An update on the performance of my Mom's investment in an Aletheia fund. I have monthly data now from June 2008 to November 2009. Not a lot of datapoints but this provides a stress test during the GFC. As this fund is invested in US stocks I use the S&P 500 total return index as the market portfolio. Beta is 1.26 and alpha is -0.06% annually over this period. R-Squared is 0.79. In other words this is pretty close to a levered version of the index. Before we invested the fund had a highly positive alpha. It's reassuring to find that at least it doesn't now have a negative alpha!
I'm thinking of doing a longer term analysis. The fund releases quarterly performance data but this might not reflect the level of fees that we are actually paying while this monthly data does, so I'm not sure how useful that would be.
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