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Chapter 4 - Long/Short Equity > 4.8 STRATEGY’S HISTORICAL PERFORMANCE ANALYSIS
4.8 STRATEGY’S HISTORICAL PERFORMANCE ANALYSIS
Let us analyze the historical behavior of the long/short equity strategy based on the monthly returns of the CS/Tremont Long/Short Equity Index. Again, the past performance of a given investment is not necessarily indicative of a future return for the same investment. Still, we believe it is useful to examine historical data to understand which scenarios are favorable to this strategy and which are not.
The statistical analysis of the CS/Tremont Long/Short Equity Index data between 1994 and 2004 produces the results shown in Table 4.1.
Historically, the CS/Tremont Long/Short Equity index had an annualized average performance of +12.2% with a monthly annualized volatility of 10.6% against a performance of world equity markets of +6.3% with a volatility of 14.2%. The correlation between CS/Tremont Long/Short Equity and the MSCI World Index is +0.61, a positive and significant correlation.
