15%2012 8.16% 9.01% 8.75% 9.84% 9.52% 9.69%2013 19.57% 17.25% 15.04% 21.48% 19.65% 20.19%2014 3.60% 3.42% 3.26% 1.99% 5.84% 3.96%

Return


Standard Deviation

56



-1.5

-1

-0.5

0

0.5

1

1.5

2

2.5

Small Medium Large

Sharpe

-10%

-5%

0%

5%

10%

15%

20%

Small Medium Large

Alpha

-1.5

-1

-0.5

0

0.5

1

1.5

2

2.5


Sharpe

-10%

-5%

0%

5%

10%

15%

20%


Alpha

Alphas for All Long Short Equity (Developed Markets + Broad Markets) Funds


Market Benchmark: S&P 500

Small Med Large Young Mid Ten'd2003 1.94 2.01 1.94 2.04 1.93 2.022004 0.93 0.82 1.82 1.13 0.95 0.872005 0.72 0.94 1.33 1.02 0.70 0.592006 0.78 0.80 0.72 0.90 0.87 0.782007 0.57 0.72 0.60 0.78 0.64 0.542008 -1.01 -0.98 -1.33 -0.58 -0.94 -1.212009 1.32 1.50 1.49 1.66 1.38 1.412010 0.80 0.78 0.44 1.08 0.83 0.752011 -0.28 -0.33 -0.60 0.14 -0.23 -0.372012 0.80 1.16 1.20 0.97 1.14 0.902013 1.91 2.18 2.23 2.09 1.99 2.052014 0.45 0.57 0.49 0.45 0.89 0.48

Sharpe

Small Med Large Young Mid Ten'd2003 13.02% 8.20% 3.06% 14.67% 10.98% 11.87%2004 2.89% 1.60% 9.82% 4.96% 2.32% 2.14%2005 6.75% 8.66% 14.19% 9.85% 6.76% 5.61%2006 -0.44% -1.78% -5.90% 1.14% 0.16% -2.14%2007 5.78% 6.20% 6.14% 6.96% 6.39% 5.04%2008 -1.59% -2.41% -5.18% 2.64% -2.54% -3.71%2009 13.79% 16.41% 14.03% 17.09% 14.10% 14.74%2010 3.97% 2.57% -0.79% 8.26% 4.31% 3.10%2011 -6.69% -6.09% -6.65% -1.64% -5.73% -7.67%2012 -0.96% 1.52% 1.86% 2.83% 1.52% -0.41%2013 2.80% 2.32% 2.13% 5.15% 2.91% 2.97%2014 -2.26% -1.82% -2.35% -4.60% 0.32% -1.96%

Alpha


57




0

100

200

300

400

500

600

700

Small Medium Large

Trailng Count

-5%

0%

5%

10%

15%

20%

Small Medium Large


-4%

0%

4%

8%

12%

16%

20%

Small Medium Large


0

100

200

300

400

500

600

700

800

900

1000


Trailng Count

-5%

0%

5%

10%

15%

20%



-4%

-2%

0%

2%

4%

6%

8%

10%

12%

14%

16%




2005 360 52 9 290 246 186

2006 421 70 7 280 289 221

2007 434 104 12 290 340 259

2008 425 110 22 290 302 305

2009 441 120 40 263 326 349

2010 416 121 46 251 298 379

2011 410 109 44 229 258 401

2012 359 90 27 160 229 387

2013 361 93 32 134 219 410

2014 315 97 35 97 153 367



2005 15.85% 12.97% 15.13% 16.56% 15.38% 16.69%

2006 12.09% 10.57% 18.27% 12.65% 12.09% 11.68%

2007 12.24% 12.66% 15.80% 13.15% 12.43% 11.54%

2008 -0.94% 0.88% 0.07% 2.68% -0.25% -2.06%

2009 2.69% 2.96% 3.52% 5.30% 3.08% 1.69%

2010 2.87% 2.45% 1.34% 6.55% 3.35% 1.83%

2011 10.99% 9.52% 6.69% 12.12% 10.43% 10.16%

2012 4.56% 4.28% 2.40% 8.57% 5.39% 4.35%

2013 6.88% 6.99% 5.24% 9.97% 8.21% 7.09%

2014 10.65% 8.78% 7.66% 11.14% 13.38% 10.62%



2005 13.94% 11.08% 12.42% 14.26% 13.63% 15.04%

2006 10.90% 10.12% 15.29% 11.70% 11.12% 10.31%

2007 11.17% 11.61% 12.59% 11.80% 11.09% 11.00%

2008 0.36% 1.06% -0.02% 3.61% 0.69% -1.38%

2009 3.07% 3.26% 4.12% 4.96% 2.85% 2.44%

2010 2.86% 2.78% 2.85% 6.78% 2.71% 2.24%

2011 9.25% 7.84% 5.51% 9.37% 8.33% 8.61%

2012 4.13% 4.63% 2.13% 6.36% 4.62% 4.15%

2013 6.66% 7.21% 6.02% 7.72% 7.38% 6.97%

2014 10.03% 8.27% 8.17% 9.42% 12.09% 9.65%


58




0

100

200

300

400

500

600

700

800

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small Medium Large


-20%

-15%

-10%

-5%

0%

5%

10%

15%

20%

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small Medium Large


-40%

-20%

0%

20%

40%

60%

80%

100%

120%

140%

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small Medium Large


0

200

400

600

800

1000

1200

1400

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014



-20%

-15%

-10%

-5%

0%

5%

10%

15%

20%

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014



-40%

-20%

0%

20%

40%

60%

80%

100%

120%

140%

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014



Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small 300 498 388 316

Medium 48 130 102 97

Large 8 41 43 35

Young 236 429 228 107

Mid-Age 207 355 245 155

Tenured 167 379 380 368

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small 14.94% -15.92% 14.86% 8.71%

Medium 13.50% -13.94% 12.95% 7.20%

Large 17.06% -12.40% 8.93% 6.41%

Young 16.17% -9.24% 15.15% 9.72%

Mid-Age 14.38% -14.60% 13.52% 11.38%

Tenured 15.21% -17.39% 14.38% 8.74%

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small 111.12% -20.20% 61.62% 28.45%

Medium 86.76% -17.87% 50.31% 22.92%

Large 117.84% -15.91% 34.15% 19.99%

Young 124.85% -11.34% 61.69% 30.99%

Mid-Age 98.03% -18.47% 54.96% 37.49%

Tenured 106.24% -22.23% 59.04% 36.80%

Strategy Analysis by Size & Age: Macro

59



0

40

80

120

160

200

Small Medium Large

Count

-20%

-10%

0%

10%

20%

30%

Small Medium Large

Returns

0%

5%

10%

15%

20%

Small Medium Large

St. Dev.

0

60

120

180

240

300

360


Count

-10%

0%

10%

20%

30%


Returns

0%

5%

10%

15%

20%


St. Dev.


Count


Standard Deviation

Small Med Large Young Mid Ten'd2003 22.65% 21.37% 27.96% 22.37% 21.10% 19.73%2004 5.76% 4.28% 5.00% 4.83% 9.21% 5.62%2005 8.36% 12.51% 4.29% 13.11% 9.36% 8.90%2006 10.52% 9.51% 3.83% 18.12% 9.33% 8.48%2007 20.28% 20.37% 11.12% 22.54% 14.75% 18.91%2008 0.06% 4.83% -11.65% 6.23% -0.73% 4.68%2009 10.11% 12.22% 13.50% 14.13% 15.42% 12.92%2010 4.96% 6.88% 9.96% 10.92% 6.10% 7.66%2011 -2.91% -0.05% 0.98% -2.71% -0.55% -0.45%2012 3.35% 4.42% 1.42% 7.82% 5.38% 3.13%2013 4.20% 0.69% -0.94% *24.68% 4.77% 1.33%2014 4.70% 4.06% 4.38% 4.72% 5.07% 5.42%

Return

* The 2013 young fund figure is high because of one outlier fundwith exceptionally high reported returns.


60



-1

-0.5

0

0.5

1

1.5

2

2.5

Small Medium Large

Sharpe

-10%

-5%

0%

5%

10%

15%

Small Medium Large

Alpha

Alphas for All Macro Funds


Market Benchmark: 60% MSCI World / 40% Citi WGBI

-0.5

0

0.5

1

1.5

2


Sharpe

-10%

-5%

0%

5%

10%

15%


Alpha

Small Med Large Young Mid Ten'd2003 1.62 2.33 2.11 1.63 1.61 1.812004 0.48 0.51 0.50 0.56 0.94 0.452005 0.62 0.41 0.02 0.85 0.75 0.332006 0.30 0.51 -0.04 0.48 0.51 0.322007 0.89 0.79 0.56 0.89 0.68 0.902008 0.08 0.34 -0.51 0.53 0.02 0.132009 1.00 1.41 0.87 1.41 1.30 1.272010 0.58 0.95 1.35 1.01 0.72 1.032011 -0.04 0.19 0.26 -0.05 0.04 0.162012 0.61 0.81 0.48 0.84 0.82 0.732013 0.48 0.18 0.19 0.87 0.58 0.292014 0.45 0.58 0.63 0.31 0.49 0.68

Sharpe

Small Med Large Young Mid Ten'd2003 9.80% 10.52% 11.99% 9.98% 10.89% 6.06%2004 -1.72% -1.41% -0.74% -0.86% 1.63% -3.21%2005 5.09% 9.32% 1.24% 9.90% 6.12% 5.93%2006 -1.34% -2.79% -5.82% 3.61% -1.03% -4.45%2007 11.19% 10.69% 2.80% 13.24% 7.21% 8.57%2008 1.78% 6.33% 0.02% 7.58% 2.75% 6.85%2009 5.72% 7.49% 9.43% 10.77% 10.60% 7.63%2010 2.78% 4.74% 8.25% 7.17% 4.14% 5.90%2011 -2.71% -0.17% 0.46% -2.02% -0.45% -0.53%2012 0.23% 1.77% 0.83% 3.84% 3.03% 0.98%2013 -0.21% -2.62% -4.93% *11.13% -1.28% -2.13%2014 4.47% 3.78% 4.59% 4.31% 4.79% 5.39%

Alpha

* The 2013 young fund figure is high because of one outlier fundwith exceptionally high reported returns.


61



0

20

40

60

80

100

120

140

Small Medium Large

Trailng Count

0%

2%

4%

6%

8%

10%

12%

14%

16%

Small Medium Large


0%

4%

8%

12%

16%

Small Medium Large


0

50

100

150

200

250


Trailng Count

0%

2%

4%

6%

8%

10%

12%

14%

16%



0%

4%

8%

12%




2005 58 12 3 44 40 35

2006 64 11 8 63 38 43

2007 66 15 16 62 54 47

2008 80 17 13 65 62 54

2009 82 22 13 72 69 58

2010 77 32 15 62 74 69

2011 72 31 19 57 69 82

2012 76 32 15 52 65 86

2013 58 25 20 40 55 89

2014 48 22 24 29 43 79



2005 12.01% 10.70% 12.03% 11.72% 13.28% 11.24%

2006 8.16% 6.96% 2.76% 8.20% 10.38% 6.96%

2007 12.55% 14.64% 5.92% 13.01% 12.64% 10.83%

2008 10.49% 6.62% 7.43% 11.23% 9.79% 7.77%

2009 11.10% 9.25% 5.07% 14.03% 8.86% 9.68%

2010 5.86% 7.28% 3.18% 6.45% 7.92% 6.95%

2011 3.77% 7.03% 5.58% 6.49% 6.70% 6.34%

2012 1.63% 3.28% 4.23% 4.69% 2.32% 3.84%

2013 1.51% 0.70% 1.71% 4.05% 2.66% 1.44%

2014 5.83% 2.49% 1.37% 8.29% 5.69% 3.16%



2005 11.03% 7.75% 12.73% 8.80% 9.93% 10.83%

2006 6.15% 5.13% 2.35% 6.70% 7.71% 5.64%

2007 10.39% 11.84% 5.47% 10.26% 9.11% 9.11%

2008 8.27% 5.40% 5.00% 6.78% 7.22% 7.31%

2009 8.05% 8.01% 6.36% 11.28% 6.97% 8.36%

2010 5.51% 7.78% 4.54% 7.03% 7.54% 6.79%

2011 2.75% 8.97% 4.69% 6.09% 5.45% 6.43%

2012 2.00% 4.95% 2.61% 4.98% 2.28% 3.88%

2013 1.63% 1.59% 2.79% 3.21% 1.89% 2.62%

2014 5.31% 3.53% 2.69% 6.91% 5.19% 3.69%



62



0

20

40

60

80

100

120

140

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small Medium Large


-6%

-4%

-2%

0%

2%

4%

6%

8%

10%

12%

14%

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small Medium Large


-20%

0%

20%

40%

60%

80%

100%

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small Medium Large


0

50

100

150

200

250

300

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014



0%

2%

4%

6%

8%

10%

12%

14%

16%

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014



0%

20%

40%

60%

80%

100%

120%

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014



Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small 48 92 69 48

Medium 11 24 30 22

Large 3 14 19 24

Young 37 110 59 31

Mid-Age 32 78 68 43

Tenured 33 65 78 79

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small 12.67% 6.49% 4.41% 5.37%

Medium 10.73% 5.53% 6.53% 1.73%

Large 9.37% -3.77% 6.71% 1.25%

Young 12.22% 8.17% 6.45% 7.05%

Mid-Age 14.69% 4.78% 7.48% 5.31%

Tenured 9.78% 2.46% 6.59% 2.77%

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small 90.44% 11.21% 19.83% 16.78%

Medium 68.78% 8.85% 24.93% 5.48%

Large 53.52% -4.33% 24.06% 4.23%

Young 83.73% 13.64% 23.58% 21.43%

Mid-Age 113.96% 8.55% 29.63% 16.26%

Tenured 61.30% 4.65% 26.57% 8.82%

Strategy Analysis by Size & Age: Market Neutral Equity (Developed & Broad Markets)

63



0

40

80

120

160

200

Small Medium Large

Count

-10%

-5%

0%

5%

10%

15%

Small Medium Large

Returns

0%

2%

4%

6%

8%

10%

12%

Small Medium Large

St. Dev.

0

40

80

120

160

200

240

280


Count

-5%

0%

5%

10%

15%


Returns

0%

2%

4%

6%

8%

10%

12%


St. Dev.


Count

Small Med Large Young Mid Ten'd2003 5.49% 2.50% 4.22% 6.60% 6.33% 5.70%2004 4.12% 1.27% 3.31% 5.70% 3.17% 4.88%2005 7.49% 8.64% 5.41% 7.65% 6.35% 9.44%2006 7.79% 10.08% 7.35% 10.81% 8.34% 6.94%2007 8.00% 4.48% 4.26% 8.04% 9.60% 5.77%2008 -0.27% -2.14% -2.83% 0.53% 1.38% -3.80%2009 5.20% 2.89% -7.22% 9.16% 3.52% 3.48%2010 2.87% 1.68% -1.19% 3.99% 3.26% 3.12%2011 0.72% 3.86% 13.76% 4.32% 3.33% 1.35%2012 5.48% 2.02% 3.99% 5.33% 5.74% 3.63%2013 7.28% 7.88% 5.49% 8.91% 7.20% 7.09%2014 2.46% 4.85% 4.16% 0.99% 5.71% 2.76%

Return


Standard Deviation

64



-1

0

1

2

3

4

Small Medium Large

Sharpe

-10%

-5%

0%

5%

10%

15%

Small Medium Large

Alpha

Alphas for All Market Neutral Equity (Developed Markets + Broad Markets) Funds


Market Benchmark: S&P 500

-2

-1

0

1

2

3


Sharpe

-5%

0%

5%

10%


Alpha

Small Med Large Young Mid Ten'd2003 0.67 0.18 3.81 0.98 0.86 0.822004 0.68 -0.10 0.34 2.72 0.32 0.422005 0.77 1.02 0.57 -1.23 0.58 1.092006 0.59 0.86 2.81 0.86 -1.35 0.862007 0.61 0.42 3.62 0.51 0.91 0.532008 0.00 -0.20 -0.08 0.02 -0.03 -0.282009 0.45 0.40 -0.51 0.87 0.36 0.482010 -0.07 0.50 0.30 0.83 0.51 -0.042011 0.29 0.68 1.81 0.87 0.59 0.302012 0.84 0.23 1.15 1.04 0.87 0.592013 1.20 1.42 1.18 1.14 1.34 1.252014 0.58 0.92 1.16 0.38 0.95 0.63

Sharpe

Small Med Large Young Mid Ten'd2003 5.10% 1.02% 2.15% 5.04% 4.69% 6.42%2004 0.76% -1.19% 0.11% 2.14% -0.34% 0.73%2005 3.45% 4.67% 1.68% 3.77% 2.35% 5.38%2006 1.18% 3.24% 2.27% 5.11% 1.91% -0.44%2007 3.15% -0.34% -0.53% 3.01% 4.59% 0.96%2008 0.23% -3.13% -5.93% 0.41% 2.00% -2.08%2009 3.50% 2.67% -8.41% 8.64% 1.97% 2.77%2010 1.39% 0.64% -1.70% 2.47% 2.15% 1.62%2011 -0.23% 3.37% 12.62% 3.33% 2.52% 0.44%2012 3.17% 0.19% 2.02% 4.89% 2.98% 1.41%2013 1.22% 1.96% 0.63% 5.35% 2.41% 1.36%2014 1.37% 5.03% 3.43% -1.63% 5.40% 2.14%

Alpha


65




0

20

40

60

80

100

120

Small Medium Large

Trailng Count

-6%

-4%

-2%

0%

2%

4%

6%

8%

10%

12%

Small Medium Large


-6%

-4%

-2%

0%

2%

4%

6%

8%

10%

Small Medium Large


0

20

40

60

80

100

120

140

160

180

200


Trailng Count

-1%

0%

1%

2%

3%

4%

5%

6%

7%

8%

9%



0%

1%

2%

3%

4%

5%

6%

7%

8%

9%




2005 69 10 3 71 40 23

2006 79 16 3 79 46 32

2007 84 15 2 53 73 35

2008 79 26 1 60 64 46

2009 75 27 4 60 68 45

2010 71 23 9 46 62 59

2011 75 25 7 45 47 68

2012 66 19 5 35 46 63

2013 59 19 3 16 47 67

2014 51 18 6 13 34 59



2005 6.01% 4.00% 4.18% 6.25% 6.68% 5.56%

2006 6.74% 6.14% 5.39% 7.49% 5.82% 6.57%

2007 7.94% 8.09% 6.26% 8.53% 8.11% 7.55%

2008 3.85% 4.14% 5.00% 7.63% 5.12% 2.57%

2009 3.04% 1.49% -4.12% 3.67% 4.35% 2.11%

2010 2.02% -0.14% -3.99% 3.62% 3.11% -0.07%

2011 3.00% 4.01% 2.16% 6.39% 4.94% 2.38%

2012 3.39% 3.29% 7.50% 5.13% 5.45% 2.97%

2013 4.40% 5.30% 9.76% 5.96% 5.97% 4.38%

2014 5.19% 5.21% 4.19% 8.52% 5.07% 4.87%



2005 5.89% 3.15% 2.77% 6.08% 5.81% 3.57%

2006 6.35% 5.30% 4.75% 7.49% 5.74% 6.73%

2007 7.88% 6.60% 6.26% 8.25% 7.91% 7.66%

2008 3.92% 4.06% 5.00% 5.97% 4.92% 3.87%

2009 3.44% 0.80% -3.47% 3.98% 3.47% 2.92%

2010 2.87% 0.21% -2.69% 4.11% 2.82% 0.01%

2011 2.49% 3.14% 1.61% 4.22% 4.68% 2.19%

2012 3.01% 2.43% 7.61% 3.17% 4.40% 2.02%

2013 3.28% 3.12% 5.70% 6.32% 4.60% 3.28%

2014 5.25% 5.52% 3.87% 6.84% 5.59% 4.90%


66




0

20

40

60

80

100

120

140

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small Medium Large


-15%

-10%

-5%

0%

5%

10%

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small Medium Large


-30%

-20%

-10%

0%

10%

20%

30%

40%

50%

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small Medium Large


0

50

100

150

200

250

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014



-4%

-2%

0%

2%

4%

6%

8%

10%

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014



-10%

0%

10%

20%

30%

40%

50%

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014



Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small 53 89 71 52

Medium 10 29 24 18

Large 3 4 7 6

Young 56 95 47 15

Mid-Age 33 78 46 35

Tenured 21 54 65 60

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small 6.66% -0.29% 3.86% 4.35%

Medium 5.63% 0.55% 3.77% 5.14%

Large 4.88% -13.08% 3.84% 3.18%

Young 7.64% 2.19% 6.64% 8.13%

Mid-Age 5.46% 2.36% 5.45% 4.38%

Tenured 6.48% -1.60% 2.71% 4.01%

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small 41.20% -0.04% 14.96% 13.25%

Medium 31.55% 0.98% 13.61% 15.32%

Large 25.80% -17.81% 14.10% 10.04%

Young 45.14% 3.53% 24.18% 25.09%

Mid-Age 31.94% 3.87% 19.60% 13.09%

Tenured 38.45% -1.51% 11.21% 12.48%

Strategy Analysis by Size & Age: Multi-Strategy

67



0

40

80

120

160

200

240

Small Medium Large

Count

-30%

-20%

-10%

0%

10%

20%

30%

40%

50%

Small Medium Large

Returns

0%

4%

8%

12%

16%

20%

24%

Small Medium Large

St. Dev.

