Updates and analysis

Here is a summary of the performance of the hedge fund portfolio:

Trades 22
# Profitable 11 (50.0%)
# months tracked 8
Profitable months 5 (62.5%)
Avg trade duration 113.9 days
Annual return (compounded) 12.5%
Average win $3,402
Average loss $1,629
Profit factor 2.4:1
Max peak-to-valley drawdown (historical) 5.75%
drawdown period Nov 05, 2010 to Nov 16, 2010
Correlation w/ S&P 0.566
Sharpe ratio 1.194

Here is a summary of the performance of the small portfolio:

Trades 12
# Profitable 7 (58.3%)
# months tracked 8
Profitable months 4 (50.0%)
Avg trade duration 105.7 days
Annual return (compounded) 11.0%
Average win $477
Average loss $324
Profit factor 2.4:1
Max peak-to-valley drawdown (historical) 5.88%
drawdown period Nov 05, 2010 to Nov 26, 2010
Correlation w/ S&P 0.580
Sharpe ratio 1.045

Here is a summary of the performance of the futures portfolio:

Trades 6
# Profitable 4 (66.7%)
Avg trade duration 22.8 days
Annual return (compounded) 0.0% (Note: the portfolio is up 2.4%)
Average win $1,425
Average loss $1,656
Profit factor 1.7:1
Max peak-to-valley drawdown (historical) 9.8%
drawdown period March 07, 2011 to March 15, 2011
Correlation w/ S&P 0.369
Sharpe ratio n/a

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