Does anyone know where I could find a summary table on the skewness and kurtosis of all the strategies tested on level I ? I notice they always ask questions on it. Can anyone post the summary here ? many thanks…
Basically, except that: in HF, Short selling, Reg D, Global macro are "+"S, "+"k in PE, VC "+"S, "+"k, LBO "-"S, "-"k in Commodity, MLMI "+"S, "+"k, We can consider others strategies and Indices as "-"S, "+"k on level 1. You could note the highest/lowest skewness, kurtosis, sharp ratio and volatility as well.
thanks Lilipairs, this is very helpful. wondering if there’s a easier way to remember to historical return and adjusted return compared to S&P on all strategies ? if the question asks the highest and lowest, that’s easy, but when it’s asking relative performance, it becomes kind of tricky…