0

80

160

240

320

400

480


Count

-30%

-20%

-10%

0%

10%

20%

30%

40%


Returns

0%

4%

8%

12%

16%

20%


St. Dev.


Count

Small Med Large Young Mid Ten'd2003 22.43% 17.46% 12.48% 22.83% 23.77% 23.15%2004 11.24% 7.98% 9.71% 12.09% 13.09% 11.54%2005 11.96% 10.20% 7.89% 12.47% 9.23% 12.59%2006 16.47% 13.81% 15.86% 14.01% 15.87% 17.42%2007 15.35% 7.08% 9.38% 15.83% 15.91% 9.67%2008 -14.39% -21.89% -18.80% -8.06% -14.87% -19.80%2009 22.65% 41.29% 28.54% 28.56% 22.09% 31.44%2010 13.08% 10.19% 7.58% 12.59% 9.30% 13.13%2011 -5.87% -1.07% -1.74% -2.49% -2.84% -4.61%2012 6.41% 7.23% 7.97% 7.69% 9.22% 6.28%2013 7.86% 5.89% 10.35% 8.14% 6.27% 8.31%2014 2.03% 2.62% 1.15% 4.95% 0.46% 1.79%

Return


Standard Deviation

68




-2

-1

0

1

2

3

4

5

Small Medium Large

Sharpe

-15%

-10%

-5%

0%

5%

10%

15%

20%

25%

30%

35%

Small Medium Large

Alpha

-2

-1

0

1

2

3

4


Sharpe

-15%

-10%

-5%

0%

5%

10%

15%

20%

25%


Alpha

Alphas for All Multi-Strategy Funds


Market Benchmark: 60% MSCI World / 40% Citi WGBI

Small Med Large Young Mid Ten'd2003 2.74 3.33 4.33 3.02 3.01 3.242004 1.53 1.12 2.35 1.61 1.47 1.412005 0.95 0.90 1.42 0.83 0.72 1.052006 1.53 1.73 2.08 1.49 0.99 2.022007 0.89 0.43 0.85 0.98 0.58 0.902008 -0.88 -1.26 -1.56 -0.40 -1.00 -1.322009 2.11 2.84 3.44 2.35 2.18 2.682010 1.56 1.51 1.61 1.55 1.43 1.672011 -0.22 0.26 0.12 -0.01 0.06 -0.102012 1.32 1.87 2.46 1.97 1.77 1.502013 1.45 1.80 2.76 2.10 1.08 1.802014 0.79 1.09 0.53 1.33 0.79 0.59

Sharpe

Small Med Large Young Mid Ten'd2003 10.98% 11.96% 9.15% 11.95% 13.67% 10.80%2004 3.82% 1.77% 4.62% 5.49% 6.05% 2.92%2005 8.26% 6.51% 4.48% 8.92% 5.76% 8.74%2006 4.77% 2.70% 4.79% 5.21% 3.34% 4.28%2007 5.92% -1.06% 1.97% 7.36% 6.70% 0.88%2008 -4.87% -9.29% -11.57% -1.69% -6.20% -9.37%2009 13.59% 30.26% 23.11% 19.55% 15.68% 21.81%2010 8.70% 7.62% 5.53% 8.75% 6.24% 9.03%2011 -6.02% -1.09% -1.93% -2.65% -2.84% -4.95%2012 0.96% 3.60% 4.18% 3.42% 4.02% 1.65%2013 1.79% 0.26% 6.96% 3.21% 0.95% 2.36%2014 1.46% 1.38% 0.28% 4.53% -0.46% 0.96%

Alpha

69




0

20

40

60

80

100

120

140

160

180

Small Medium Large

Trailng Count

-10%

-5%

0%

5%

10%

15%

20%

Small Medium Large


-6%

-4%

-2%

0%

2%

4%

6%

8%

10%

12%

14%

Small Medium Large


0

50

100

150

200

250

300

350


Trailng Count

-5%

0%

5%

10%

15%

20%



-4%

-2%

0%

2%

4%

6%

8%

10%

12%

14%




2005 68 19 10 74 47 51

2006 71 23 17 85 61 53

2007 79 31 20 94 75 64

2008 90 29 20 85 81 71

2009 90 31 27 89 95 82

2010 84 46 29 93 92 88

2011 94 42 32 89 92 112

2012 99 38 19 81 91 117

2013 85 45 22 66 87 128

2014 77 36 30 55 78 116



2005 13.68% 11.92% 10.08% 13.50% 17.51% 13.14%

2006 12.91% 9.72% 10.79% 14.28% 12.40% 12.29%

2007 14.91% 8.55% 10.72% 14.50% 13.22% 12.44%

2008 2.30% -5.99% -0.07% 3.92% 1.71% -2.09%

2009 4.66% 3.36% 3.07% 8.06% 5.99% 2.13%

2010 2.87% 3.91% 4.36% 7.19% 4.03% 4.45%

2011 9.42% 14.51% 12.09% 12.37% 8.79% 12.52%

2012 5.17% 5.48% 5.13% 6.34% 4.67% 5.60%

2013 3.50% 3.58% 5.36% 2.29% 5.46% 3.06%

2014 4.84% 4.64% 7.05% 5.88% 5.70% 5.91%



2005 9.84% 9.28% 10.50% 10.56% 10.76% 10.56%

2006 9.29% 9.90% 10.22% 10.75% 9.54% 10.22%

2007 12.71% 9.22% 10.89% 12.43% 11.51% 10.23%

2008 3.22% -4.91% -2.20% 4.53% 1.28% -2.09%

2009 4.46% 3.08% 2.54% 7.43% 5.57% 2.02%

2010 2.98% 4.97% 3.91% 6.48% 5.06% 4.58%

2011 7.27% 11.40% 11.42% 10.47% 8.44% 10.77%

2012 5.22% 4.20% 5.52% 6.19% 5.69% 5.18%

2013 4.22% 4.99% 6.86% 2.98% 5.94% 4.99%

2014 6.24% 6.97% 7.34% 5.56% 6.42% 7.27%


70




0

20

40

60

80

100

120

140

160

180

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small Medium Large


-20%

-15%

-10%

-5%

0%

5%

10%

15%

20%

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small Medium Large


-40%

-20%

0%

20%

40%

60%

80%

100%

120%

140%

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small Medium Large


0

50

100

150

200

250

300

350

400

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014



-20%

-15%

-10%

-5%

0%

5%

10%

15%

20%

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014



-40%

-20%

0%

20%

40%

60%

80%

100%

120%

140%

160%

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014



Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small 50 103 86 77

Medium 18 36 38 36

Large 9 29 32 30

Young 57 150 90 58

Mid-Age 39 107 86 79

Tenured 45 88 104 116

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small 14.63% -11.07% 12.17% 3.56%

Medium 11.86% -16.03% 15.53% 3.66%

Large 11.59% -10.96% 12.98% 6.19%

Young 15.01% -3.86% 14.42% 5.44%

Mid-Age 15.18% -9.53% 10.14% 4.47%

Tenured 13.15% -15.66% 14.33% 4.80%

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small 121.66% -13.62% 48.33% 13.07%

Medium 74.95% -20.84% 63.03% 12.78%

Large 69.36% -14.36% 49.47% 18.42%

Young 137.40% -3.63% 59.60% 17.38%

Mid-Age 114.72% -11.83% 38.49% 13.97%

Tenured 98.58% -20.16% 56.30% 16.28%

Strategy Analysis by Size & Age: Securitized

71



0

20

40

60

80

Small Medium Large

Count

-45%

-30%

-15%

0%

15%

30%

45%

60%

Small Medium Large

Returns

0%

4%

8%

12%

16%

20%

24%

Small Medium Large

St. Dev.

0

20

40

60

80

100


Count

-30%

-15%

0%

15%

30%

45%

60%


Returns

0%

4%

8%

12%

16%

20%

24%

28%


St. Dev.

Small Med Large Young Mid Ten'd2002 30 7 N/A 21 14 112003 35 11 N/A 19 15 172004 36 11 4 22 19 212005 31 18 5 21 23 232006 29 15 4 20 21 242007 25 10 4 14 15 212008 28 18 1 26 16 222009 32 19 4 40 11 262010 31 21 5 26 24 272011 31 23 10 18 38 232012 37 19 15 12 43 222013 24 17 17 7 24 32

Count

Small Med Large Young Mid Ten'd2003 14.58% 7.58% N/A 17.68% 9.60% 9.10%2004 21.59% 7.90% N/A 19.43% 24.40% 10.58%2005 7.36% 4.16% 7.85% 8.16% 5.51% 5.78%2006 11.02% 8.57% 8.61% 9.35% 10.76% 8.70%2007 35.17% 8.33% -16.26% 15.43% -0.22% 8.83%2008 0.47% -10.61% -37.77% 2.78% -22.91% -2.95%2009 36.56% 51.04% 4.84% 44.53% 45.51% 39.41%2010 24.64% 20.32% 27.38% 26.21% 38.88% 22.62%2011 8.83% 8.36% 5.01% 8.67% 7.31% 8.97%2012 20.20% 21.37% 21.33% 26.57% 21.36% 18.76%2013 16.29% 10.60% 7.86% 16.69% 11.71% 13.96%2014 9.64% 9.35% 8.55% 11.26% 10.08% 7.86%

Return

Small Med Large Young Mid Ten'd2003 5.03% 4.26% N/A 4.55% 6.60% 6.16%2004 4.11% 2.25% N/A 3.58% 3.48% 4.61%2005 2.72% 2.28% 1.68% 2.34% 2.81% 3.05%2006 3.77% 1.99% 1.50% 2.83% 2.13% 4.02%2007 14.40% 7.03% 9.05% 13.05% 8.59% 7.84%2008 17.18% 12.89% 21.28% 11.85% 23.40% 16.78%2009 10.80% 8.74% 2.07% 8.61% 20.93% 10.28%2010 8.21% 5.52% 5.46% 6.49% 9.18% 7.11%2011 6.31% 6.40% 6.03% 5.99% 7.35% 5.52%2012 4.15% 3.30% 4.77% 5.50% 3.47% 4.20%2013 5.55% 4.30% 5.75% 5.87% 4.77% 5.79%2014 3.38% 2.43% 3.07% 6.18% 2.32% 2.95%

Standard Deviation

72




-3

-2

-1

0

1

2

3

4

5

6

7

8

9

Small Medium Large

Sharpe

-50%

-40%

-30%

-20%

-10%

0%

10%

20%

30%

40%

50%

Small Medium Large

Alpha

-1

0

1

2

3

4

5

6

7

8

9

10


Sharpe

-40%

-30%

-20%

-10%

0%

10%

20%

30%

40%

50%


Alpha

Alphas for All Securitized Funds


Market Benchmark: Barclays US Securitized

Small Med Large Young Mid Ten'd2003 5.78 1.51 N/A 8.78 3.85 1.492004 7.54 2.98 N/A 6.97 7.11 3.972005 3.70 0.61 1.95 2.32 2.45 3.322006 3.96 2.42 2.74 2.40 5.19 2.092007 4.69 1.33 -2.09 4.23 2.41 1.892008 3.90 -1.15 -2.27 1.54 -0.10 3.112009 4.62 4.41 2.07 5.74 3.09 4.022010 4.40 3.67 4.53 5.75 5.88 3.672011 1.92 1.37 1.41 3.76 1.28 2.732012 7.04 6.52 4.59 5.12 7.72 4.322013 4.39 2.71 1.86 2.91 3.99 2.392014 3.84 4.22 3.52 2.92 4.44 3.55

Sharpe

Small Med Large Young Mid Ten'd2003 11.20% 5.10% N/A 14.57% 9.58% 5.67%2004 15.15% 5.20% N/A 15.32% 16.18% 6.74%2005 3.66% 0.11% 3.92% 4.15% 1.72% 2.14%2006 5.61% 3.40% 3.50% 4.00% 5.40% 3.55%2007 10.69% 4.40% -17.16% 22.22% -3.51% 2.85%2008 -3.78% -11.64% -44.13% -2.98% -32.73% -6.57%2009 32.67% 44.02% 6.86% 39.46% 40.73% 37.43%2010 18.99% 21.07% 25.39% 25.57% 33.29% 16.95%2011 9.72% 5.43% 2.53% 9.05% 3.41% 8.59%2012 19.91% 20.01% 17.10% 25.08% 20.00% 18.15%2013 16.25% 10.61% 8.29% 17.08% 11.76% 13.87%2014 10.78% 9.27% 8.88% 14.30% 9.40% 8.77%

Alpha

73

Figure 81: Fund counts and average and median trailing 3 year returns by strategyand size for funds with >10 months of performance in respective year



0

5

10

15

20

25

30

35

40

45

50

Small Medium Large

Trailng Count

-10%

-5%

0%

5%

10%

15%

20%

25%

30%

Small Medium Large


-5%

0%

5%

10%

15%

20%

25%

Small Medium Large


0

10

20

30

40

50

60

70


Trailng Count

-15%

-10%

-5%

0%

5%

10%

15%

20%

25%

30%

35%



-5%

0%

5%

10%

15%

20%

25%

30%




2005 26 7 N/A 16 13 10

2006 31 10 N/A 17 13 16

2007 26 7 3 15 13 17

2008 16 8 3 10 11 15

2009 18 8 2 9 12 17

2010 19 5 4 7 12 17

2011 19 17 1 19 13 16

2012 23 17 4 34 9 17

2013 22 18 5 22 23 16

2014 18 20 9 12 29 15



2005 11.09% 7.32% N/A 12.08% 8.24% 8.67%

2006 10.84% 7.53% N/A 13.07% 8.15% 7.80%

2007 6.89% 8.25% 2.54% 4.23% 7.14% 6.61%

2008 2.06% 4.95% -4.33% -10.41% -2.43% 4.84%

2009 13.43% 4.45% 0.16% 9.05% 5.86% 12.46%

2010 17.82% 18.41% 0.69% 24.07% 5.67% 14.40%

2011 23.59% 25.29% 2.37% 27.19% 28.63% 23.93%

2012 19.64% 14.64% 17.23% 17.97% 23.56% 17.48%

2013 14.08% 12.52% 11.64% 14.72% 12.48% 14.41%

2014 14.29% 14.03% 11.40% 18.17% 13.94% 13.24%



2005 9.02% 7.17% N/A 10.17% 8.60% 7.36%

2006 8.79% 7.73% N/A 9.80% 8.55% 7.95%

2007 5.48% 9.25% 3.09% 4.15% 6.94% 5.67%

2008 0.56% 8.96% -0.39% -1.64% -1.74% 8.32%

2009 11.67% 1.06% 0.16% 13.02% 3.19% 12.42%

2010 14.62% 10.61% 1.82% 19.13% 9.25% 10.72%

2011 17.67% 22.33% 2.37% 24.32% 22.48% 15.27%

2012 14.68% 14.97% 13.66% 15.82% 20.44% 10.04%

2013 12.87% 12.06% 11.60% 12.93% 11.60% 11.11%

2014 13.99% 14.27% 11.46% 16.98% 12.90% 12.06%


74




0

5

10

15

20

25

30

35

40

45

50

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small Medium Large


-30%

-20%

-10%

0%

10%

20%

30%

40%

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small Medium Large


-40%

-20%

0%

20%

40%

60%

80%

100%

120%

140%

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small Medium Large


0

10

20

30

40

50

60

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014



-10%

-5%

0%

5%

10%

15%

20%

25%

30%

35%

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014



-20%

0%

20%

40%

60%

80%

100%

120%

140%

160%

180%

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014



Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small 21 19 18 18

Medium 6 10 14 20

Large N/A 2 1 9

Young 11 14 21 13

Mid-Age 10 13 13 29

Tenured 10 19 12 15

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small 10.47% 8.70% 23.05% 13.34%

Medium 6.81% -10.92% 28.09% 12.89%

Large N/A -17.73% 4.70% 10.18%

Young 12.02% -0.10% 26.12% 17.94%

Mid-Age 7.96% -7.37% 32.50% 12.83%

Tenured 7.64% 1.26% 25.88% 12.13%

Jan 2003 -

Sep 2007

Oct 2007 -

Feb 2009

Mar 2009 -

Mar 2012

Apr 2012 -

Dec 2014

Small 68.51% 14.36% 103.83% 42.06%

Medium 37.74% -13.23% 123.90% 40.18%

Large N/A -23.67% 15.22% 30.97%

Young 85.66% 5.88% 110.59% 58.45%

Mid-Age 45.57% -7.29% 164.80% 40.07%

Tenured 43.29% 3.09% 123.18% 38.52%

Appendix: Size and Age Indices

75

Figure A1: Distribution of monthly index returns by size and age from January 2003 to December 2014

