Interesting calculations. It would also be interesting to look at standard deviation and kurtosis. It turns out that hedge fund standard deviation is much lower than large cap US stocks but kurtosis is much higher meaning that when risk happens it is extreme. I have some data from Marc Odo, Director of Applied Research at Zephyr Associates, in my blog. He has done a lot of work in this area that you may find it useful. Here is the link:

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