. . . 12%
Efficient Frontier
11%
Annualized Return
10%
9%
Three-asset portfolio: S&P 500, Barclays Aggregate,
HFRI Fund Weighted Composite (no % hedge fund
allocation constraint)
8%
Three-asset portfolio: S&P 500, Barclays Aggregate,
HFRI Fund Weighted Composite (up to max 20% hedge
fund allocation constraint)
7%
Two-asset portfolio: S&P 500, Barclays Aggregate
6%
0%
2%
4%
6%
8%
Standard Deviation
10%
12%
14%
16%
Chart source: SkyBridge. Period: 1/1/90 (HFRI index inception) through 10/31/14. Data source: HFR for HFRI index, Bloomberg for S&P 500 and Barclays Aggregate indices
(total returns used in both cases). As described by HFR: "The HFRI Fund Weighted Composite Index is a global, equal-weighted index of over 2,000 single-manager funds
that report to HFR Database.
Constituent funds report monthly net of all fees performance in US Dollar and have a minimum of $50 Million under management or a twelve
(12) month track record of active performance. The HFRI Fund Weighted Composite Index does not include Funds of Hedge Funds."
. . . Figure A
Full period return (i.e., not annualized):
1/1/00-12/31/02
HFRI Fund Weighted Composite Index
S&P 500 Total Return Index
10/1/07-2/28/09
7/1/11-9/30/11
8.3%
(37.6%)
(19.2%)
(50.2%)
(6.8%)
(13.9%)
8
Figure B
Full period return (i.e., not annualized):
1/1/90-12/31/99
HFRI Fund Weighted Composite Index
S&P 500 Total Return Index
1/1/03-12/31/07
3/1/09-10/31/14
534.8%
432.8%
76.8%
82.8%
51.9%
210.0%
. 8
Figure C
Annualized standard deviation of Multiple of S&P
monthly returns from 1/1/90
500 standard
(HFRI inception)-10/31/14
deviation
HFRI Fund Weighted Composite Index
S&P 500 Total Return Index
Barclays Aggregate Bond Index
6.8%
14.7%
3.7%
0.5x
---
Multiple of
Barclays Agg
standard
deviation
1.9x
---
. .
Figure D
HFRI Fund Weighted Composite Index
S&P 500 TR
FTSE NAREIT Equity REIT TR
S&P GSCI Spot TR
NCREIF Property Index TR
Barclays US Agg TR
HFRI Fund Weighted Composite Index
1.00
0.78
0.49
0.19
(0.03)
(0.12)
Period: 1Q 1990 through 3Q 20014 (quarterly returns data used as NCREIF returns are only
reported quarterly, period start date corresponds to HFRI index inception). Index returns data
source: Bloomberg.
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. .