0%

10%

20%

30%

40%

50%

60%

70%

Small

Medium

Large

Kurt

1.97

7.68

6.02

Skew

-0.83

-1.67

-1.51

Kurtosis

0%

10%

20%

30%

40%

50%

60%

70%

Young

Mid-Age

Tenured

Kurt

1.71

2.61

1.70

Skew

-0.72

-0.89

-0.69

Kurtosis

Small Medium LargeSmall -

Medium

Small -

Large

Medium -

LargeYoung Mid-Age Tenured

Young -

Mid-Age

Young -

Tenured

Mid-Age -

Tenured

2003 20.97% 14.27% 13.77% 6.70% 7.20% 0.51% 21.96% 20.47% 21.10% 1.49% 0.86% -0.64%

2004 10.34% 6.51% 9.64% 3.82% 0.70% -3.12% 11.71% 9.82% 9.96% 1.89% 1.75% -0.14%

2005 10.22% 9.47% 7.57% 0.75% 2.65% 1.90% 13.33% 9.18% 9.91% 4.14% 3.42% -0.72%

2006 12.72% 12.06% 10.63% 0.67% 2.10% 1.43% 15.62% 13.01% 12.28% 2.61% 3.34% 0.74%

2007 11.37% 10.00% 9.40% 1.36% 1.97% 0.61% 16.21% 11.62% 10.43% 4.59% 5.78% 1.19%

2008 -14.73% -19.91% -19.38% 5.18% 4.65% -0.53% -7.34% -14.92% -15.97% 7.57% 8.63% 1.05%

2009 19.51% 24.20% 20.27% -4.69% -0.76% 3.93% 24.46% 19.91% 21.59% 4.55% 2.87% -1.69%

2010 10.53% 8.90% 8.39% 1.63% 2.14% 0.51% 12.94% 10.21% 10.88% 2.73% 2.06% -0.67%

2011 -5.09% -2.41% -2.39% -2.68% -2.70% -0.02% 0.77% -3.07% -4.79% 3.84% 5.56% 1.72%

2012 6.96% 6.45% 6.70% 0.51% 0.26% -0.25% 9.65% 8.59% 6.66% 1.05% 2.98% 1.93%

2013 9.92% 7.75% 7.75% 2.17% 2.17% -0.01% 11.86% 8.84% 9.72% 3.02% 2.14% -0.88%

2014 3.33% 3.69% 2.50% -0.36% 0.83% 1.19% 4.88% 3.97% 3.56% 0.91% 1.33% 0.42%

Figure A2: Annual index returns and return differences by size and age from January 2003 to December 2014


Appendix: Size Universe

76

Figure A3: AUM percentile ranks by size for funds with >10 months of performance in subsequent year in USD millions

Figure A4: Average and median risk and return statistics by size for funds with >10 months of performance in respective year


$0

$20

$40

$60

$80

$100

$120

$140

$160

$180

$200

75th - 90th 50th - 75th 25th - 50th 10th - 25th

Small

$250

$350

$450

$550

$650

$750

$850

$950


Medium

$1,000

$2,000

$3,000

$4,000

$5,000

$6,000

$7,000

$8,000


Large

Average 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

Small 22.87% 10.85% 10.72% 13.79% 13.05% -10.63% 22.27% 11.05% -4.54% 7.63% 11.22% 3.96%

Medium 14.69% 6.56% 10.03% 12.18% 11.18% -16.59% 27.94% 9.02% -2.25% 7.01% 8.43% 3.82%

Large 14.73% 9.53% 8.31% 10.82% 10.21% -16.61% 22.35% 8.59% -2.25% 6.79% 8.70% 2.75%

Small 10.63% 10.09% 9.76% 9.85% 11.23% 19.10% 14.54% 12.56% 12.93% 10.40% 9.47% 9.21%

Medium 7.23% 6.55% 7.80% 7.91% 9.59% 18.88% 12.61% 9.80% 10.36% 7.98% 7.20% 7.18%

Large 5.73% 6.36% 6.92% 7.49% 9.49% 16.62% 11.34% 9.05% 9.17% 7.33% 6.10% 6.44%

Small 2.19 1.32 0.85 1.21 1.00 -0.25 1.69 1.28 -0.02 1.17 1.61 1.03

Medium 2.07 0.91 0.84 1.11 0.74 -0.66 1.96 1.49 0.25 1.71 1.62 1.46

Large 3.01 1.59 0.73 1.26 0.67 -1.05 1.92 1.18 -0.01 1.44 1.82 0.92

Median 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

Small 16.28% 8.07% 7.74% 11.19% 9.36% -8.84% 13.11% 8.98% -3.03% 6.38% 9.08% 3.42%

Medium 12.06% 5.80% 7.44% 11.65% 8.58% -15.18% 16.91% 7.76% -0.90% 6.75% 7.49% 3.88%

Large 12.34% 8.44% 7.26% 11.41% 8.35% -17.53% 15.73% 8.47% -1.09% 6.32% 8.03% 3.02%

Small 7.89% 7.80% 7.82% 7.92% 9.09% 15.75% 10.51% 10.19% 10.38% 8.24% 7.34% 7.82%

Medium 5.61% 5.30% 6.73% 6.41% 7.89% 15.41% 10.02% 7.26% 8.35% 6.17% 6.04% 6.00%

Large 4.40% 4.40% 5.46% 5.44% 7.76% 13.30% 8.61% 7.64% 7.44% 5.58% 5.16% 5.37%

Small 1.89 0.89 0.60 0.91 0.61 -0.79 1.34 0.92 -0.28 0.86 1.47 0.60

Medium 1.92 0.83 0.56 0.99 0.62 -1.24 1.81 1.01 -0.12 1.04 1.51 0.79

Large 2.65 1.59 0.72 1.24 0.68 -1.42 1.76 1.03 -0.13 1.26 1.77 0.73

Annual

Returns

Annual

Returns

Annualized

St. Dev.

Annualized

St. Dev.

Annualized

Sharpe

Annualized

Sharpe



Figure A5: Percentile ranks of annual returns by size for funds with >10 months of performance in respective year

-60%

-45%

-30%

-15%

0%

15%

30%

45%

60%

75%


Small-60%

-45%

-30%

-15%

0%

15%

30%

45%

60%

75%


Medium

-60%

-45%

-30%

-15%

0%

15%

30%

45%

60%

75%


Large


78

Figure A6: Number of funds, average annual returns, average monthly returns, average standard deviations, and average correlations by size for funds with >10 months of performance in respective year; minimum 10 year track record


Fund Count 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013

Small 386 444 472 471 464 444 454 525 506 526 559 458

Medium 81 100 159 183 190 215 221 198 222 242 242 202

Large 21 38 53 67 93 119 127 92 103 131 142 128

Average Annual Return 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

Small 27.88% 13.03% 14.03% 15.91% 14.22% -9.81% 27.52% 13.79% -4.94% 7.34% 11.89% 2.99%

Medium 18.53% 7.89% 11.31% 13.40% 14.56% -15.04% 32.65% 10.62% -3.17% 6.64% 8.81% 4.81%

Large 15.85% 9.97% 9.49% 12.35% 12.25% -16.93% 25.25% 8.54% -3.02% 6.69% 10.47% 2.34%

Average Monthly Return 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

Small 1.98% 1.02% 1.08% 1.21% 1.10% -1.14% 1.91% 1.10% -0.39% 0.60% 0.94% 0.23%

Medium 1.41% 0.64% 0.86% 1.06% 1.10% -1.60% 2.20% 0.87% -0.25% 0.54% 0.67% 0.38%

Large 1.21% 0.79% 0.75% 0.98% 0.97% -1.72% 1.76% 0.69% -0.25% 0.54% 0.80% 0.18%

Average St. Dev. 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

Small 3.53% 3.04% 3.06% 3.04% 3.12% 5.76% 4.46% 3.76% 4.06% 3.40% 2.99% 2.96%

Medium 2.43% 2.18% 2.36% 2.46% 2.83% 5.69% 3.99% 3.08% 3.23% 2.58% 2.24% 2.37%

Large 1.69% 1.86% 1.89% 1.96% 2.65% 4.85% 3.16% 2.50% 2.62% 2.17% 1.78% 2.15%

Annual Correlations 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

Small vs BarCap US Agg 0.09 0.11 -0.06 -0.10 -0.22 0.15 0.17 -0.27 -0.10 -0.10 0.11 0.11

Medium vs BarCap US Agg 0.11 0.12 -0.06 -0.11 -0.26 0.19 0.16 -0.23 -0.07 -0.04 0.15 0.11

Large vs BarCap US Agg 0.30 0.17 -0.02 -0.18 -0.27 0.16 0.13 -0.20 -0.07 -0.02 0.11 0.10

Small vs Citi WGBI 0.10 0.22 -0.10 -0.20 -0.25 -0.11 -0.04 -0.26 -0.26 -0.16 0.09 0.09

Medium vs Citi WGBI 0.14 0.24 -0.11 -0.21 -0.30 -0.09 -0.08 -0.24 -0.25 -0.10 0.12 0.07

Large vs Citi WGBI 0.32 0.32 -0.06 -0.31 -0.33 -0.16 -0.12 -0.21 -0.22 -0.05 0.08 0.07

Small vs MSCI ACWI Hedged 0.32 0.39 0.46 0.45 0.41 0.39 0.36 0.47 0.45 0.41 0.37 0.31

Medium vs MSCI ACWI Hedged 0.26 0.42 0.47 0.45 0.39 0.39 0.32 0.46 0.43 0.41 0.41 0.31

Large vs MSCI ACWI Hedged 0.40 0.48 0.48 0.53 0.46 0.46 0.29 0.44 0.36 0.34 0.40 0.31

Small vs S&P 500 0.30 0.34 0.36 0.36 0.34 0.34 0.33 0.47 0.43 0.39 0.39 0.30

Medium vs S&P 500 0.25 0.37 0.37 0.35 0.29 0.32 0.27 0.44 0.40 0.37 0.42 0.29

Large vs S&P 500 0.35 0.42 0.35 0.41 0.34 0.38 0.23 0.43 0.34 0.31 0.44 0.26

MINIMUM 10 YEAR TRACK RECORD

Appendix: Size Universe by Strategy

79

Figure A7: Fund counts by strategy and size for funds with >10 months of performance in respective year


Small 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013

CTA/MF ex-Commodities/FX 90 101 118 137 152 160 171 174 167 140 131 124

Commodities 21 35 50 65 75 86 93 76 67 73 67 51

FX 25 35 37 35 40 42 36 25 20 21 19 14

Event Driven/Distressed 133 143 145 144 142 116 105 132 108 91 104 96

Emerging Markets (FI+EQ) 75 97 116 133 171 164 156 176 177 142 140 114

Fixed Income 54 74 84 75 84 68 66 78 92 85 86 67

Long/Short EQ (Dev/Brd) 425 504 575 646 674 622 632 594 536 489 483 383

Macro 67 79 86 112 119 119 118 122 107 98 84 72

Market Neutral EQ (Dev/Brd) 90 103 119 128 122 115 122 115 99 82 78 63

Multi-Strategy 77 90 114 145 148 132 138 153 142 133 127 123

Securitized 30 35 36 31 29 25 28 32 31 31 37 24

Convertibles 55 50 44 46 51 38 22 25 21 12 13 10

Medium 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013


Commodities 2 2 4 7 8 7 12 12 14 16 22 15

FX 2 1 7 10 6 7 10 13 13 12 9 9



Fixed Income 12 14 13 21 20 25 36 39 38 40 47 56


Macro 13 12 17 22 24 38 36 40 37 39 40 36


Multi-Strategy 20 26 34 36 47 60 50 44 52 46 54 45

Securitized 7 11 11 18 15 10 18 19 21 23 19 17

Convertibles 18 21 21 18 11 10 13 7 9 13 10 9

Large 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013


Commodities 0 0 0 1 3 8 7 7 7 13 10 5

FX 0 1 1 1 4 5 5 5 6 6 7 8

Event Driven/Distressed N/A 5 13 22 19 20 20 11 12 19 23 23


Fixed Income 3 6 15 16 16 13 13 11 17 23 29 30


Macro 3 8 16 17 17 16 23 17 22 31 31 31


Multi-Strategy 10 19 22 26 33 35 38 23 26 36 37 40

Securitized N/A N/A 4 5 4 4 1 4 5 10 15 17

Convertibles N/A 2 1 1 2 4 3 2 3 3 4 3

FUND COUNT


80

Figure A8: Average returns by strategy and size for funds with >10 months of performance in respective year; italicized denotes <5 funds in sample


Small 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

CTA/MF ex-Commodities/FX 13.30% 5.82% 7.45% 9.06% 13.77% 20.92% 4.62% 10.83% -4.09% 1.90% -0.84% 10.71%

Commodities 21.07% 7.96% 4.59% 9.90% 10.86% 10.23% 4.27% 8.21% -3.57% -1.45% -4.28% 5.61%

FX 13.14% 6.22% 3.06% 5.19% 5.70% 7.88% 1.10% 2.68% -4.02% 3.12% -1.41% 5.12%

Event Driven/Distressed 25.33% 16.77% 9.32% 16.10% 6.76% -14.57% 28.89% 13.47% -0.80% 12.44% 13.42% 1.40%

Emerging Markets (FI+EQ) 47.53% 20.17% 26.81% 31.48% 32.12% -33.64% 50.82% 14.92% -13.18% 13.05% 4.37% -0.21%

Fixed Income 13.80% 7.55% 5.59% 8.97% 5.43% -5.31% 22.90% 8.33% 2.01% 10.33% 5.00% 4.35%

Long/Short EQ (Dev/Brd) 26.93% 11.76% 11.51% 14.03% 11.43% -17.95% 26.07% 11.73% -5.11% 8.16% 19.57% 3.60%

Macro 22.65% 5.76% 8.36% 10.52% 20.28% 0.06% 10.11% 4.96% -2.91% 3.35% 4.20% 4.70%

Market Neutral EQ (Dev/Brd) 5.49% 4.12% 7.49% 7.79% 8.00% -0.27% 5.20% 2.87% 0.72% 5.48% 7.28% 2.46%

Multi-Strategy 22.43% 11.24% 11.96% 16.47% 15.35% -14.39% 22.65% 13.08% -5.87% 6.41% 7.86% 2.03%

Securitized 14.58% 21.59% 7.36% 11.02% 35.17% 0.47% 36.56% 24.64% 8.83% 20.20% 16.29% 9.64%

Convertibles 16.11% 3.75% 6.76% 11.34% 3.37% -23.79% 40.14% 12.64% -2.97% 8.10% -1.05% -3.34%

Medium 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

CTA/MF ex-Commodities/FX 7.14% 2.82% 6.48% 7.45% 10.17% 26.67% 2.36% 9.33% -4.65% -5.71% 1.41% 10.75%

Commodities 14.73% -9.08% 14.68% 4.13% 17.75% -11.40% 13.14% 15.79% -5.14% 0.98% -5.79% -10.35%

FX 4.16% 21.45% 4.38% 9.75% 4.53% -2.18% 5.59% 3.54% -0.03% 1.57% -0.72% 10.45%


Emerging Markets (FI+EQ) 22.10% 12.01% 20.25% 26.19% 28.24% -38.53% 51.60% 7.46% -12.12% 11.15% 4.99% 0.61%

Fixed Income 7.16% 6.67% 5.77% 9.17% 6.47% -12.94% 28.83% 9.96% 1.55% 8.16% 4.78% 3.82%


Macro 21.37% 4.28% 12.51% 9.51% 20.37% 4.83% 12.22% 6.88% -0.05% 4.42% 0.69% 4.06%


Multi-Strategy 17.46% 7.98% 10.20% 13.81% 7.08% -21.89% 41.29% 10.19% -1.07% 7.23% 5.89% 2.62%

Securitized 7.58% 7.90% 4.16% 8.57% 8.33% -10.61% 51.04% 20.32% 8.36% 21.37% 10.60% 9.35%

Convertibles 10.18% 1.92% -0.34% 12.63% 2.91% -26.45% 65.74% 12.01% -0.27% 7.12% 8.04% 0.41%

Large 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

CTA/MF ex-Commodities/FX 8.64% 4.58% -1.53% 7.21% 11.08% 14.23% 0.10% 5.89% -1.59% -0.95% 3.59% 10.70%

Commodities N/A N/A N/A -11.59% 18.23% -26.42% 18.26% 14.30% -7.74% -1.98% -5.73% -14.11%

FX N/A 1.02% -1.29% -0.59% -0.21% 2.51% 2.69% -0.76% -2.47% -1.02% 0.55% 0.59%

Event Driven/Distressed N/A 13.14% 9.70% 16.17% 16.51% -19.56% 30.46% 7.81% -4.69% 13.18% 18.84% 0.81%


Fixed Income 31.23% 8.85% 5.89% 8.14% 5.46% -14.64% 29.06% 13.06% 2.10% 8.91% 5.74% 2.33%


Macro 27.96% 5.00% 4.29% 3.83% 11.12% -11.65% 13.50% 9.96% 0.98% 1.42% -0.94% 4.38%

Market Neutral EQ (Dev/Brd) 4.22% 3.31% 5.41% 7.35% 4.26% -2.83% -7.22% -1.19% 13.76% 3.99% 5.49% 4.16%

Multi-Strategy 12.48% 9.71% 7.89% 15.86% 9.38% -18.80% 28.54% 7.58% -1.74% 7.97% 10.35% 1.15%

Securitized N/A N/A 7.85% 8.61% -16.26% -37.77% 4.84% 27.38% 5.01% 21.33% 7.86% 8.55%

Convertibles N/A -0.83% -3.12% 13.17% 11.13% -17.60% 73.36% 15.51% 2.95% 5.82% 6.61% 2.12%

AVERAGE RETURN


81

Figure A9: Median returns by strategy and size for funds with >10 months of performance in respective year; italicized denotes <5 funds in sample


Small 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

CTA/MF ex-Commodities/FX 8.21% 3.79% 5.36% 7.28% 12.35% 17.58% 0.64% 9.04% -3.88% -0.08% -0.52% 9.51%

Commodities 18.22% 9.35% 1.08% 6.87% 9.65% 6.03% -0.32% 8.64% -6.71% -0.57% -3.71% 0.34%

FX 8.76% 3.28% 2.48% 5.41% 5.58% 4.95% 0.47% 0.66% -1.23% 2.63% -1.78% 6.15%

Event Driven/Distressed 19.65% 13.08% 6.77% 12.98% 5.65% -12.76% 16.76% 10.32% 0.79% 9.47% 10.16% 1.56%


Fixed Income 12.32% 6.83% 5.43% 8.86% 4.70% -2.22% 18.69% 8.48% 2.18% 9.80% 6.00% 3.44%


Macro 18.38% 3.96% 7.71% 7.58% 13.10% 1.28% 5.87% 4.43% -2.41% 3.20% 4.25% 2.83%

Market Neutral EQ (Dev/Brd) 4.14% 4.69% 7.06% 7.33% 8.25% 1.44% 2.94% 1.98% 1.72% 3.70% 6.12% 3.03%

Multi-Strategy 14.94% 8.64% 7.56% 13.16% 8.94% -11.95% 13.78% 10.35% -3.53% 6.08% 7.95% 1.93%

Securitized 10.11% 11.35% 7.30% 8.67% 6.22% 0.79% 31.75% 19.35% 7.68% 19.36% 12.90% 8.67%

Convertibles 9.74% 2.24% -0.27% 10.99% 5.05% -22.71% 39.00% 12.06% -2.90% 6.53% 3.79% -1.48%

