when hedge funds publish there performance they mostly do it with some numbers like correlation to the S&P.
For example:
Statistics
Avg. annualized return 17,34%
Maximum drawdownt -20,84%
Standard Deviation (annual) 25,27%
Correlation S&P - 0.120
Correlation MSCI World - 0.116
My question is how to calculate the correlation to S&P.
There are many ways to calculate correlation but which one is used for hedgefunds or private equity curves.
thanks for help.
For example:
Statistics
Avg. annualized return 17,34%
Maximum drawdownt -20,84%
Standard Deviation (annual) 25,27%
Correlation S&P - 0.120
Correlation MSCI World - 0.116
My question is how to calculate the correlation to S&P.
There are many ways to calculate correlation but which one is used for hedgefunds or private equity curves.
thanks for help.