Volatility cost of good performance

Analysis of the Europe ex UK offshore funds sector shows a number of funds have posted exceptionally strong returns, although most have done so at the cost of greater volatility. Of the 54 funds in the Micropal sector, the arithmetic mean return over three years to the end of January 2000 is 78.02%. The average one year return is 17.3%, the average return from February 1998 to January 1999 is 25.59% while average return from January 1997 through to January 1998 is 23.56%. The arithmetic mean of the funds in the sector shows average annualised alpha of -0.88%, a beta of 0.99%, correlation ...