Medium 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

CTA/MF ex-Commodities/FX 4.38% 4.33% 6.14% 8.14% 8.80% 33.83% -3.29% 8.15% -5.80% -4.87% -1.82% 10.15%

Commodities 14.73% -9.08% 15.60% 3.62% 17.01% -4.40% 8.89% 15.74% -5.63% -0.31% -6.14% -10.39%

FX 4.16% 21.45% 2.27% 3.55% 5.35% 1.96% 1.40% 4.13% 0.04% 0.07% -1.08% 11.66%



Fixed Income 4.59% 6.26% 4.09% 8.15% 5.48% -5.67% 19.55% 9.51% 3.49% 7.46% 5.53% 3.76%


Macro 15.70% 4.29% 7.62% 8.33% 11.88% 2.40% 12.12% 6.73% 1.92% 3.62% 1.41% 4.22%


Multi-Strategy 13.85% 5.46% 9.33% 13.14% 5.35% -21.63% 32.38% 8.54% -1.16% 8.55% 6.75% 3.97%

Securitized 6.97% 6.79% 5.37% 7.28% 7.49% -11.25% 34.40% 21.64% 5.14% 20.63% 9.18% 8.92%

Convertibles 7.71% 1.01% -0.23% 12.64% 1.32% -26.79% 49.63% 11.16% 1.09% 7.61% 6.41% -0.45%

Large 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

CTA/MF ex-Commodities/FX 8.64% 6.55% 1.79% 9.40% 12.97% 12.66% 0.38% 8.17% -1.89% 0.01% 4.24% 13.88%

Commodities N/A N/A N/A -11.59% 16.32% -37.40% 19.93% 10.00% -3.46% -1.24% -8.55% -17.50%

FX N/A 1.02% -1.29% -0.59% 0.21% 3.85% 0.73% 0.01% -0.54% -0.45% 1.10% 0.69%

Event Driven/Distressed N/A 10.58% 9.68% 14.92% 9.32% -20.66% 25.63% 7.56% -2.37% 13.46% 16.35% 2.02%

Emerging Markets (FI+EQ) 6.61% 9.90% 8.13% 12.23% 16.48% -26.52% 32.13% 7.80% -4.56% 7.40% 7.38% -0.26%

Fixed Income 27.59% 9.58% 7.17% 7.45% 7.51% -1.03% 21.31% 10.16% 3.09% 7.91% 4.58% 2.29%


Macro 21.73% 5.36% 3.56% 5.63% 10.80% -10.45% 5.83% 9.46% 3.09% 1.94% 0.54% 2.97%

Market Neutral EQ (Dev/Brd) 4.38% 1.72% 5.41% 7.35% 5.26% -4.26% -6.09% -2.66% 3.38% 4.41% 5.33% 3.41%

Multi-Strategy 13.89% 9.19% 7.08% 14.43% 8.42% -22.48% 24.06% 7.94% -1.58% 9.07% 10.24% 3.08%

Securitized N/A N/A 9.44% 9.95% -14.47% -34.81% 4.84% 21.65% 3.84% 19.30% 9.59% 9.70%

Convertibles N/A -0.83% -3.12% 13.17% 11.13% -24.16% 54.31% 15.51% 3.12% 7.20% 6.90% 1.64%

MEDIAN RETURN


82

Figure A10: Average standard deviations by strategy and size for funds with >10 months of performance in respective year; italicized denotes <5 funds in sample


Small 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

CTA/MF ex-Commodities/FX 17.61% 14.78% 13.16% 14.10% 16.71% 23.10% 17.31% 16.13% 16.07% 12.43% 11.01% 11.77%

Commodities 24.86% 19.03% 14.75% 14.28% 14.61% 25.28% 15.05% 17.22% 16.15% 13.51% 11.74% 12.10%

FX 10.16% 10.40% 8.72% 10.79% 9.98% 9.26% 7.11% 7.68% 9.08% 8.51% 4.42% 7.36%

Event Driven/Distressed 6.74% 7.65% 7.99% 6.74% 8.52% 14.20% 11.22% 8.17% 9.18% 7.75% 7.24% 7.57%

Emerging Markets (FI+EQ) 13.55% 13.84% 14.77% 15.94% 14.84% 25.95% 20.36% 14.61% 17.91% 16.15% 16.76% 12.94%

Fixed Income 5.93% 3.90% 4.05% 3.67% 6.75% 15.41% 8.92% 6.33% 6.80% 4.12% 4.12% 4.07%

Long/Short EQ (Dev/Brd) 11.56% 11.39% 11.11% 10.71% 11.27% 20.21% 16.24% 14.26% 14.13% 11.64% 10.25% 10.09%

Macro 13.61% 11.49% 8.87% 10.53% 12.85% 16.44% 10.50% 10.92% 12.37% 9.03% 9.74% 9.68%


Multi-Strategy 8.15% 9.27% 8.81% 9.80% 10.04% 17.14% 12.74% 11.66% 12.36% 9.57% 8.98% 7.95%

Securitized 5.03% 4.11% 2.72% 3.77% 14.40% 17.18% 10.80% 8.21% 6.31% 4.15% 5.55% 3.38%

Convertibles 5.43% 3.90% 6.62% 3.63% 5.05% 21.10% 8.52% 5.85% 6.34% 4.62% 5.04% 6.97%

Medium 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014


Commodities 14.24% 16.95% 16.39% 13.64% 12.44% 27.05% 15.23% 16.14% 15.10% 12.94% 9.28% 11.28%

FX 3.83% 6.32% 6.41% 14.35% 6.18% 11.09% 5.74% 5.32% 8.37% 5.14% 4.63% 7.66%



Fixed Income 6.00% 4.93% 4.15% 2.91% 8.11% 18.79% 7.56% 5.18% 6.57% 3.61% 4.22% 3.09%


Macro 7.93% 7.38% 11.43% 12.02% 12.34% 16.55% 10.17% 9.72% 10.37% 7.98% 8.35% 8.43%


Multi-Strategy 5.56% 4.78% 5.93% 6.17% 9.51% 19.63% 13.05% 7.37% 9.18% 7.74% 6.19% 7.21%

Securitized 4.26% 2.25% 2.28% 1.99% 7.03% 12.89% 8.74% 5.52% 6.40% 3.30% 4.30% 2.43%

Convertibles 4.23% 3.50% 4.76% 3.02% 5.03% 19.67% 10.52% 5.21% 4.54% 3.49% 3.44% 3.58%

Large 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014


Commodities N/A N/A N/A 21.29% 10.59% 35.22% 16.83% 17.90% 16.80% 13.92% 9.30% 13.35%

FX N/A 2.80% 1.01% 1.81% 6.21% 3.91% 3.09% 3.35% 5.17% 2.56% 4.31% 3.65%

Event Driven/Distressed N/A 4.11% 7.24% 6.94% 7.41% 13.44% 11.29% 8.13% 9.27% 7.14% 5.51% 5.57%


Fixed Income 4.79% 4.68% 4.79% 4.38% 7.81% 18.99% 6.13% 4.21% 6.07% 3.25% 3.16% 2.60%


Macro 9.76% 7.68% 7.95% 9.71% 11.73% 18.85% 12.75% 8.18% 8.30% 7.25% 6.51% 7.87%


Multi-Strategy 2.84% 4.02% 4.75% 5.97% 7.26% 13.21% 7.78% 6.51% 6.02% 5.29% 4.72% 6.01%

Securitized N/A N/A 1.68% 1.50% 9.05% 21.28% 2.07% 5.46% 6.03% 4.77% 5.75% 3.07%

Convertibles N/A 3.38% 4.23% 4.32% 4.08% 16.95% 9.02% 8.26% 3.79% 3.62% 2.38% 3.21%

AVERAGE STANDARD DEVIATION


83

Figure A11: Median standard deviations by strategy and size for funds with >10 months of performance in respective year; italicized denotes <5 funds in sample


Small 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014


Commodities 23.87% 18.54% 11.86% 12.01% 11.81% 19.45% 11.62% 14.49% 13.14% 11.04% 9.00% 11.80%

FX 9.81% 8.44% 7.46% 8.48% 7.52% 7.49% 5.42% 7.57% 7.45% 7.07% 4.60% 7.05%



Fixed Income 3.96% 3.03% 3.08% 2.85% 5.70% 10.82% 6.56% 5.10% 5.48% 3.02% 3.12% 3.03%


Macro 10.04% 9.05% 7.02% 8.66% 10.44% 12.14% 8.57% 8.38% 9.80% 7.71% 7.37% 7.74%


Multi-Strategy 5.10% 5.21% 6.47% 6.43% 7.27% 14.03% 8.53% 8.16% 9.13% 7.04% 6.61% 6.46%

Securitized 2.69% 1.98% 1.62% 2.08% 6.13% 14.47% 7.96% 3.91% 4.97% 3.14% 5.29% 2.17%

Convertibles 4.32% 3.40% 4.63% 2.75% 3.91% 18.39% 7.84% 5.70% 5.12% 3.69% 2.69% 4.09%

Medium 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014


Commodities 14.24% 16.95% 16.67% 15.17% 12.39% 28.45% 16.14% 18.05% 17.39% 14.50% 9.00% 12.47%

FX 3.83% 6.32% 7.36% 6.38% 4.99% 9.74% 5.21% 5.30% 9.91% 4.40% 4.95% 5.78%



Fixed Income 5.24% 3.70% 3.23% 2.81% 6.72% 15.30% 6.26% 5.34% 5.65% 2.78% 3.44% 2.83%


Macro 7.52% 8.44% 10.72% 8.99% 9.64% 13.01% 9.52% 8.00% 9.00% 7.71% 6.75% 7.51%


Multi-Strategy 3.50% 3.56% 5.16% 5.18% 7.39% 13.74% 10.33% 5.23% 7.10% 5.09% 4.18% 4.73%

Securitized 3.46% 2.06% 2.45% 1.63% 6.53% 9.65% 9.26% 4.90% 4.53% 3.04% 4.33% 2.29%

Convertibles 4.56% 3.53% 4.49% 2.51% 4.04% 19.61% 8.36% 4.68% 3.56% 3.82% 3.18% 2.63%

Large 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014


Commodities N/A N/A N/A 21.29% 10.79% 33.52% 18.96% 16.66% 16.40% 15.49% 9.59% 13.50%

FX N/A 2.80% 1.01% 1.81% 4.34% 4.31% 3.29% 2.15% 1.99% 1.51% 1.77% 1.97%

Event Driven/Distressed N/A 3.95% 6.55% 5.03% 5.71% 11.19% 7.96% 4.69% 8.68% 5.63% 4.18% 5.37%


Fixed Income 4.40% 3.69% 4.56% 4.02% 6.12% 17.06% 5.77% 3.15% 4.25% 2.94% 2.81% 2.36%


Macro 7.22% 6.24% 7.47% 9.54% 11.60% 16.14% 9.21% 7.54% 7.23% 5.58% 5.11% 6.23%


Multi-Strategy 2.65% 3.12% 4.25% 4.59% 6.84% 11.20% 6.63% 6.24% 4.89% 3.83% 4.06% 4.47%

Securitized N/A N/A 1.61% 0.96% 9.61% 16.31% 2.07% 4.90% 5.93% 4.07% 4.28% 2.41%

Convertibles N/A 3.38% 4.23% 4.32% 4.08% 14.70% 8.16% 8.26% 3.63% 3.88% 2.42% 3.71%

MEDIAN STANDARD DEVIATION


84

Figure A14: Average Sharpe ratios by strategy and size for funds with >10 months of performance in respective year; italicized denotes <5 funds in sample


Small 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

CTA/MF ex-Commodities/FX 0.77 0.41 0.34 0.45 0.59 0.96 0.41 0.79 -0.10 0.32 0.13 1.05

Commodities 0.85 0.50 0.23 0.28 0.44 0.42 0.19 0.68 -0.29 -0.06 -0.57 0.22

FX 0.97 0.41 -0.26 -0.02 0.18 0.60 0.33 0.24 -0.11 0.70 0.15 0.92

Event Driven/Distressed 3.47 1.86 0.76 1.89 0.33 -0.83 3.64 2.37 0.35 2.35 2.57 0.83

Emerging Markets (FI+EQ) 3.21 1.67 1.51 1.65 1.68 -1.11 2.51 1.42 -0.01 1.18 0.78 1.02

Fixed Income 3.35 1.77 0.72 1.37 0.71 0.37 6.21 5.98 0.88 3.06 2.46 3.17

Long/Short EQ (Dev/Brd) 1.94 0.93 0.72 0.78 0.57 -1.01 1.32 0.80 -0.28 0.80 1.91 0.45

Macro 1.62 0.48 0.62 0.30 0.89 0.08 1.00 0.58 -0.04 0.61 0.48 0.45

Market Neutral EQ (Dev/Brd) 0.67 0.68 0.77 0.59 0.61 0.00 0.45 -0.07 0.29 0.84 1.20 0.58

Multi-Strategy 2.74 1.53 0.95 1.53 0.89 -0.88 2.11 1.56 -0.22 1.32 1.45 0.79

Securitized 5.78 7.54 3.70 3.96 4.69 3.90 4.62 4.40 1.92 7.04 4.39 3.84

Convertibles 2.44 2.29 -0.71 3.90 1.96 0.35 4.31 2.23 -0.10 1.87 0.84 -0.10

Medium 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

CTA/MF ex-Commodities/FX 0.44 0.27 0.22 0.27 0.53 1.16 0.10 0.70 -0.31 -0.37 0.06 0.86

Commodities 0.64 -0.44 0.52 -0.19 0.86 -0.24 0.41 1.09 -0.28 -0.20 -0.76 -0.88

FX 0.79 2.83 0.08 -0.69 -0.46 -0.24 0.60 0.80 -0.15 0.24 -0.28 0.66



Fixed Income 1.21 1.97 0.56 1.46 0.91 0.23 3.42 3.04 1.39 3.50 1.97 1.95


Macro 2.33 0.51 0.41 0.51 0.79 0.34 1.41 0.95 0.19 0.81 0.18 0.58

Market Neutral EQ (Dev/Brd) 0.18 -0.10 1.02 0.86 0.42 -0.20 0.40 0.50 0.68 0.23 1.42 0.92

Multi-Strategy 3.33 1.12 0.90 1.73 0.43 -1.26 2.84 1.51 0.26 1.87 1.80 1.09

Securitized 1.51 2.98 0.61 2.42 1.33 -1.15 4.41 3.67 1.37 6.52 2.71 4.22

Convertibles 2.09 -0.28 -0.13 2.30 0.31 -0.99 4.26 2.35 0.35 2.12 2.13 0.00

Large 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

CTA/MF ex-Commodities/FX 0.88 0.40 -0.19 0.51 0.59 1.25 -0.01 0.46 -0.20 -0.09 0.48 1.37

Commodities N/A N/A N/A -0.71 0.96 -0.77 1.22 0.89 -0.43 -0.24 -0.79 -1.06

FX N/A -0.31 -4.93 -3.05 -1.60 0.14 0.31 -0.32 -0.36 -0.29 -0.28 0.53

Event Driven/Distressed N/A 2.83 0.92 1.98 0.84 -1.60 2.73 1.42 -0.28 2.24 3.48 1.14


Fixed Income 5.34 2.42 0.26 1.19 0.18 -0.17 3.19 2.68 0.80 2.74 2.82 1.45


Macro 2.11 0.50 0.02 -0.04 0.56 -0.51 0.87 1.35 0.26 0.48 0.19 0.63

Market Neutral EQ (Dev/Brd) 3.81 0.34 0.57 2.81 3.62 -0.08 -0.51 0.30 1.81 1.15 1.18 1.16

Multi-Strategy 4.33 2.35 1.42 2.08 0.85 -1.56 3.44 1.61 0.12 2.46 2.76 0.53

Securitized N/A N/A 1.95 2.74 -2.09 -2.27 2.07 4.53 1.41 4.59 1.86 3.52

Convertibles N/A -0.87 -1.60 1.76 1.58 -0.91 6.02 1.71 1.37 1.57 2.52 0.70

AVERAGE SHARPE RATIO


85

Figure A15: Median Sharpe ratios by strategy and size for funds with >10 months of performance in respective year; italicized denotes <5 funds in sample


Small 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

CTA/MF ex-Commodities/FX 0.62 0.23 0.23 0.30 0.57 1.15 0.11 0.80 -0.21 0.04 -0.04 1.09

Commodities 0.86 0.42 -0.11 0.21 0.46 0.37 0.14 0.67 -0.47 0.01 -0.76 0.07

FX 1.08 0.19 -0.25 0.11 0.19 0.62 0.01 0.13 -0.51 0.29 -0.35 0.86



Fixed Income 2.61 1.54 0.47 1.34 0.06 -0.52 2.97 1.61 0.51 2.79 2.12 1.19


Macro 1.57 0.26 0.56 0.36 0.89 0.00 0.88 0.52 -0.21 0.46 0.49 0.46

Market Neutral EQ (Dev/Brd) 0.33 0.68 0.70 0.48 0.60 -0.02 0.43 0.38 0.42 0.86 1.02 0.58

Multi-Strategy 2.59 1.27 0.67 1.42 0.63 -1.34 1.63 1.33 -0.44 0.98 1.42 0.37

Securitized 3.23 4.96 1.98 1.84 0.28 -0.20 3.78 3.37 1.49 4.45 2.75 3.28

Convertibles 2.02 0.10 -0.93 2.45 0.22 -1.41 4.42 1.93 -0.54 1.65 1.35 -0.55

Medium 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

CTA/MF ex-Commodities/FX 0.39 0.25 0.45 0.40 0.35 1.43 -0.28 0.63 -0.24 -0.38 -0.13 1.01

Commodities 0.64 -0.44 0.65 -0.39 0.93 -0.20 0.55 1.01 -0.35 0.04 -0.96 -1.19

FX 0.79 2.83 -0.38 -0.16 -0.03 0.07 0.31 0.94 0.02 0.03 -0.24 1.29

Event Driven/Distressed 3.82 1.51 0.38 1.68 0.49 -1.88 2.88 2.19 -0.04 1.18 2.75 0.64


Fixed Income 1.16 1.55 0.13 1.28 0.20 -0.72 3.03 1.82 0.68 2.99 1.52 1.23


Macro 2.16 0.52 0.46 0.55 0.82 0.11 1.01 0.85 0.21 0.74 0.26 0.66

Market Neutral EQ (Dev/Brd) 0.19 -0.03 0.82 1.01 0.30 -0.10 0.32 0.81 0.90 0.40 1.54 0.87

Multi-Strategy 3.28 1.18 1.07 1.41 0.13 -1.41 2.69 1.57 -0.14 1.62 1.79 0.91

Securitized 1.58 2.28 0.97 1.44 1.14 -1.19 3.99 3.40 1.10 6.30 2.73 3.26

Convertibles 2.43 -0.42 -0.91 2.63 -0.87 -1.43 4.46 2.23 0.37 2.13 1.96 -0.21

Large 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

CTA/MF ex-Commodities/FX 0.88 0.41 -0.08 0.60 0.62 1.43 0.04 0.80 -0.11 0.05 0.54 1.45

