Hedge fund portfolio update for week of 20111205 and monthly performance update

For the hedge fund portfolio SHY switches from short to long. A stop will be added upon the fill. All other positions remain unchanged.

The hedge fund portfolio gained 1.2% for the month of November. Here is a performance report:
Trades 41
# Profitable 17 (41.5%)
# months tracked 17
Profitable months 10 (58.8%)
Avg trade duration 118.9 days
Annual return (compounded) 3.1%
Average win $2,308
Average loss $1,199
Profit factor 1.6:1
Max peak-to-valley drawdown (historical) 9.69%
drawdown period Sept 06, 2011 to Oct 28, 2011
Correlation w/ S&P 0.269
Sharpe ratio 0.228

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