HedgeCo.

Net Hedge Fund

Aggregate Index

HCN Hedge Fund Aggregate Index -September 2011 Report

Year

Jan

Feb

Mar

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Dec

YTD

S&P 500

2011

0.32%

1.52%

0.29%

1.93%

(1.03%)

(1.04%)

0.39%

(2.12%)

(2.89%)

(2.69%)

(8.68%)

2010

(0.76%)

0.98%

2.44%

1.54%

(2.87%)

(0.18%)

1.42%

0.38%

3.27%

2.39%

0.47%

3.44%

13.06%

15.07%

2009

0.42%

(1.00%)

1.51%

3.48%

5.17%

0.50%

1.77%

1.46%

2.74%

(0.67%)

1.91%

0.83%

19.51%

26.46%

2008

(2.10%)

2.38%

(1.60%)

1.52%

2.26%

(0.14%)

(1.78%)

(1.02%)

(5.05%)

(5.31%)

(1.47%)

0.24%

(11.73%)

(37.00%)

2007

1.39%

0.68%

0.87%

2.02%

2.34%

1.02%

0.46%

(0.81%)

3.15%

3.45%

(1.07%)

1.12%

15.52%

5.49%

Performance Statistics

Distribution of Returns
HCN-THF

S&P500

Average Annual Return

7.09%

(0.85%)

Average Monthly Return

0.54%

(0.07%)

Average Monthly Gain

1.67%

3.72%

Highest Monthly Return

5.17%

9.57%

Lowest Monthly Return

(5.31%)

(16.79%)

Previous 12 Months

3.55%

1.15%

Previous 36 Months

22.97%

3.74%

Annualized Standard Deviation

7.06%

18.71%
(0.22%)

Compounded Rate of Return

0.52%

Annualized Compounded Rate of Return

6.37%

(2.58%)

Cumulative Return

34.07%

(11.67%)

Profitable Percentage

66.67%

56.14%

(14.30%)

(50.95%)

Max Drawdown

Rolling 12 Month Performance

Quantitative Statistics
HCN-THF

S&P500

Annualized Return

6.37%

(2.58%)

Annualized Standard Deviation

7.06%

18.71%

Annualized Sharpe Ratio (0%)

0.91

(0.05)

Annualized Sharpe Ratio (5%)

0.22

(0.31)

Annualized Sharpe Ratio (10%)

(0.44)

(0.56)

Annualized Sortino Ratio (0%)

1.39

(0.18)

Annualized Sortino Ratio (5%)

0.25

(0.50)

Annualized Sortino Ratio (10%)

(0.58)

(0.77)

Ann. Downside Deviation (10%)

1.68%

4.55%

NAV Growth Since Index Inception

Correlation to Benchmarks

Alpha (annualized)
Beta
2
R

Drawdown Analysis
Depth Length of Drawdown
(14.30%)
9 months
(6.53%)
5 months
(3.04%)
2 months

S&P500
0.56
0.30
0.62

Months to Recover
Start
End
7 months
06-2008 09-2009
0 months
04-2011
3 months
05-2010 09-2010
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HedgeCo Index Team Tel: (561) 835-8690 index@hedgeco.net http:// www.hedgeco.net
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