Commodities N/A N/A N/A -0.71 1.05 -1.27 1.31 0.87 -0.18 -0.01 -0.94 -1.53

FX N/A -0.31 -4.93 -3.05 -1.85 0.76 0.22 -0.37 -0.47 0.03 0.32 0.28

Event Driven/Distressed N/A 2.24 0.85 1.88 0.95 -1.96 3.34 1.38 -0.42 1.89 3.55 0.51

Emerging Markets (FI+EQ) 1.55 1.59 0.95 1.37 1.25 -1.70 2.70 0.94 -0.56 0.89 0.92 -0.01

Fixed Income 6.11 3.10 0.58 0.61 0.51 -0.72 3.75 2.87 0.69 2.77 2.15 0.81


Macro 2.96 0.39 0.00 0.12 0.80 -0.75 0.84 1.29 0.47 0.31 0.10 0.66

Market Neutral EQ (Dev/Brd) 2.70 -0.16 0.57 2.81 0.54 -1.06 -0.74 -0.52 0.70 1.08 1.83 0.75

Multi-Strategy 4.52 2.03 0.94 1.83 0.73 -1.76 3.77 1.30 -0.28 2.31 2.93 0.72

Securitized N/A N/A 2.93 1.99 -2.14 -2.56 2.07 4.45 0.40 4.29 1.65 3.99

Convertibles N/A -0.87 -1.60 1.76 1.58 -1.46 6.01 1.71 0.81 2.22 2.38 0.85

MEDIAN SHARPE RATIO

Appendix: Size Universe by Investment Market

86

Figure A16: Fund counts by investment market and size for funds with >10 months of performance in respective year


SMALL 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013

Broad Capital Structure 155 163 157 174 198 157 142 181 159 129 130 109

Broad Financial Derivatives 91 104 122 134 147 157 159 168 163 141 130 118

Commodities 21 35 51 66 80 89 99 81 73 75 70 53

Equity 636 758 871 986 1051 986 997 980 907 810 796 657

Fixed Income/Credit 128 160 178 167 192 180 169 188 177 167 189 144

FX 30 43 43 50 53 56 49 40 33 30 28 17

Multi-Market 125 137 164 205 208 197 197 191 178 168 157 149

MEDIUM 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013



Commodities 3 3 4 8 8 7 12 13 15 16 22 16

Equity 77 107 158 193 223 243 238 179 191 215 207 153


FX 3 1 9 12 9 13 17 19 20 18 15 13

Multi-Market 20 29 33 33 47 59 52 56 60 57 66 58

LARGE 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013



Commodities N/A N/A 1 1 3 8 7 7 7 14 12 6

Equity 18 16 21 34 60 80 82 47 47 62 70 70


FX 1 3 3 3 7 6 5 5 8 11 10 11

Multi-Market 8 17 27 33 39 36 42 26 33 44 45 46

FUND COUNT


87

Figure A17: Average returns by investment market and size for funds with >10 months of performance in respective year; italicized denotes <5 funds in sample


SMALL 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

Broad Capital Structure 23.21% 13.68% 12.08% 15.83% 10.34% -21.90% 35.18% 14.67% -7.57% 9.89% 12.99% 1.13%

Broad Financial Derivatives 12.93% 5.07% 6.88% 8.97% 14.15% 19.79% 4.45% 9.82% -3.47% 1.72% -1.04% 9.03%

Commodities 21.07% 7.96% 4.62% 9.84% 11.29% 9.43% 5.53% 7.70% -3.35% -1.33% -4.38% 5.55%

Equity 26.34% 11.74% 12.48% 15.89% 13.83% -19.07% 28.16% 11.65% -6.18% 8.71% 16.15% 2.97%

Fixed Income/Credit 18.50% 12.63% 6.98% 10.37% 11.28% -2.47% 23.12% 12.48% 3.59% 12.24% 7.76% 4.02%

FX 12.95% 4.91% 3.91% 6.48% 6.46% 6.38% 1.12% 4.09% -3.63% 4.35% -1.65% 5.80%

Multi-Market 21.25% 8.96% 10.56% 12.67% 17.48% -5.53% 13.83% 8.44% -3.46% 4.76% 6.05% 4.76%

MEDIUM 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014


Broad Financial Derivatives 6.80% 2.80% 3.84% 9.42% 10.99% 26.41% 4.22% 8.45% -4.29% -4.01% 2.11% 9.48%

Commodities 14.11% -5.29% 14.68% 4.65% 17.75% -11.40% 13.14% 15.91% -4.96% 0.98% -5.79% -10.94%

Equity 16.34% 6.97% 13.45% 12.51% 12.96% -21.53% 28.69% 7.30% -4.40% 8.46% 14.69% 3.68%


FX 10.25% 21.45% 5.21% 9.48% 4.34% -5.69% 7.40% 5.33% 0.18% 3.78% -2.20% 9.27%

Multi-Market 18.22% 5.93% 10.50% 9.31% 10.98% -4.99% 20.92% 6.82% -1.84% 3.62% 3.02% 5.59%

LARGE 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014


Broad Financial Derivatives 6.47% 3.71% -1.48% 7.88% 8.10% 7.10% 5.34% 5.77% -0.90% 1.80% 1.73% 11.01%

Commodities N/A N/A -1.98% -11.59% 18.23% -26.42% 18.26% 14.30% -7.74% -1.86% -5.33% -14.06%

Equity 12.08% 14.36% 14.39% 9.96% 11.07% -18.03% 21.37% 6.58% -4.64% 8.33% 14.65% 2.54%


FX 59.41% -3.39% 4.14% -0.10% 0.05% -2.69% 2.69% -0.76% -1.12% -1.99% -2.85% 1.33%

Multi-Market 12.05% 9.32% 3.94% 8.19% 9.98% -10.51% 16.24% 9.26% 0.10% 3.32% 5.04% 5.06%

AVERAGE RETURN


88

Figure A18: Median returns by investment market and size for funds with >10 months of performance in respective year; italicized denotes <5 funds in sample


SMALL 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014


Broad Financial Derivatives 8.26% 3.42% 4.07% 6.40% 12.53% 14.47% 1.91% 8.33% -2.96% -0.53% -0.04% 7.52%

Commodities 18.22% 9.35% 1.12% 6.78% 9.50% 5.65% 1.47% 8.36% -6.55% 0.95% -5.68% 0.34%

Equity 18.97% 8.73% 8.95% 12.57% 10.52% -16.93% 16.93% 9.11% -4.62% 7.05% 14.57% 3.07%

Fixed Income/Credit 17.04% 9.27% 6.73% 10.16% 6.72% 1.60% 16.11% 10.42% 2.85% 11.51% 7.36% 4.02%

FX 8.27% 1.61% 2.67% 5.63% 5.71% 4.62% 1.03% 2.07% -1.73% 2.91% -2.10% 7.36%

Multi-Market 15.20% 7.00% 7.90% 11.60% 10.36% -5.49% 8.69% 6.42% -2.58% 5.27% 5.51% 3.45%

MEDIUM 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014


Broad Financial Derivatives 4.10% 5.40% 5.93% 9.28% 8.17% 33.83% -3.29% 7.87% -5.13% -3.38% -0.37% 8.66%

Commodities 12.85% 1.55% 15.60% 4.14% 17.01% -4.40% 8.89% 16.76% -4.28% -0.31% -6.14% -12.50%

Equity 15.68% 6.60% 9.79% 12.04% 9.11% -18.29% 17.20% 5.99% -3.80% 7.47% 13.50% 3.75%


FX 4.88% 21.45% 5.39% 3.55% 6.80% -3.96% 5.96% 4.13% 0.23% 0.49% -1.10% 8.27%

Multi-Market 15.90% 5.48% 7.44% 9.29% 9.46% -6.83% 12.27% 6.79% -0.76% 3.13% 4.85% 4.81%

LARGE 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014


Broad Financial Derivatives 6.47% 4.84% 4.57% 10.88% 11.67% 11.01% 2.96% 7.41% 0.02% 0.84% 1.32% 13.80%

Commodities N/A N/A -1.98% -11.59% 16.32% -37.40% 19.93% 10.00% -3.46% -1.22% -8.03% -17.18%

Equity 9.84% 10.44% 13.35% 11.71% 7.67% -17.30% 14.54% 4.93% -3.90% 8.03% 16.69% 2.78%


FX 59.41% -1.65% 2.54% -0.59% 0.47% 2.50% 0.73% 0.01% -0.54% 0.28% -0.24% 0.72%

Multi-Market 12.38% 10.97% 3.89% 9.70% 10.91% -7.94% 14.64% 9.36% 1.08% 4.05% 4.75% 4.45%

MEDIAN RETURN


89

Figure A19: Average standard deviations by investment market and size for funds with >10 months of performance in respective year; italicized denotes <5 funds in sample


SMALL 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

Broad Capital Structure 6.63% 7.22% 8.60% 6.65% 8.22% 18.39% 14.16% 11.73% 12.86% 10.32% 8.83% 7.55%


Commodities 24.86% 19.03% 14.60% 14.15% 14.52% 25.08% 14.97% 17.28% 15.71% 13.45% 11.78% 11.88%

Equity 11.06% 11.03% 10.80% 10.81% 11.51% 20.26% 16.32% 13.46% 14.08% 11.90% 10.87% 10.34%


FX 9.79% 10.25% 8.87% 10.05% 9.48% 8.90% 6.58% 7.34% 8.93% 7.53% 4.72% 6.89%

Multi-Market 11.15% 10.37% 9.11% 10.67% 12.55% 18.54% 11.61% 11.21% 11.91% 9.52% 9.80% 9.99%

MEDIUM 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014



Commodities 11.20% 11.93% 16.39% 12.09% 12.44% 27.05% 15.23% 15.38% 14.33% 12.94% 9.28% 11.37%

Equity 7.79% 7.63% 9.11% 8.83% 10.09% 19.98% 14.69% 10.78% 11.13% 8.98% 7.65% 8.48%


FX 6.60% 6.32% 7.04% 14.12% 7.89% 12.51% 7.07% 6.29% 8.95% 6.92% 6.19% 7.32%

Multi-Market 7.36% 6.47% 7.83% 9.48% 10.75% 17.90% 12.39% 9.40% 10.93% 8.23% 7.80% 8.12%

LARGE 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014



Commodities N/A N/A 4.30% 21.29% 10.59% 35.22% 16.83% 17.90% 16.80% 13.95% 8.90% 12.31%

Equity 6.20% 6.51% 7.69% 7.86% 9.70% 15.60% 13.40% 11.16% 11.12% 8.36% 6.84% 8.15%


FX 16.05% 6.05% 6.35% 8.59% 9.56% 6.47% 3.09% 3.35% 6.39% 5.34% 4.93% 4.35%

Multi-Market 4.59% 6.37% 6.98% 7.13% 8.66% 13.73% 9.07% 6.65% 6.96% 6.89% 5.93% 6.45%



90

Figure A20: Median standard deviations by investment market and size for funds with >10 months of performance in respective year; italicized denotes <5 funds in sample


SMALL 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014



Commodities 23.87% 18.54% 11.53% 11.97% 11.81% 19.19% 11.62% 14.65% 13.14% 11.04% 8.98% 11.76%

Equity 8.99% 8.64% 8.62% 8.67% 9.70% 16.93% 13.19% 11.82% 11.37% 9.09% 8.14% 8.76%


FX 9.64% 8.44% 7.68% 8.20% 7.40% 7.34% 5.35% 7.10% 7.61% 5.93% 4.69% 6.94%

Multi-Market 8.03% 7.65% 7.11% 7.75% 9.97% 14.39% 9.28% 8.78% 9.48% 7.64% 7.53% 7.54%

MEDIUM 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014



Commodities 7.46% 10.04% 16.67% 13.04% 12.39% 28.45% 16.14% 17.57% 17.13% 14.50% 9.00% 12.63%

Equity 6.78% 6.38% 8.23% 7.78% 8.13% 16.22% 10.59% 8.22% 9.09% 7.35% 6.79% 7.32%


FX 5.16% 6.32% 7.76% 8.71% 5.27% 12.07% 5.44% 5.77% 9.93% 6.26% 5.48% 5.78%

Multi-Market 5.42% 6.58% 6.21% 7.07% 8.60% 14.32% 10.95% 7.07% 8.74% 5.82% 5.82% 6.20%

LARGE 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014



Commodities N/A N/A 4.30% 21.29% 10.79% 33.52% 18.96% 16.66% 16.40% 15.18% 9.29% 12.57%

Equity 5.86% 6.32% 6.55% 6.96% 8.65% 12.62% 10.96% 10.34% 8.67% 7.09% 6.20% 7.46%


FX 16.05% 4.85% 7.23% 10.28% 8.74% 4.56% 3.29% 2.15% 5.00% 5.73% 2.86% 2.57%

Multi-Market 2.65% 3.96% 6.31% 5.57% 7.30% 11.82% 6.88% 6.38% 6.78% 4.90% 5.16% 4.77%



91

Figure A21: Average Sharpe ratios by investment market and size for funds with >10 months of performance in respective year; italicized denotes <5 funds in sample


SMALL 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

Broad Capital Structure 3.12 2.07 0.55 2.20 0.97 -0.90 2.76 1.62 -0.26 1.60 1.97 0.29

Broad Financial Derivatives 0.84 0.41 0.29 0.40 0.64 0.91 0.43 0.78 -0.05 0.30 0.16 0.86

Commodities 0.85 0.50 0.24 0.28 0.39 0.37 0.26 0.66 -0.22 -0.05 -0.57 0.27

Equity 1.86 0.94 0.77 0.92 0.68 -0.99 1.36 0.83 -0.22 0.89 1.74 0.53

Fixed Income/Credit 4.56 3.89 2.44 3.99 3.91 2.78 5.61 4.57 1.25 3.73 3.02 4.14

FX 1.01 0.20 -0.19 -0.06 0.24 0.45 0.42 0.47 0.11 1.04 0.16 1.21

Multi-Market 1.96 0.91 0.77 0.94 0.81 -0.31 1.27 1.05 -0.13 0.83 0.97 0.84

MEDIUM 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

Broad Capital Structure 2.78 0.67 0.36 1.94 0.57 -1.60 3.26 1.75 0.01 1.50 2.11 0.69

Broad Financial Derivatives 0.55 0.22 -0.11 0.42 0.75 1.26 0.39 0.77 -0.22 -0.16 0.21 0.88

Commodities 1.15 -0.23 0.52 0.13 0.86 -0.24 0.41 1.20 -0.31 -0.20 -0.76 -0.93

Equity 1.73 0.71 0.93 0.86 0.70 -1.01 1.52 0.74 -0.14 1.08 2.04 0.64

Fixed Income/Credit 2.59 2.29 0.89 1.98 1.07 -0.01 3.42 3.28 1.14 4.37 2.33 2.09

FX 1.07 2.83 0.17 -0.51 -0.31 -0.49 0.82 0.77 -0.01 0.41 -0.36 9.31

Multi-Market 2.69 0.88 0.77 0.73 0.67 -0.45 1.58 1.01 0.06 1.08 0.95 0.91

LARGE 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014


Broad Financial Derivatives 1.11 0.37 -0.10 0.53 0.39 1.05 0.68 0.68 0.08 0.26 0.52 1.06

Commodities N/A N/A -1.30 -0.71 0.96 -0.77 1.22 0.89 -0.43 -0.22 -0.71 -1.23

Equity 2.32 1.50 1.04 1.02 0.99 -1.26 1.34 0.57 -0.34 1.06 2.16 0.48


FX 2.96 -0.71 -1.45 -1.30 -1.05 -0.17 0.31 -0.32 -0.24 -0.26 -0.69 0.55

Multi-Market 3.70 1.78 0.41 0.93 0.68 -0.83 2.30 1.70 0.21 1.05 1.41 0.92



92

Figure A22: Median Sharpe ratios by investment market and size for funds with >10 months of performance in respective year; italicized denotes <5 funds in sample


SMALL 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014


Broad Financial Derivatives 0.63 0.22 0.10 0.22 0.65 1.12 0.20 0.76 -0.19 -0.07 0.02 0.78

Commodities 0.86 0.42 -0.10 0.20 0.46 0.34 0.20 0.65 -0.39 0.14 -0.78 0.07

Equity 1.92 0.87 0.70 0.91 0.67 -1.21 1.37 0.83 -0.40 0.84 1.87 0.44


FX 1.11 -0.04 -0.07 0.13 0.20 0.59 0.15 0.43 -0.56 0.46 -0.44 0.92

Multi-Market 1.89 0.82 0.70 0.75 0.65 -0.55 1.15 0.81 -0.26 0.70 0.78 0.58

MEDIUM 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014


Broad Financial Derivatives 0.47 0.29 0.38 0.43 0.36 1.54 -0.28 0.65 -0.24 -0.18 0.00 0.92

Commodities 1.22 0.01 0.65 -0.17 0.93 -0.20 0.55 1.03 -0.37 0.04 -0.96 -1.20

Equity 1.78 0.77 0.79 0.95 0.70 -1.32 1.63 0.69 -0.36 0.93 2.14 0.62


FX 0.87 2.83 0.20 -0.11 0.20 -0.31 0.57 0.86 0.04 0.11 -0.24 1.23

Multi-Market 2.95 0.91 0.67 0.76 0.73 -0.75 1.83 0.89 -0.11 0.85 1.08 0.88

LARGE 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014


Broad Financial Derivatives 1.11 0.26 0.15 0.60 0.67 1.43 0.37 1.00 0.02 0.15 0.25 1.49

Commodities N/A N/A -1.30 -0.71 1.05 -1.27 1.31 0.87 -0.18 -0.01 -0.90 -1.58

Equity 2.19 1.61 1.19 1.14 0.76 -1.49 1.60 0.51 -0.34 1.01 2.27 0.45


FX 2.96 -0.72 -0.13 -0.90 -1.54 0.21 0.22 -0.37 -0.30 0.09 -0.14 0.32

Multi-Market 2.99 1.51 0.05 0.61 0.80 -0.86 1.85 1.39 0.17 1.13 1.07 1.04

MEDIAN SHARPE RATIO

Appendix: Size Universe Alphas by Strategy/Investment Market

93

Figure A23: Average alphas by strategy/investment market for small funds with >10 months of performance in respective year; risk-free rate = 1 Year Treasury constant maturity average


Strategy/Investment Mrkt 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013

Commodities 21 35 51 66 80 89 99 81 73 75 70 53

Convertibles 55 50 44 46 51 38 22 25 21 12 13 10


Fixed Income (Dev/Brd) 54 74 84 75 84 68 66 78 92 85 86 67


Macro 67 79 85 112 118 118 116 121 106 98 84 72


Multi-Strategy 77 90 114 145 147 131 137 152 141 133 127 122

Securitized 30 35 36 31 29 25 28 32 31 31 37 24

Strategy/Investment Mrkt Market Benchmark Used 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

Commodities S&P Goldman Sachs Commodity 10.99% 4.98% 1.32% 10.29% 0.25% 17.06% 2.42% 5.95% -2.96% -1.44% -6.28% 8.16%

Convertibles BofA ML Invt Grade Convertible 11.12% 0.92% 1.63% 5.42% -1.65% -6.66% 32.25% 8.66% -2.02% 3.65% -1.84% -7.28%

Emerging Markets (FI+EQ) 50% MSCI EM-ND/50% Citi WGBIxUS 15.15% 6.05% 13.88% 10.62% 12.14% -23.02% 17.16% 6.47% -9.17% 4.62% 8.24% -3.51%

