Hedge Fund Replication by TrueBeta
The first fully independent, fully transparent approach
Historical Performance                                                         info@true-beta.com
Note: TrueBeta historical performance reflects out-of-sample back test results.
2013 & Compound Performance (Composite)

Several points are worth noting:
  • The TrueBeta replicators have maintained excellent correlations with the target HFRI index over time, while closely matching its risk profile
    • The TrueBeta replicator significantly outperforms both the HFRI Fund of Funds index and the investable HFRX index
    • Factoring in the upward biases of broad hedge fund indices of approximately 3-4% per annum (see the Hedge Fund Replication section of this web site), TrueBeta delivers excellent performance relative to the HFRI composite index
      Year to Date TrueBeta HFRI HFRI HFRX
      December 2013 Index
      FoF
      Correlation 0.83 - 0.99 0.90
      Compound Return 3.66% 9.25% 8.79% 6.31%
      Annualized Return 3.66% 9.25% 8.79% 6.31%
      Annualized Stdev 3.90% 3.68% 3.27% 2.44%
      VAR 95% -6.42% -6.06% -5.38% -4.01%
      Information Ratio 0.94 2.51 2.69 2.59
      Ann. Tracking Error 2.64% - 0.70% 1.94%
      Skewness -0.41 -0.67 -1.13 -1.29
      Kurtosis 0.52 0.82 1.49 1.23
      Rolling 36 Months TrueBeta HFRI HFRI HFRX
      December 2013 Index
      FoF
      Correlation 0.89 - 0.97 0.94
      Compound Return 6.90% 10.11% 7.46% 2.23%
      Annualized Return 2.25% 3.26% 2.43% 0.74%
      Annualized Stdev 5.03% 5.46% 4.09% 3.56%
      VAR 95% -8.27% -8.98% -6.73% -5.85%
      Information Ratio 0.45 0.60 0.59 0.21
      Ann. Tracking Error 2.42% - 1.64% 2.41%
      Skewness -0.55 -0.83 -0.88 -1.13
      Kurtosis 0.88 0.81 0.36 1.41
      Cum. May 2004 - TrueBeta HFRI HFRI HFRX
      December 2013 Index
      FoF
      Correlation 0.92 - 0.96 0.90
      Compound Return 53.66% 70.74% 36.11% 9.92%
      Annualized Return 4.54% 5.69% 3.24% 0.98%
      Annualized Stdev 6.32% 6.45% 5.62% 5.38%
      VAR 95% -10.40% -10.61% -9.24% -8.85%
      Information Ratio 0.72 0.88 0.58 0.18
      Ann. Tracking Error 2.63% - 2.00% 3.15%
      Skewness -0.69 -1.00 -1.41 -3.03
      Kurtosis 1.51 2.37 3.60 15.80





      Notes: 
      1. TrueBeta's performance reflects its recently introduced dynamic exposure model. The dynamic exposure model was incorporated as a standard feature of the methodology in May 2010. Historical performance has been restated to reflect dynamic exposure. A more detailed discussion on dynamic exposure can be found in the Dynamic Exposure section of this web site.
      2. While TrueBeta aims to replicate hedge fund performance as represented by the HFRI broad index, we have included the HFRI Fund of Funds index and the investable HFRX index in the comparison, as they represent alternative means for gaining broad hedge fund exposure. Fund of funds are in wide-spread use among institutional investors, and the HFRX index represents the more traditional managed fund-platform approach to obtaining liquid exposure to hedge fund indices (also see the Hedge Fund Replication section of this web site). 
      HFR data by Hedge Fund Research, Inc. (HFR)

      Annual Performance

       
      2012 TrueBeta HFRI HFRI HFRX

      Index
      FoF
      Correlation 0.97 - 0.98 0.93
      Compound Return 3.26% 4.83% 3.42% 1.96%
      Annualized Return 3.26% 4.83% 3.42% 1.96%
      Annualized Stdev 5.62% 4.83% 3.36% 2.77%
      VAR 95% -9.25% -7.94% -5.52% -4.55%
      Information Ratio 0.58 1.00 1.02 0.71
      Ann. Tracking Error 1.52% - 1.70% 2.63%
      Skewness -1.14 -0.67 -0.68 -0.02
      Kurtosis 3.02 1.44 0.70 -0.09
      2011 TrueBeta HFRI HFRI HFRX

      Index
      FoF
      Correlation 0.90 - 0.98 0.96
      Compound Return -1.76% -5.15% -5.65% -6.17%
      Annualized Return -1.76% -5.15% -5.65% -6.17%
      Annualized Stdev 5.60% 6.51% 4.63% 4.39%
      VAR 95% -9.21% -10.71% -7.61% -7.22%
      Information Ratio -0.31 -0.79 -1.22 -1.41
      Ann. Tracking Error 2.85% - 2.12% 2.56%
      Skewness 0.00 -0.38 -0.54 -0.76
      Kurtosis 0.58 -0.03 -0.62 -0.16
       
      2010 TrueBeta HFRI HFRI HFRX

      Index
      FoF
      Correlation 0.97 - 0.99 0.97
      Compound Return 5.12% 10.24% 5.69% 5.28%
      Annualized Return 5.12% 10.24% 5.69% 5.28%
      Annualized Stdev 4.65% 6.41% 4.87% 3.66%
      VAR 95% -7.65% -10.54% -8.02% -6.02%
      Information Ratio 1.10 1.60 1.17 1.44
      Ann. Tracking Error 2.56% - 2.10% 3.19%
      Skewness -0.35 -0.47 -0.70 -0.97
      Kurtosis -0.13 -0.13 0.69 0.48
      2009 TrueBeta HFRI HFRI HFRX

      Index
      FoF
      Correlation 0.91 - 0.87 0.71
      Compound Return 13.33% 20.01% 11.47% 11.44%
      Annualized Return 13.33% 20.01% 11.47% 11.44%
      Annualized Stdev 6.48% 6.16% 3.42% 2.62%
      VAR 95% -10.66% -10.14% -5.62% -4.31%
      Information Ratio 2.06 3.25 3.35 4.37
      Ann. Tracking Error 3.03% - 4.09% 4.99%
      Skewness 0.06 0.49 1.22 -0.06
      Kurtosis -1.72 0.16 2.38 -0.44
      2008 TrueBeta HFRI HFRI HFRX

      Index
      FoF
      Correlation 0.94 - 0.95 0.92
      Compound Return -16.40% -19.03% -21.76% -21.90%
      Annualized Return -16.40% -19.03% -21.76% -21.90%
      Annualized Stdev 9.35% 9.70% 11.95% 11.01%
      VAR 95% -15.37% -15.96% -19.66% -18.11%
      Information Ratio -1.76 -1.96 -1.82 -1.99
      Ann. Tracking Error 3.28% - 4.12% 4.19%
      Skewness -0.27 -0.50 -0.38 -1.62
      Kurtosis 0.40 -0.23 0.51 2.94


      HFR data by Hedge Fund Research, Inc. (HFR)