Mặc dù các hợp đồng tương lai trở về mức ban đầu của họ, các tùy chọn bị mất hầu hết các giá trị thời gian của họ. Tổng P & L của thương mại đối với đường chân trời của nó là $ . Lưu ý rằng lợi nhuận này là đáng kể dưới đây dự đoán P & L là khoảng $ . | Introduction 13 by the square root of the number of observations per year. Equation shows the standard deviation for monthly data Ơ N y rt - r t 1 N -1 xVữ Assuming the returns of two assets are normally distributed the sum of risk of owning two assets is determined by the risk of the two assets and the covariance between the two assets. The standard deviation of a two-asset portfolio is shown in equation ƠA B -JwA A wBơB 2wAwAơA B Suppose an investor can invest in asset A which has an expected return of 10 percent or asset B which has an expected return of 9 percent. However both assets are equally risky having a standard deviation of return equal to 15 percent. The correlation between the returns of the two assets is 50 percent. The covariance is calculated from the correlation in equation ƠAB ƠAƠBPAB 15 x 15 x 50 Table is created by applying equation . The risk reduction is clear on a graphical view of Table as shown in Figure . TABLE Portfolio Return and Risk for Various Weights WA WB rA B Portfolio 100 0 90 10 80 20 70 30 60 40 50 50 40 60 30 70 20 80 10 90 0 100 14 HEDGE FUND COURSE FIGURE Risk and Reward HEDGE FUND BASICS Many investors are unfamiliar with the way a hedge fund investment behaves. In addition to having more investment latitude than traditional investment managers a hedge fund manager may charge a variety of fees and place restrictions on exit from a hedge fund. Fees Hedge funds charge a variety of fees. Other types of investment pools including mutual funds private equity funds and real estate investment trusts charge the same types of fees but the structures of the fees may differ slightly in the hedge fund industry. A management fee is charged as a flat percentage of assets under management. Hedge funds generally charge an annual management fee between 1 and 2 .