Fixed Income (Dev/Brd) Barclays Global Aggregate Hedged 10.96% 4.77% 1.91% 3.71% 1.05% -10.32% 21.31% 6.81% 3.08% 8.96% 4.79% 2.61%

Long/Short EQ (Dev/Brd) S&P 500 13.02% 2.89% 6.75% -0.44% 5.78% -1.59% 13.79% 3.97% -6.69% -0.96% 2.80% -2.26%

Macro 60% MSCI World/40% Citi WGBI 9.80% -1.72% 5.09% -1.34% 11.19% 1.78% 5.72% 2.78% -2.71% 0.23% -0.21% 4.47%

Market Neutral EQ (Dev/Brd) S&P 500 5.10% 0.76% 3.45% 1.18% 3.15% 0.23% 3.50% 1.39% -0.23% 3.17% 1.22% 1.37%

Multi-Strategy 60% MSCI World/40% Citi WGBI 10.98% 3.82% 8.26% 4.77% 5.92% -4.87% 13.59% 8.70% -6.02% 0.96% 1.79% 1.46%

Securitized Barclays US Securitized 11.20% 15.15% 3.66% 5.61% 10.69% -3.78% 32.67% 18.99% 9.72% 19.91% 16.25% 10.78%

S

M

A

L

L

ANNUALIZED ALPHAS

FUND COUNT


94

Figure A24: Average alphas by strategy/investment market for medium funds with >10 months of performance in respective year; risk-free rate = 1 Year Treasury constant maturity average



Commodities 3 3 4 8 8 7 12 13 15 16 22 16

Convertibles 18 21 21 18 11 10 13 7 9 13 10 9




Macro 12 11 17 21 24 38 36 39 36 39 40 36


Multi-Strategy 20 26 34 36 47 60 50 44 52 46 54 45

Securitized 7 11 11 18 15 10 18 19 21 23 19 17


Commodities S&P Goldman Sachs Commodity 7.62% -6.63% 8.19% 5.06% 4.45% 7.47% 7.41% 12.15% -4.38% 0.82% -5.50% 2.57%

Convertibles BofA ML Invt Grade Convertible 6.42% -0.84% -3.12% 6.70% -2.34% -5.87% 45.12% 9.02% 0.72% 3.71% 1.87% -1.31%



Long/Short EQ (Dev/Brd) S&P 500 8.20% 1.60% 8.66% -1.78% 6.20% -2.41% 16.41% 2.57% -6.09% 1.52% 2.32% -1.82%


Market Neutral EQ (Dev/Brd) S&P 500 1.02% -1.19% 4.67% 3.24% -0.34% -3.13% 2.67% 0.64% 3.37% 0.19% 1.96% 5.03%

Multi-Strategy 60% MSCI World/40% Citi WGBI 11.96% 1.77% 6.51% 2.70% -1.06% -9.29% 30.26% 7.62% -1.09% 3.60% 0.26% 1.38%


M

E

D

I

U

M

FUND COUNT

ANNUALIZED ALPHAS


95

Figure A25: Average alphas by strategy/investment market for large funds with >10 months of performance in respective year; risk-free rate = 1 Year Treasury constant maturity average



Commodities N/A N/A 1 1 3 8 7 7 7 14 12 6

Convertibles N/A 2 1 1 2 4 3 2 3 3 4 3




Macro 3 8 15 17 17 16 23 17 22 31 30 30


Multi-Strategy 10 19 22 26 33 35 38 23 26 36 37 40

Securitized N/A N/A 4 5 4 4 1 4 5 10 15 17


Commodities S&P Goldman Sachs Commodity N/A N/A -6.72% 3.56% -0.15% 2.86% 11.30% 9.54% -7.58% -1.98% -5.00% 0.13%

Convertibles BofA ML Invt Grade Convertible N/A -3.50% -5.81% 5.45% 6.65% -2.86% 66.19% 7.65% 3.92% 2.33% 3.13% 0.75%

Emerging Markets (FI+EQ) 50% MSCI EM-ND/50% Citi WGBIxUS -3.64% 8.38% 13.13% 2.05% 3.10% -15.80% 21.49% 3.89% -3.05% 1.92% 11.98% -1.48%


Long/Short EQ (Dev/Brd) S&P 500 3.06% 9.82% 14.19% -5.90% 6.14% -5.18% 14.03% -0.79% -6.65% 1.86% 2.13% -2.35%

Macro 60% MSCI World/40% Citi WGBI 11.99% -0.74% 1.24% -5.82% 2.80% 0.02% 9.43% 8.25% 0.46% 0.83% -4.93% 4.59%

Market Neutral EQ (Dev/Brd) S&P 500 2.15% 0.11% 1.68% 2.27% -0.53% -5.93% -8.41% -1.70% 12.62% 2.02% 0.63% 3.43%


Securitized Barclays US Securitized N/A N/A 3.92% 3.50% -17.16% -44.13% 6.86% 25.39% 2.53% 17.10% 8.29% 8.88%

L

A

R

G

E

FUND COUNT

ANNUALIZED ALPHAS

Appendix: Age Universe

96

Figure A26: Longevity data for funds with >10 months of performance in respective year. Top point on high-low line represents the maximum number of monthly returns reported by a single fund and bottom point represents minimum; top line on squares represents average number of monthly returns by group and bottom lines represent the median; *reading of average and median lines reversed

Figure A26: Average and median risk and return statistics by age for funds with >10 months of performance in respective year


Average 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

Young 23.23% 11.98% 14.31% 16.13% 17.73% -6.14% 27.22% 13.78% 0.97% 10.05% 13.45% 6.06%

Mid-Age 22.50% 10.21% 9.61% 13.93% 13.00% -11.21% 22.40% 10.72% -2.45% 9.20% 10.26% 4.46%

Tenured 22.63% 10.36% 10.35% 12.66% 11.17% -12.48% 24.40% 11.12% -4.55% 7.47% 11.13% 4.05%

Young 9.68% 9.65% 9.58% 10.31% 11.80% 17.70% 13.22% 10.95% 12.03% 9.35% 8.75% 9.04%

Mid-Age 10.56% 9.50% 9.15% 9.00% 10.78% 18.66% 13.97% 12.13% 12.12% 8.91% 8.46% 8.20%

Tenured 11.60% 10.35% 10.14% 9.83% 10.53% 18.87% 14.05% 11.92% 12.84% 10.42% 8.99% 9.33%

Young 2.47 1.98 1.07 1.62 1.39 0.24 2.33 2.03 0.99 1.70 2.26 1.59

Mid-Age 2.12 1.18 0.76 1.06 0.94 -0.29 1.63 1.37 0.13 1.86 1.85 1.36

Tenured 2.04 1.10 0.69 1.02 0.69 -0.62 1.68 1.25 0.01 1.13 1.57 0.81

Median 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

Young 15.33% 9.09% 10.08% 12.33% 11.93% -4.13% 17.25% 10.59% 0.09% 8.50% 9.38% 4.44%

Mid-Age 16.57% 7.82% 7.66% 11.72% 9.88% -9.46% 13.37% 8.92% -1.20% 7.99% 8.42% 3.67%

Tenured 18.47% 8.50% 7.38% 11.11% 8.50% -13.41% 16.37% 8.92% -2.86% 6.33% 9.00% 3.49%

Young 7.06% 7.17% 7.53% 7.97% 8.97% 13.53% 9.91% 8.19% 8.75% 7.40% 7.13% 6.88%

Mid-Age 7.93% 7.10% 7.42% 7.24% 8.74% 14.87% 10.15% 9.44% 9.49% 6.92% 6.76% 6.71%

Tenured 8.98% 8.12% 8.11% 7.83% 8.72% 15.86% 10.86% 10.00% 10.41% 8.28% 7.12% 7.50%

Young 2.00 1.08 0.87 1.03 0.89 -0.49 1.78 1.21 0.05 1.22 1.59 0.72

Mid-Age 1.92 0.91 0.59 1.01 0.65 -0.88 1.37 0.96 -0.11 1.20 1.50 0.69

Tenured 1.95 0.91 0.51 0.86 0.54 -1.12 1.58 0.95 -0.26 0.85 1.56 0.61

Annualized

Sharpe

Annual

Returns

Annualized

St. Dev.

Annualized

Sharpe

Annual

Returns

Annualized

St. Dev.

0

6

12

18

24

30Young

20

30

40

50

60

70Mid-Age

50

150

250

350

450

550

650Tenured


97

Figure A27: Percentile ranks of annual returns by age for funds with >10 months of performance in respective year


-60%

-45%

-30%

-15%

0%

15%

30%

45%

60%

75%


Young-60%

-45%

-30%

-15%

0%

15%

30%

45%

60%

75%


Mid-Age

-60%

-45%

-30%

-15%

0%

15%

30%

45%

60%

75%


Tenured


98

Figure A28: Number of funds, average annual returns, average monthly returns, average standard deviations, and average correlations by age for funds with >10 months of performance in respective year; minimum 10 year track record


Fund Count 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

Young 567 450 298 144 N/A N/A N/A N/A N/A N/A N/A N/A

Mid-Age 299 349 395 440 474 343 159 24 N/A N/A N/A N/A

Tenured 310 377 483 592 702 833 1017 1152 1176 1176 1176 1176

Average Annual Return 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

Young 28.51% 15.15% 16.28% 18.18% N/A N/A N/A N/A N/A N/A N/A N/A

Mid-Age 23.30% 12.23% 11.91% 15.98% 14.61% -11.43% 27.47% 13.77% N/A N/A N/A N/A

Tenured 25.61% 9.92% 11.42% 12.92% 13.45% -11.89% 27.60% 12.67% -3.98% 7.92% 11.78% 3.55%

Average Monthly Return 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014


Mid-Age 1.70% 0.97% 0.94% 1.21% 1.11% -1.24% 1.90% 1.12% N/A N/A N/A N/A

Tenured 1.87% 0.81% 0.89% 1.03% 1.03% -1.29% 1.92% 1.01% -0.31% 0.62% 0.88% 0.29%

Average St. Dev. 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014


Mid-Age 2.98% 2.69% 2.67% 2.67% 2.98% 5.29% 4.11% 3.63% N/A N/A N/A N/A

Tenured 3.55% 2.92% 2.82% 2.80% 3.03% 5.47% 4.05% 3.44% 3.63% 2.96% 2.61% 2.78%

Annual Correlations 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

Young vs BarCap US Agg 0.12 0.12 -0.04 -0.14 N/A N/A N/A N/A N/A N/A N/A N/A

Mid-Age vs BarCap US Agg 0.06 0.10 -0.05 -0.07 -0.20 0.16 0.11 -0.37 N/A N/A N/A N/A

Tenured vs BarCap US Agg 0.13 0.13 -0.04 -0.10 -0.23 0.17 0.17 -0.26 -0.09 -0.08 0.13 0.10

Young vs Citi WGBI 0.13 0.19 -0.07 -0.25 N/A N/A N/A N/A N/A N/A N/A N/A

Mid-Age vs Citi WGBI 0.07 0.22 -0.10 -0.17 -0.23 -0.09 -0.08 -0.27 N/A N/A N/A N/A

Tenured vs Citi WGBI 0.15 0.26 -0.09 -0.21 -0.28 -0.11 -0.05 -0.25 -0.25 -0.13 0.11 0.08

Young vs MSCI ACWI Hedged 0.30 0.33 0.38 0.43 N/A N/A N/A N/A N/A N/A N/A N/A

Mid-Age vs MSCI ACWI Hedged 0.30 0.41 0.47 0.43 0.36 0.39 0.28 0.51 N/A N/A N/A N/A

Tenured vs MSCI ACWI Hedged 0.33 0.46 0.50 0.49 0.44 0.42 0.36 0.47 0.44 0.40 0.39 0.30

Young vs S&P 500 0.28 0.29 0.29 0.34 N/A N/A N/A N/A N/A N/A N/A N/A

Mid-Age vs S&P 500 0.29 0.37 0.37 0.35 0.28 0.33 0.24 0.51 N/A N/A N/A N/A

Tenured vs S&P 500 0.30 0.41 0.42 0.39 0.36 0.36 0.32 0.47 0.42 0.38 0.41 0.29

MINIMUM 10 YEAR TRACK RECORD

Appendix: Age Universe by Strategy

99

Figure A29: Fund counts by strategy and age for funds with >10 months of performance in respective year


Young 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014


Commodities 18 32 56 75 82 84 67 48 39 35 25 8

FX 23 33 38 25 25 21 14 15 21 15 10 7



Fixed Income 69 79 81 82 75 59 74 90 81 68 62 44


Macro 62 79 83 95 102 90 96 89 63 48 39 33


Multi-Strategy 99 105 115 125 147 138 116 115 98 78 73 61

Securitized 21 19 22 21 20 14 26 40 26 18 12 7

Convertibles 41 31 17 15 15 14 10 8 8 4 3 N/A

Mid-Age 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014


Commodities 21 24 29 28 46 73 86 88 65 47 43 31

FX 14 22 26 34 42 31 26 23 20 14 10 5



Fixed Income 31 46 63 72 88 81 72 78 81 91 91 78


Macro 46 46 66 82 94 109 104 100 94 77 68 50


Multi-Strategy 51 76 97 119 138 138 134 129 131 124 115 102

Securitized 14 15 19 23 21 15 16 11 24 38 43 24

Convertibles 24 26 29 31 30 21 14 13 13 14 12 11

Tenured 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014


Commodities 18 20 29 39 38 39 46 51 73 75 79 59

FX 21 24 24 27 32 38 46 38 33 33 30 26



Fixed Income 24 28 38 39 51 59 71 86 99 90 94 91


Macro 37 48 56 67 74 81 101 116 125 137 127 111


Multi-Strategy 57 65 80 87 102 110 137 155 171 174 183 170

Securitized 11 17 21 23 24 21 22 26 27 23 22 32

Convertibles 27 36 36 36 39 35 34 31 28 24 26 25

FUND COUNT


100

Figure A30: Average returns by strategy and age for funds with >10 months of performance in respective year; italicized denotes <5 funds in sample


Young 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014


Commodities 18.09% 16.58% 19.09% 16.76% 24.87% 6.04% 7.41% 15.50% 11.67% 2.83% 1.71% 1.64%

FX 23.65% 12.94% 20.14% 8.41% 8.15% 3.22% 9.43% 8.78% 8.20% 6.54% 0.93% 2.35%



Fixed Income 14.01% 7.50% 5.54% 10.86% 14.53% -0.10% 26.37% 11.48% 2.05% 12.41% 9.53% 11.21%

Long/Short EQ (Dev/Brd) 27.99% 13.07% 14.63% 14.45% 12.73% -10.40% 27.36% 15.80% 0.28% 9.84% 21.48% 1.99%

Macro 22.37% 4.83% 13.11% 18.12% 22.54% 6.23% 14.13% 10.92% -2.71% 7.82% 24.68% 4.72%


Multi-Strategy 22.83% 12.09% 12.47% 14.01% 15.83% -8.06% 28.56% 12.59% -2.49% 7.69% 8.14% 4.95%

Securitized 17.68% 19.43% 8.16% 9.35% 15.43% 2.78% 44.53% 26.21% 8.67% 26.57% 16.69% 11.26%

Convertibles 14.79% 3.81% 2.52% 11.64% 4.92% -17.84% 58.02% 22.11% -3.35% 22.97% 7.59% N/A

Mid-Age 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

CTA/MF ex-Commodities/FX 11.48% 6.11% 8.71% 12.04% 17.66% 17.70% 4.93% 8.69% -0.66% 5.64% 0.43% 9.71%

Commodities 14.45% 4.42% 7.53% 8.32% 12.80% 2.60% 10.55% 7.89% 3.17% 0.12% -2.80% -2.28%

FX 10.35% 6.53% 4.90% 7.06% 15.20% 9.35% 5.83% 4.29% 0.74% 0.33% -2.20% 15.54%



Fixed Income 12.19% 6.59% 5.43% 9.09% 4.43% -8.92% 25.50% 11.59% 0.81% 9.81% 5.69% 3.56%


Macro 21.10% 9.21% 9.36% 9.33% 14.75% -0.73% 15.42% 6.10% -0.55% 5.38% 4.77% 5.07%


Multi-Strategy 23.77% 13.09% 9.23% 15.87% 15.91% -14.87% 22.09% 9.30% -2.84% 9.22% 6.27% 0.46%

Securitized 9.60% 24.40% 5.51% 10.76% -0.22% -22.91% 45.51% 38.88% 7.31% 21.36% 11.71% 10.08%

Convertibles 23.83% 3.48% -0.78% 13.52% 4.91% -22.30% 52.50% 11.34% -2.69% 9.86% 2.23% 1.93%

Tenured 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

CTA/MF ex-Commodities/FX 13.73% 6.01% 5.87% 7.05% 14.07% 28.07% 0.56% 12.95% -4.09% 0.03% -0.49% 12.81%

Commodities 14.15% 12.15% 9.15% 12.35% 17.59% 18.10% 1.14% 12.06% -5.33% 0.80% -5.04% -1.33%

FX 7.53% 3.90% 1.38% 6.33% 3.51% 8.08% -0.85% 2.31% -1.75% 2.33% -0.66% 4.48%



Fixed Income 5.87% 8.04% 4.67% 6.60% 6.51% -9.21% 25.80% 10.06% 1.50% 8.90% 5.18% 3.64%


Macro 19.73% 5.62% 8.90% 8.48% 18.91% 4.68% 12.92% 7.66% -0.45% 3.13% 1.33% 5.42%


Multi-Strategy 23.15% 11.54% 12.59% 17.42% 9.67% -19.80% 31.44% 13.13% -4.61% 6.28% 8.31% 1.79%

Securitized 9.10% 10.58% 5.78% 8.70% 8.83% -2.95% 39.41% 22.62% 8.97% 18.76% 13.96% 7.86%

Convertibles 13.40% 2.21% 8.97% 10.15% 3.00% -25.28% 47.64% 11.15% -1.01% 7.26% 8.95% -0.06%

AVERAGE RETURN


101

Figure A31: Median returns by strategy and age for funds with >10 months of performance in respective year; italicized denotes <5 funds in sample


Young 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014


Commodities 15.89% 12.88% 11.57% 11.07% 15.05% 6.78% 3.69% 7.96% 0.14% 1.33% 2.48% 0.49%

FX 15.83% 3.43% 5.90% 5.41% 7.32% 4.30% 5.37% 3.86% -1.56% 4.49% -0.48% 2.00%



Fixed Income 12.59% 6.33% 4.95% 10.86% 5.67% 2.15% 24.56% 9.79% 1.91% 9.12% 5.96% 4.78%


Macro 13.60% 4.70% 10.20% 8.70% 13.42% 3.75% 10.71% 7.26% -2.48% 6.11% 6.77% 0.18%

Market Neutral EQ (Dev/Brd) 5.62% 5.94% 7.46% 10.16% 8.49% 1.36% 5.32% 3.44% 2.24% 3.75% 7.24% -0.30%

Multi-Strategy 14.76% 9.62% 8.97% 12.56% 9.68% -5.47% 17.25% 10.85% -1.42% 7.75% 7.36% 3.22%

Securitized 13.18% 11.79% 7.73% 9.72% 12.24% 2.46% 33.55% 22.77% 7.59% 26.01% 17.58% 9.95%

