The Palomar SC HF Index as at June 2008
Source: Palomar Capital Advisors
Cumulative and monthly returns
Itemised monthly returns
|
SC HF Index gross |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
|
2005 |
1.40% |
0.96% |
0.27% |
0.11% |
-0.04% |
0.65% |
1.06% |
-0.12% |
-0.04% |
0.60% |
-0.14% |
0.44% |
|
2006 |
0.67% |
0.73% |
0.71% |
1.24% |
0.90% |
0.45% |
0.61% |
0.81% |
0.97% |
1.14% |
0.82% |
1.32% |
|
2007 |
1.11% |
0.67% |
0.19% |
0.14% |
-2.08% |
-6.89% |
-5.24% |
-2.50% |
1.70% |
-0.50% |
-2.19% |
-1.04% |
|
2008 |
-0.25% |
-17.04% |
-1.68% |
-0.14% |
0.50% |
-0.81% |
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SC HF Index net |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
|
2005 |
1.15% |
0.75% |
0.13% |
-0.02% |
-0.17% |
0.47% |
0.84% |
-0.25% |
-0.17% |
0.43% |
-0.27% |
0.29% |
|
2006 |
0.49% |
0.54% |
0.52% |
1.01% |
0.70% |
0.29% |
0.44% |
0.61% |
0.77% |
0.91% |
0.63% |
1.08% |
|
2007 |
0.88% |
0.49% |
0.06% |
0.01% |
-2.21% |
-7.01% |
-5.37% |
-2.62% |
1.42% |
-0.62% |
-2.32% |
-1.16% |
|
2008 |
-0.38% |
-17.16% |
-1.81% |
-0.27% |
0.34% |
-0.93% |
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Statistical data since January 2005
|
|
SC HF Index gross |
SC HF Index net |
|
Annualised return |
-6.30% |
-8.15% |
|
Annualised standard deviation |
10.76% |
10.68% |
|
Sharpe ratio* |
-0.93 |
-1.11 |
|
% of negative months |
38.10% |
40.48% |
|
Maximum monthly drawdown |
-17.04% |
-17.16% |
| *risk free rate = average of 1m T-Bill |
|
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Correlation
| |
SC HF Index gross |
SC HF Index net |
| CSFB Tremont Hedge Fund Index |
0.05 |
0.05 |
| HFRI Fund of Funds Composite Index |
0.05 |
0.04 |
| Lehman Global Aggregate Bond Index |
-0.17 |
-0.17 |
| S&P 500 |
0.37 |
0.37 |
About the Index
The objective of the Palomar SC HF Index™ is to produce an index that represents the risk and return of investable hedge fund investments in the structured credit area. The index aims to provide a monthly measure of the performance of the universe of open, investable structured credit hedge funds. The Palomar SC HF Index™ is calculated in two formats - as gross asset value and as net asset value.
Gross Asset Value Index (GAVI)
The Palomar SC GAVI™ is calculated using the (net) returns from the Underlying Funds (as reported by them) constituting the index before any costs related to the holding of the Underlying Funds. The purpose of the Palomar SC GAVI™ is to provide a benchmark for single manager hedge funds in the structured credit area.
Net Asset Value Index (NAVI)
The Palomar SC NAVI™ is based on the Palomar SC GAVI™ but is adjusted for the full running costs related to a fund of fund structure. Such costs include the costs of a typical fund of funds such as brokerage expenses, management and performance fee, administration and custody fees. The purpose of the Palomar SC NAVI™ is to provide a benchmark for multi manager hedge funds (fund of funds) in the structured credit area.
Coverage
For additional information about the index providers, see Palomar Capital Advisors' website: www.plmr.com
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