when hedge funds publish there performance they mostly do it with some numbers like correlation to the S&P. For example: Statistics Avg. annualized return 17,34% Maximum drawdownt -20,84% Standard Deviation (annual) 25,27% Correlation S&P - 0.120 Correlation MSCI World - 0.116 My question is how to calculate the correlation to S&P. There are many ways to calculate correlation but which one is used for hedgefunds or private equity curves. thanks for help.