Convertibles 9.74% 2.60% 0.88% 11.41% 4.76% -17.38% 54.71% 22.90% -3.26% 14.65% 7.83% N/A

Mid-Age 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

CTA/MF ex-Commodities/FX 10.01% 5.03% 5.93% 10.56% 13.91% 13.51% 2.23% 8.37% 0.03% 4.79% -0.89% 9.71%

Commodities 14.99% 5.07% 2.45% 6.82% 9.32% 5.69% 5.12% 11.48% -1.46% -1.47% -2.20% -5.60%

FX 7.01% 4.87% 3.38% 2.94% 7.94% 4.60% 1.44% 3.83% -0.23% -1.47% -1.46% 11.66%



Fixed Income 9.17% 6.47% 5.22% 9.07% 5.78% -1.67% 14.22% 10.00% 1.32% 8.72% 6.53% 3.30%


Macro 15.93% 6.95% 7.92% 9.48% 10.58% 2.17% 9.94% 4.77% -0.36% 5.30% 3.02% 2.54%


Multi-Strategy 16.06% 8.18% 6.48% 12.36% 10.23% -13.38% 13.79% 7.75% -1.72% 8.96% 6.68% 1.38%

Securitized 10.14% 9.92% 6.53% 8.67% 2.80% -15.25% 37.04% 33.40% 6.06% 20.28% 11.74% 9.81%

Convertibles 11.77% 0.60% -1.97% 12.43% 5.46% -24.38% 46.66% 11.68% -3.20% 8.65% 7.43% 0.12%

Tenured 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

CTA/MF ex-Commodities/FX 9.86% 5.06% 4.19% 7.18% 13.21% 22.17% -0.44% 9.64% -3.34% -1.05% -0.96% 10.46%

Commodities 9.92% 11.14% 2.41% 8.13% 12.26% 6.89% 0.52% 9.77% -6.79% 0.13% -6.52% -2.74%

FX 3.55% 0.98% 0.54% 1.35% 2.13% 4.44% -0.27% 0.94% -0.60% 1.01% -0.46% 2.89%

Event Driven/Distressed 18.10% 8.73% 5.82% 12.95% 6.46% -18.51% 20.72% 9.34% 0.02% 9.58% 11.99% 2.49%


Fixed Income 4.23% 8.08% 4.04% 5.82% 4.93% -2.58% 20.21% 7.29% 1.20% 7.97% 5.19% 3.55%


Macro 18.31% 5.23% 7.90% 7.59% 11.20% 3.62% 10.15% 7.74% 1.71% 2.95% 1.77% 3.72%


Multi-Strategy 14.23% 8.37% 7.18% 14.24% 8.36% -22.91% 22.10% 10.69% -2.60% 7.91% 9.08% 2.84%

Securitized 4.82% 8.87% 6.83% 7.15% 8.96% -1.36% 28.70% 10.72% 8.81% 15.45% 9.38% 7.74%

Convertibles 8.87% 1.89% 1.28% 10.99% 4.79% -25.26% 42.37% 10.25% 0.82% 7.64% 6.06% -0.09%

MEDIAN RETURN


102

Figure A32: Average standard deviations by strategy and age for funds with >10 months of performance in respective year; italicized denotes <5 funds in sample


Young 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014


Commodities 18.39% 20.50% 15.52% 14.73% 19.50% 24.53% 13.83% 15.67% 15.90% 14.52% 14.82% 7.87%

FX 11.49% 10.94% 8.40% 8.89% 11.20% 8.46% 5.51% 6.72% 12.22% 13.85% 5.88% 4.29%



Fixed Income 4.94% 3.47% 3.98% 4.16% 8.31% 12.27% 7.60% 4.63% 5.65% 3.86% 4.31% 3.06%


Macro 12.65% 10.40% 9.83% 13.41% 12.94% 15.61% 9.90% 10.25% 12.97% 9.81% 11.73% 10.03%


Multi-Strategy 8.37% 8.33% 7.41% 8.42% 10.10% 15.67% 11.41% 10.02% 10.19% 7.85% 6.49% 5.83%

Securitized 4.55% 3.58% 2.34% 2.83% 13.05% 11.85% 8.61% 6.49% 5.99% 5.50% 5.87% 6.18%

Convertibles 5.44% 4.05% 4.28% 3.02% 4.80% 18.23% 9.45% 5.98% 8.27% 8.80% 4.03% N/A

Mid-Age 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014


Commodities 20.59% 14.87% 16.24% 12.49% 12.75% 22.71% 14.42% 17.49% 14.11% 13.53% 11.61% 12.78%

FX 10.36% 10.87% 10.26% 10.09% 14.33% 10.54% 6.79% 6.95% 6.32% 6.01% 5.99% 8.03%



Fixed Income 5.29% 4.34% 4.12% 3.25% 6.63% 14.42% 8.56% 5.80% 6.95% 3.65% 3.97% 3.66%


Macro 12.12% 9.45% 9.30% 9.87% 12.23% 18.26% 11.00% 10.49% 9.97% 7.54% 8.56% 10.07%


Multi-Strategy 7.31% 7.62% 7.49% 8.25% 10.25% 16.59% 11.30% 10.39% 11.64% 8.87% 7.50% 6.73%

Securitized 6.60% 3.48% 2.81% 2.13% 8.59% 23.40% 20.93% 9.18% 7.35% 3.47% 4.77% 2.32%

Convertibles 7.32% 4.48% 5.38% 3.14% 4.93% 19.54% 9.91% 7.35% 6.90% 5.06% 5.97% 3.88%

Tenured 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014


Commodities 28.93% 22.30% 20.77% 19.29% 19.04% 27.66% 17.21% 15.50% 17.94% 14.11% 9.61% 13.12%

FX 6.26% 7.47% 5.78% 8.30% 6.73% 8.64% 6.40% 7.00% 9.61% 7.83% 4.49% 6.48%



Fixed Income 6.76% 4.64% 4.64% 3.87% 6.13% 15.55% 8.58% 6.80% 6.79% 4.34% 3.99% 3.72%


Macro 11.43% 10.26% 9.35% 9.76% 11.72% 16.90% 11.68% 10.42% 11.53% 8.69% 8.65% 8.82%


Multi-Strategy 8.06% 8.00% 8.60% 7.66% 8.57% 17.33% 12.26% 9.54% 10.82% 8.31% 8.16% 8.27%

Securitized 6.16% 4.61% 3.05% 4.02% 7.84% 16.78% 10.28% 7.11% 5.52% 4.20% 5.79% 2.95%

Convertibles 4.78% 4.61% 6.76% 3.82% 5.08% 21.49% 9.46% 6.01% 5.53% 3.98% 3.66% 4.89%



103

Figure A33: Median standard deviations by strategy and age for funds with >10 months of performance in respective year; italicized denotes <5 funds in sample


Young 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014


Commodities 15.83% 15.41% 13.37% 13.97% 13.07% 19.73% 12.18% 12.25% 11.59% 14.08% 10.60% 5.42%

FX 10.56% 7.52% 4.94% 5.82% 8.30% 7.56% 4.22% 5.40% 11.96% 7.35% 5.65% 3.61%



Fixed Income 3.84% 2.76% 3.05% 3.00% 5.94% 8.90% 6.39% 4.19% 4.62% 2.94% 3.37% 2.28%


Macro 9.69% 8.27% 8.75% 10.31% 11.09% 11.74% 8.10% 7.58% 9.09% 8.89% 7.38% 6.40%


Multi-Strategy 4.56% 5.22% 6.00% 5.83% 7.34% 12.93% 8.92% 7.51% 7.53% 6.34% 4.92% 4.01%

Securitized 3.36% 2.02% 1.97% 2.08% 8.22% 8.88% 7.96% 4.68% 5.08% 5.45% 5.05% 3.88%

Convertibles 4.39% 3.58% 4.27% 3.20% 4.07% 18.96% 7.46% 5.87% 6.12% 5.51% 4.84% N/A

Mid-Age 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014


Commodities 18.86% 13.12% 14.59% 10.98% 11.72% 19.70% 11.95% 17.00% 12.18% 12.78% 9.04% 12.68%

FX 9.68% 8.44% 8.06% 9.43% 7.31% 7.67% 5.20% 5.18% 4.83% 3.95% 5.44% 7.16%



Fixed Income 4.54% 3.38% 3.01% 2.81% 5.26% 10.69% 5.34% 4.71% 5.86% 2.86% 3.15% 2.53%


Macro 9.52% 6.48% 7.52% 8.61% 10.39% 13.51% 9.26% 8.70% 8.33% 6.01% 7.14% 7.65%


Multi-Strategy 5.07% 4.55% 4.92% 5.91% 7.66% 11.78% 7.96% 7.40% 8.68% 5.73% 6.48% 4.97%

Securitized 2.81% 1.98% 1.63% 1.78% 6.45% 17.12% 10.79% 5.64% 6.20% 3.11% 4.36% 2.07%

Convertibles 4.60% 3.81% 4.84% 2.75% 4.34% 20.23% 9.53% 6.40% 6.96% 4.10% 4.64% 4.17%

Tenured 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014


Commodities 27.71% 23.04% 18.52% 16.78% 15.18% 23.24% 14.27% 13.91% 17.10% 13.68% 9.13% 12.47%

FX 5.87% 5.88% 4.33% 4.32% 4.99% 4.70% 5.43% 6.58% 9.25% 7.97% 4.62% 4.52%



Fixed Income 3.47% 3.04% 3.21% 2.82% 5.48% 10.17% 5.92% 5.08% 4.99% 3.22% 3.06% 3.10%


Macro 7.85% 9.34% 7.31% 8.13% 9.40% 13.14% 9.65% 8.01% 9.09% 6.94% 6.36% 7.26%


Multi-Strategy 4.84% 4.28% 5.52% 5.20% 6.95% 14.73% 8.86% 7.19% 7.78% 5.96% 5.50% 5.87%

Securitized 4.85% 2.31% 1.79% 1.63% 6.14% 11.93% 7.91% 3.45% 4.08% 3.52% 5.42% 2.54%

Convertibles 3.85% 2.92% 4.49% 2.46% 3.87% 18.47% 8.20% 5.86% 4.52% 3.78% 3.12% 3.42%



104

Figure A34: Average Sharpe ratios by strategy and age for funds with >10 months of performance in respective year; italicized denotes <5 funds in sample


Young 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

CTA/MF ex-Commodities/FX 1.06 0.74 0.89 0.69 0.77 0.99 1.55 1.22 0.48 0.91 0.53 0.46

Commodities 0.98 1.09 0.89 0.60 0.88 0.45 0.42 0.97 0.62 0.18 0.04 -0.15

FX 1.48 0.70 0.89 0.17 1.08 0.73 1.57 1.17 0.05 0.63 0.38 0.21


Emerging Markets (FI+EQ) 4.59 1.34 1.35 1.59 1.95 -0.69 2.70 2.26 0.18 1.54 0.71 0.78

Fixed Income 3.30 1.86 1.30 1.85 1.08 0.90 5.27 5.75 0.98 3.25 4.01 5.66

Long/Short EQ (Dev/Brd) 2.04 1.13 1.02 0.90 0.78 -0.58 1.66 1.08 0.14 0.97 2.09 0.45

Macro 1.63 0.56 0.85 0.48 0.89 0.53 1.41 1.01 -0.05 0.84 0.87 0.31

Market Neutral EQ (Dev/Brd) 0.98 2.72 -1.23 0.86 0.51 0.02 0.87 0.83 0.87 1.04 1.14 0.38

Multi-Strategy 3.02 1.61 0.83 1.49 0.98 -0.40 2.35 1.55 -0.01 1.97 2.10 1.33

Securitized 8.78 6.97 2.32 2.40 4.23 1.54 5.74 5.75 3.76 5.12 2.91 2.92

Convertibles 2.54 1.88 -0.34 2.32 0.15 -1.08 4.91 3.87 -0.18 2.10 1.78 N/A

Mid-Age 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014


Commodities 0.84 0.55 0.33 0.21 0.52 0.36 0.52 0.61 0.17 0.00 -0.14 -0.05

FX 0.81 0.52 -0.13 -0.76 -0.28 0.32 0.55 0.43 0.32 0.79 -0.52 1.42


Emerging Markets (FI+EQ) 3.03 2.56 2.13 2.23 1.82 -1.52 2.06 1.64 0.37 2.48 2.18 0.45

Fixed Income 2.82 1.87 0.64 1.45 1.36 1.16 5.11 5.73 0.71 3.21 2.64 2.07


Macro 1.61 0.94 0.75 0.51 0.68 0.02 1.30 0.72 0.04 0.82 0.58 0.49

Market Neutral EQ (Dev/Brd) 0.86 0.32 0.58 -1.35 0.91 -0.03 0.36 0.51 0.59 0.87 1.34 0.95

Multi-Strategy 3.01 1.47 0.72 0.99 0.58 -1.00 2.18 1.43 0.06 1.77 1.08 0.79

Securitized 3.85 7.11 2.45 5.19 2.41 -0.10 3.09 5.88 1.28 7.72 3.99 4.44

Convertibles 2.38 0.02 -0.77 3.67 2.15 0.90 4.37 1.66 -0.16 2.07 1.93 0.41

Tenured 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

CTA/MF ex-Commodities/FX 0.69 0.25 0.23 0.27 0.61 1.27 0.07 0.82 -0.15 0.05 0.07 0.96

Commodities 0.57 0.54 0.13 0.49 0.73 0.54 0.14 0.81 -0.32 -0.04 -0.82 -0.28

FX 0.74 0.02 -2.47 -2.57 -1.19 0.27 -0.11 0.14 -0.12 0.16 0.07 0.60



Fixed Income 2.68 1.65 0.85 1.36 1.52 -0.22 3.05 4.71 1.07 2.79 2.09 1.39


Macro 1.81 0.45 0.33 0.32 0.90 0.13 1.27 1.03 0.16 0.73 0.29 0.68

Market Neutral EQ (Dev/Brd) 0.82 0.42 1.09 0.86 0.53 -0.28 0.48 -0.04 0.30 0.59 1.25 0.63

Multi-Strategy 3.24 1.41 1.05 2.02 0.90 -1.32 2.68 1.67 -0.10 1.50 1.80 0.59

Securitized 1.49 3.97 3.32 2.09 1.89 3.11 4.02 3.67 2.73 4.32 2.39 3.55

Convertibles 2.85 1.63 -0.15 3.08 1.15 -0.74 4.07 1.82 0.20 1.90 2.04 0.25



105

Figure A35: Median Sharpe ratios by strategy and age for funds with >10 months of performance in respective year; italicized denotes <5 funds in sample


Young 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014


Commodities 1.01 0.86 0.54 0.55 0.82 0.44 0.41 0.90 0.06 0.15 0.33 0.21

FX 1.57 0.26 0.46 0.08 0.27 0.61 1.11 1.14 -0.16 0.69 -0.09 0.59



Fixed Income 2.91 1.67 0.39 1.41 0.27 0.16 3.28 2.15 0.58 3.10 2.08 2.29


Macro 1.31 0.38 0.75 0.60 0.86 0.32 1.31 0.92 -0.21 0.94 1.01 0.15


Multi-Strategy 2.78 1.39 0.86 1.33 0.78 -0.76 1.94 1.29 -0.21 1.38 1.56 0.85

Securitized 3.48 4.21 1.82 2.09 1.07 0.27 4.07 4.74 1.37 4.58 3.39 1.83

Convertibles 2.07 0.19 -0.62 2.43 0.06 -1.09 4.93 3.57 -0.42 1.81 1.73 N/A

Mid-Age 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

CTA/MF ex-Commodities/FX 0.66 0.36 0.24 0.59 0.76 0.98 0.29 0.87 0.03 0.52 -0.18 1.21

Commodities 0.71 0.26 0.04 0.20 0.45 0.38 0.44 0.73 -0.12 -0.01 -0.47 -0.40

FX 0.67 0.39 0.07 -0.18 0.44 0.43 0.28 0.68 -0.04 -0.16 -0.31 1.76

Event Driven/Distressed 3.49 1.75 0.59 1.69 0.48 -1.60 1.86 1.76 -0.08 1.88 2.19 0.41


Fixed Income 2.80 1.53 0.55 1.31 0.34 -0.53 3.10 2.04 0.24 3.00 2.07 1.08


Macro 1.49 0.74 0.54 0.54 0.70 0.09 1.13 0.51 -0.01 0.79 0.44 0.41

Market Neutral EQ (Dev/Brd) 0.86 0.30 0.59 0.46 0.75 0.07 0.32 0.34 0.75 0.85 1.20 0.85

Multi-Strategy 2.72 1.30 0.66 1.46 0.78 -1.31 1.96 1.17 -0.21 1.49 1.07 0.35

Securitized 2.95 3.80 1.64 2.43 -0.33 -1.29 2.32 3.42 1.00 5.45 2.59 4.39

Convertibles 2.62 -0.27 -1.29 2.10 0.23 -1.50 4.19 1.68 -0.62 1.89 2.03 0.02

Tenured 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

CTA/MF ex-Commodities/FX 0.60 0.27 0.10 0.21 0.61 1.45 -0.12 0.88 -0.17 -0.12 -0.07 1.09

Commodities 0.69 0.57 -0.04 0.42 0.58 0.34 0.10 0.81 -0.38 0.05 -0.84 -0.28

FX 1.00 -0.14 -0.91 -0.45 -0.34 0.66 -0.27 0.14 -0.07 0.27 -0.18 0.86



Fixed Income 1.22 1.35 0.14 0.27 0.13 -0.56 2.89 1.45 0.33 2.29 1.80 1.07


Macro 1.64 0.48 0.47 0.42 0.87 0.22 1.07 1.00 0.23 0.46 0.39 0.67


Multi-Strategy 3.07 1.33 0.85 1.68 0.50 -1.62 2.52 1.51 -0.37 1.32 1.92 0.62

Securitized 1.31 2.28 1.54 1.00 1.21 -0.20 3.35 3.18 2.40 4.30 2.22 2.90

Convertibles 1.84 -0.02 -0.65 2.49 0.10 -1.38 4.39 1.77 0.16 2.16 1.90 -0.03

MEDIAN SHARPE RATIO

Appendix: Age Universe by Investment Market

106

Figure A36: Fund counts by investment market and age for funds with >10 months of performance in respective year


Young 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014



Commodities 18 32 61 81 86 94 78 57 46 39 26 8

Equity 555 571 599 705 704 644 557 451 362 298 221 135


FX 29 43 50 38 37 35 27 23 25 16 11 7

Multi-Market 129 146 142 162 192 166 161 164 128 99 91 82

Mid-Age 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014



Commodities 23 25 30 28 52 76 93 97 72 51 49 34

Equity 420 508 618 639 705 725 688 662 607 474 402 296


FX 16 25 32 45 57 47 36 35 32 25 17 7

Multi-Market 79 95 124 147 160 177 175 158 156 150 147 116

Tenured 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014



Commodities 19 22 31 42 41 41 48 56 78 79 83 62

Equity 322 388 482 577 670 719 831 899 928 889 917 813


FX 26 29 29 32 39 44 53 46 44 45 43 38

Multi-Market 78 93 110 127 139 153 188 201 220 222 218 202

FUND COUNT


107

Figure A37: Average returns by investment market and age for funds with >10 months of performance in respective year; italicized denotes <5 funds in sample


