Consider the following table of monthly returns for a hedge…
Consider the following table of monthly returns for a hedge fund and an index portfolio. For the purpose of computation, the hurdle rate is the U.S. T-bill rate, assumed to be 6 percent per year. RETURNS (%) MONTH Hedge Fund INDEX January 3.5% 2.4% February 4.0% 3.0% March – 2.0% -1.6% April -2.0% -1.0% May 1.0% 0.2% June 1.0% 1.0% What is the arithmetic average rolling returns for the hedge fund if the investor’s investment horizon is four months?