Updates

There no updates for the hedge fund, small, or futures portfolios. Note that the trade in emini Gold futures was a mistake and was subsequently corrected.

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

Trades 24
# Profitable 10 (41.7%)
# months tracked 10
Profitable months 6 (60.0%)
Avg trade duration 130.0 days
Annual return (compounded) 14.6%
Average win $4,727
Average loss $1,303
Profit factor 3.0:1
Max peak-to-valley drawdown (historical) 5.75%
drawdown period Nov 05, 2010 to Nov 16, 2010
Correlation w/ S&P 0.581
Sharpe ratio 1.388

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

Trades 13
# Profitable 7 (53.8%)
# months tracked 10
Profitable months 5 (50.0%)
Avg trade duration 125.7 days
Annual return (compounded) 13.0%
Average win $618
Average loss $278
Profit factor 3.0:1
Max peak-to-valley drawdown (historical) 5.88%
drawdown period Nov 05, 2010 to Nov 26, 2010
Correlation w/ S&P 0.590
Sharpe ratio 1.245

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

Trades 8
# Profitable 5 (62.5%)
Avg trade duration 53.7 days
Annual return (compounded) 17.6%
Average win $1,739
Average loss $1,654
Profit factor 1.8:1
Max peak-to-valley drawdown (historical) 12.28%
drawdown period April 29, 2011 to May 17, 2011
Correlation w/ S&P 0.318
Sharpe ratio 0.63

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