Young 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014


Broad Financial Derivatives 17.84% 8.88% 16.64% 12.66% 17.27% 13.82% 20.64% 13.12% 3.16% -0.24% 3.14% 5.68%

Commodities 18.09% 16.58% 18.73% 16.84% 25.09% 6.17% 9.90% 15.11% 10.35% 3.23% 1.93% 1.64%

Equity 26.42% 12.96% 15.39% 17.61% 17.72% -13.33% 29.28% 14.45% -1.98% 10.53% 17.15% 3.58%


FX 21.44% 12.10% 18.45% 9.63% 9.59% 3.81% 8.24% 6.46% 7.28% 6.76% -0.04% 2.35%

Multi-Market 19.76% 7.52% 12.27% 16.65% 18.52% 0.00% 19.03% 10.74% 1.32% 10.39% 16.49% 5.61%

Mid-Age 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014


Broad Financial Derivatives 11.75% 6.25% 8.35% 12.63% 17.81% 17.39% 5.72% 7.74% -0.14% 4.97% 1.60% 9.69%

Commodities 15.03% 4.73% 7.50% 8.32% 12.77% 2.11% 11.00% 8.04% 2.41% 0.39% -3.18% -2.42%

Equity 25.46% 10.40% 11.28% 15.70% 14.22% -18.49% 27.05% 11.38% -4.66% 9.65% 16.32% 4.19%


FX 11.07% 7.95% 6.23% 8.56% 19.76% 5.19% 5.34% 5.05% 0.66% 3.48% -1.30% 15.58%

Multi-Market 19.03% 10.44% 10.25% 11.98% 12.28% -6.00% 16.26% 7.74% -1.58% 7.77% 6.15% 3.40%

Tenured 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014


Broad Financial Derivatives 13.56% 5.62% 5.90% 6.68% 14.41% 26.76% 1.39% 12.44% -4.52% 0.73% -0.87% 11.55%

Commodities 14.59% 12.05% 9.35% 11.50% 16.69% 15.49% 1.99% 11.65% -5.16% 0.69% -4.87% -1.75%

Equity 28.26% 11.83% 12.41% 14.28% 11.35% -21.41% 29.62% 11.08% -6.75% 9.59% 16.97% 3.86%


FX 9.86% 3.07% 2.49% 5.51% 3.66% 7.26% 0.12% 4.09% -1.54% 2.36% -1.87% 4.82%

Multi-Market 19.52% 9.27% 8.99% 11.11% 15.07% -1.27% 16.44% 9.41% -1.97% 3.21% 4.36% 5.15%

AVERAGE RETURN


108

Figure A38: Median returns by investment market and age for funds with >10 months of performance in respective year; italicized denotes <5 funds in sample


Young 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014



Commodities 15.89% 12.88% 10.97% 11.98% 15.05% 6.35% 6.95% 9.67% 0.55% 1.33% 3.35% 0.49%

Equity 16.75% 9.91% 11.98% 13.25% 13.43% -12.22% 19.14% 10.35% -2.11% 8.68% 14.34% 4.67%


FX 15.72% 3.43% 8.95% 6.76% 7.79% 3.84% 4.68% 3.26% -1.56% 4.74% -1.78% 2.00%

Multi-Market 13.00% 5.97% 9.29% 11.63% 11.49% 0.19% 14.13% 8.41% -0.17% 8.55% 8.17% 2.94%

Mid-Age 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014


Broad Financial Derivatives 9.95% 6.81% 4.48% 10.70% 14.49% 11.72% 3.00% 7.00% -0.09% 4.49% 0.05% 9.31%

Commodities 14.99% 5.32% 4.60% 6.82% 9.85% 5.64% 5.14% 11.14% -1.49% -0.14% -2.93% -4.86%

Equity 20.01% 8.40% 8.41% 12.65% 10.95% -16.18% 16.29% 9.11% -3.83% 7.78% 14.64% 3.86%


FX 7.01% 4.61% 3.99% 4.51% 6.96% 4.07% 1.49% 4.48% -0.32% 0.38% -0.57% 11.66%

Multi-Market 13.73% 7.97% 7.87% 10.45% 9.45% -7.81% 10.70% 7.02% -0.97% 7.03% 5.25% 2.91%

Tenured 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014


Broad Financial Derivatives 8.26% 4.84% 4.57% 5.19% 14.15% 22.14% -0.49% 9.46% -3.85% -0.12% -0.93% 9.02%

Commodities 10.52% 11.14% 2.41% 7.64% 11.51% 5.43% 1.71% 9.69% -6.67% 0.12% -6.49% -2.78%

Equity 24.59% 9.49% 8.17% 12.10% 8.38% -20.25% 20.72% 8.76% -5.10% 7.62% 15.52% 3.34%


FX 8.94% 0.95% 0.77% 1.42% 2.13% 4.38% 0.73% 1.70% -0.24% 1.01% -1.10% 3.12%

Multi-Market 15.00% 7.65% 7.49% 10.56% 10.91% -3.08% 12.02% 8.62% -1.21% 3.75% 5.56% 4.56%

MEDIAN RETURN


109

Figure A39: Average standard deviations by investment market and age for funds with >10 months of performance in respective year; italicized denotes <5 funds in sample


Young 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014



Commodities 18.39% 20.50% 15.18% 14.47% 19.22% 23.77% 13.81% 14.70% 14.71% 14.32% 15.03% 7.87%

Equity 10.09% 10.19% 10.15% 10.92% 11.60% 19.57% 15.00% 12.49% 12.94% 10.44% 9.93% 10.94%


FX 10.26% 9.84% 8.28% 9.19% 10.34% 8.44% 6.31% 6.50% 17.05% 13.17% 5.73% 4.29%

Multi-Market 10.35% 9.93% 8.75% 11.76% 12.26% 15.22% 9.68% 10.64% 11.31% 9.59% 10.13% 8.56%

Mid-Age 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014



Commodities 19.42% 14.54% 15.95% 12.49% 12.59% 22.62% 14.22% 17.19% 13.86% 12.82% 11.17% 12.39%

Equity 10.83% 10.53% 10.01% 9.90% 10.94% 19.19% 16.05% 13.21% 13.58% 10.43% 9.87% 9.93%


FX 11.45% 10.99% 9.43% 9.77% 13.81% 10.49% 6.34% 7.02% 7.31% 5.77% 6.01% 8.97%

Multi-Market 9.47% 8.25% 8.84% 9.14% 11.13% 17.95% 11.10% 10.24% 10.81% 8.46% 8.25% 8.60%

Tenured 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014



Commodities 28.75% 21.36% 20.39% 18.60% 18.36% 27.67% 17.16% 15.29% 17.46% 13.78% 9.43% 13.03%

Equity 12.03% 11.15% 11.06% 10.49% 10.66% 19.62% 16.19% 13.16% 13.83% 11.60% 10.12% 10.27%


FX 7.26% 7.91% 6.91% 8.69% 7.84% 9.78% 6.72% 7.11% 9.37% 8.06% 5.14% 6.28%

Multi-Market 9.54% 8.63% 8.40% 8.76% 10.52% 17.40% 12.00% 10.24% 11.64% 9.22% 9.10% 8.94%



110

Figure A40: Median standard deviations by investment market and age for funds with >10 months of performance in respective year; italicized denotes <5 funds in sample


Young 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014



Commodities 15.83% 15.41% 13.25% 13.97% 13.00% 19.09% 12.20% 10.97% 11.50% 14.08% 10.83% 5.42%

Equity 8.03% 8.04% 8.18% 8.70% 9.23% 15.84% 12.22% 10.05% 10.04% 8.67% 8.38% 9.10%


FX 9.27% 7.31% 5.09% 6.71% 8.06% 6.94% 4.87% 5.40% 10.98% 7.04% 5.20% 3.61%

Multi-Market 6.53% 7.49% 7.60% 8.26% 10.17% 12.26% 7.91% 7.67% 8.31% 8.37% 7.96% 6.33%

Mid-Age 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014



Commodities 18.19% 11.75% 14.40% 10.98% 11.49% 19.76% 12.27% 16.63% 12.12% 12.03% 8.96% 12.42%

Equity 8.96% 8.19% 8.37% 8.28% 9.39% 16.39% 11.92% 11.18% 10.86% 8.34% 7.96% 8.04%


FX 10.63% 8.44% 8.00% 9.29% 7.65% 8.14% 5.13% 6.29% 5.97% 4.58% 5.14% 7.16%

Multi-Market 6.80% 5.81% 6.59% 7.53% 9.69% 13.17% 9.04% 8.51% 8.58% 6.75% 7.24% 6.74%

Tenured 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014



Commodities 25.43% 22.15% 18.52% 16.73% 14.76% 23.24% 14.27% 13.83% 16.75% 13.37% 9.08% 12.65%

Equity 10.28% 9.19% 9.40% 8.76% 9.26% 16.59% 13.28% 11.84% 11.93% 9.17% 7.69% 8.54%


FX 6.66% 6.00% 4.74% 5.88% 6.53% 5.38% 5.51% 6.58% 9.04% 8.13% 4.95% 5.05%

Multi-Market 6.58% 6.85% 6.88% 7.23% 8.26% 14.61% 9.57% 7.72% 9.03% 6.84% 6.39% 6.55%



111

Figure A41: Average Sharpe ratios by investment market and age for funds with >10 months of performance in respective year; italicized denotes <5 funds in sample


Young 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

Broad Capital Structure 3.50 4.66 0.40 1.83 0.88 -1.02 3.00 1.64 0.18 1.93 2.70 1.14


Commodities 0.98 1.09 0.87 0.68 0.87 0.49 0.68 1.22 0.59 0.16 0.05 -0.15

Equity 1.97 1.50 0.79 1.02 0.94 -0.62 1.67 1.15 0.09 1.07 1.83 0.56


FX 1.66 0.83 1.04 0.18 1.01 0.74 1.29 0.95 0.74 0.80 0.12 0.21

Multi-Market 2.23 0.94 1.03 1.02 0.88 0.01 2.04 1.33 0.25 1.44 1.40 0.90

Mid-Age 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014



Commodities 0.98 0.59 0.34 0.21 0.52 0.32 0.55 0.70 0.30 0.36 -0.27 0.00

Equity 1.91 0.92 0.72 0.66 0.78 -0.96 1.35 0.91 -0.12 1.12 1.78 0.84


FX 0.77 0.44 0.12 -0.15 -0.17 0.12 0.55 0.57 0.10 1.13 -0.24 1.41

Multi-Market 2.15 1.10 0.79 0.92 0.85 -0.20 1.53 1.19 0.07 1.43 1.24 0.85

Tenured 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014


Broad Financial Derivatives 0.70 0.22 0.26 0.22 0.63 1.23 0.15 0.81 -0.15 0.12 0.08 0.87

Commodities 0.58 0.54 0.11 0.50 0.61 0.43 0.22 0.79 -0.31 -0.05 -0.78 -0.32

Equity 1.95 0.85 0.69 0.93 0.55 -1.17 1.48 0.82 -0.25 0.92 1.88 0.50


FX 0.83 0.06 -2.06 -2.36 -0.97 0.13 0.05 0.37 0.03 0.26 -0.02 3.71

Multi-Market 2.48 1.11 0.69 1.06 1.05 -0.31 1.60 1.20 0.07 0.85 1.02 0.81



112

Figure A42: Median Sharpe ratios by investment market and age for funds with >10 months of performance in respective year; italicized denotes <5 funds in sample


Young 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014



Commodities 1.01 0.86 0.53 0.59 0.86 0.39 0.53 0.94 0.13 0.15 0.38 0.21

Equity 2.03 1.06 0.96 1.03 0.97 -1.01 1.67 0.99 -0.19 1.03 1.87 0.53


FX 1.60 0.18 0.64 0.24 0.43 0.61 1.13 0.72 -0.16 0.70 -0.32 0.59

Multi-Market 1.70 0.70 0.79 0.85 0.73 -0.05 1.76 1.09 0.04 1.24 1.14 0.57

Mid-Age 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014



Commodities 0.71 0.28 0.20 0.20 0.49 0.34 0.46 0.76 -0.14 0.05 -0.54 -0.41

Equity 1.92 0.85 0.70 0.95 0.73 -1.21 1.36 0.84 -0.30 0.98 1.92 0.61


FX 0.67 0.35 0.10 0.03 0.33 0.35 0.28 0.68 -0.07 0.07 -0.18 1.46

Multi-Market 1.85 1.02 0.67 0.68 0.69 -0.72 1.37 0.88 -0.06 1.15 0.87 0.58

Tenured 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014


Broad Financial Derivatives 0.60 0.26 0.15 0.10 0.66 1.43 -0.14 0.89 -0.19 0.01 -0.08 0.93

Commodities 0.80 0.57 -0.04 0.31 0.52 0.25 0.22 0.79 -0.37 0.04 -0.82 -0.31

Equity 2.06 0.91 0.60 0.89 0.53 -1.45 1.59 0.82 -0.40 0.88 2.02 0.49


FX 1.06 -0.18 -0.66 -0.36 -0.27 0.64 0.21 0.43 -0.05 0.27 -0.32 0.89

Multi-Market 2.38 1.13 0.63 0.81 0.80 -0.36 1.43 1.02 -0.14 0.55 0.87 0.78

MEDIAN SHARPE RATIO

Appendix: Age Universe Alphas by Strategy/Investment Market

113

Figure A43: Average alphas by strategy/investment market for young funds with >10 months of performance in respective year; risk-free rate = 1 Year Treasury constant maturity average



Commodities 18 32 61 81 86 94 78 57 46 39 26 8

Convertibles 41 31 17 15 14 13 10 8 8 4 3 N/A




Macro 62 79 82 94 101 89 95 87 63 48 39 33


Multi-Strategy 99 105 114 124 146 137 116 113 97 78 73 61

Securitized 21 19 22 21 20 14 26 40 26 18 12 7


Commodities S&P Goldman Sachs Commodity 8.71% 13.38% 6.24% 18.28% 9.17% 15.95% 7.28% 12.61% 8.80% 3.01% 1.55% 7.68%

Convertibles BofA ML Invt Grade Convertible 10.01% 1.05% -0.52% 5.86% -0.63% 0.03% 48.70% 19.14% -1.93% 10.32% -0.27% N/A

Emerging Markets (FI+EQ) 50% MSCI EM-ND/50% Citi WGBIxUS 17.35% 5.89% 13.66% 15.36% 20.23% -17.52% 19.22% 6.76% -2.45% 6.34% 7.77% 2.38%


Long/Short EQ (Dev/Brd) S&P 500 14.67% 4.96% 9.85% 1.14% 6.96% 2.64% 17.09% 8.26% -1.64% 2.83% 5.15% -4.60%

Macro 60% MSCI World/40% Citi WGBI 9.98% -0.86% 9.90% 3.61% 13.24% 7.58% 10.77% 7.17% -2.02% 3.84% 11.13% 4.31%

Market Neutral EQ (Dev/Brd) S&P 500 5.04% 2.14% 3.77% 5.11% 3.01% 0.41% 8.64% 2.47% 3.33% 4.89% 5.35% -1.63%



FUND COUNT

ANNUALIZED ALPHAS

Y

O

U

N

G


114

Figure A44: Average alphas by strategy/investment market for mid-age funds with >10 months of performance in respective year; risk-free rate = 1 Year Treasury constant maturity average



Commodities 23 25 30 28 52 76 93 97 72 51 49 34

Convertibles 24 26 29 31 30 21 13 13 13 14 12 11




Macro 45 46 66 82 93 108 102 99 92 77 68 50


Multi-Strategy 51 76 97 119 137 138 133 128 130 123 114 101

Securitized 14 15 19 23 21 15 16 11 24 38 43 24


Commodities S&P Goldman Sachs Commodity 6.49% 1.68% 1.15% 3.67% 1.23% 13.53% 6.72% 5.00% 2.03% -0.56% -5.73% 4.69%

Convertibles BofA ML Invt Grade Convertible 14.98% 0.08% -3.75% 7.47% -0.07% -3.99% 38.32% 6.28% -1.87% 5.48% 1.32% -2.24%

Emerging Markets (FI+EQ) 50% MSCI EM-ND/50% Citi WGBIxUS 14.78% 6.44% 9.11% 10.11% 11.93% -22.83% 15.06% 6.41% -6.75% 7.13% 11.89% 0.43%

Fixed Income (Dev/Brd) Barclays Global Aggregate Hedged 9.85% 4.27% 1.79% 3.74% -0.09% -13.73% 22.75% 10.68% 1.97% 9.60% 5.47% 1.64%

Long/Short EQ (Dev/Brd) S&P 500 10.98% 2.32% 6.76% 0.16% 6.39% -2.54% 14.10% 4.31% -5.73% 1.52% 2.91% 0.32%

Macro 60% MSCI World/40% Citi WGBI 10.89% 1.63% 6.12% -1.03% 7.21% 2.75% 10.60% 4.14% -0.45% 3.03% -1.28% 4.79%

Market Neutral EQ (Dev/Brd) S&P 500 4.69% -0.34% 2.35% 1.91% 4.59% 2.00% 1.97% 2.15% 2.52% 2.98% 2.41% 5.40%

Multi-Strategy 60% MSCI World/40% Citi WGBI 13.67% 6.05% 5.76% 3.34% 6.70% -6.20% 15.68% 6.24% -2.84% 4.02% 0.95% -0.46%

Securitized Barclays US Securitized 9.58% 16.18% 1.72% 5.40% -3.51% -32.73% 40.73% 33.29% 3.41% 20.00% 11.76% 9.40%

FUND COUNT

ANNUALIZED ALPHAS

M

I

D

-

A

G

E


115

Figure A45: Average alphas by strategy/investment market for tenured funds with >10 months of performance in respective year; risk-free rate = 1 Year Treasury constant maturity average



Commodities 19 22 31 42 41 41 48 56 78 79 83 62

Convertibles 27 36 36 36 39 35 34 31 28 24 26 25




Macro 37 47 55 66 73 80 100 114 123 135 125 109


Multi-Strategy 57 65 80 87 102 110 137 155 171 174 183 170

Securitized 11 17 21 23 24 21 22 26 27 23 22 32


Commodities S&P Goldman Sachs Commodity 3.83% 6.40% 6.23% 14.56% 4.16% 21.48% -2.82% 8.57% -4.55% 0.59% -4.61% 4.98%

Convertibles BofA ML Invt Grade Convertible 7.74% -0.95% 3.67% 3.84% -2.15% -6.49% 35.03% 6.81% 0.27% 2.99% 1.68% -2.84%



Long/Short EQ (Dev/Brd) S&P 500 11.87% 2.14% 5.61% -2.14% 5.04% -3.71% 14.74% 3.10% -7.67% -0.41% 2.97% -1.96%


Market Neutral EQ (Dev/Brd) S&P 500 6.42% 0.73% 5.38% -0.44% 0.96% -2.08% 2.77% 1.62% 0.44% 1.41% 1.36% 2.14%



T

E

N

U

R

E

D

FUND COUNT

ANNUALIZED ALPHAS

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impact of size and age on hedge fund performance 2015 edition … · all three young cta/ managed...

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