Question: Beta Serial Correlation Alpha (%/month) Sharpe Ratio Hedge fund composite 0.252 0.097 -0.042 -0.039 Convertible arbitrage 0.160 0.244 -0.046 -0.044 Dedicated short bias -0.956 0.057

Beta Serial Correlation Alpha (%/month) Sharpe Ratio Hedge fund composite 0.252 0.097 -0.042 -0.039 Convertible arbitrage 0.160 0.244 -0.046 -0.044 Dedicated short bias -0.956 0.057 -0.346 -0.344 Emerging markets 0.364 0.109 -0.021 -0.018 Market neutral 0.168 -0.045 -0.173 -0.170 Event driven 0.345 0.298 -0.061 -0.059 Distressed firms 0.238 0.363 0.017 0.019 Risk arbitrage 0.138 -0.002 -0.174 -0.171 Fixed income arb 0.057 0.275 0.130 0.132 Global macro 0.108 -0.058 -0.015 -0.013 Long-short equity 0.434 0.031 0.008 0.010 Managed futues 0.126 -0.124 -0.084 -0.081 Multistrategy 0.183 0.073 0.123 0.125 Average across funds 0.124 0.101 -0.053 -0.050 Market Index 1.000 -0.104 0.174 0.174

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