how to calculate correlation to s&P

Discussion in 'Professional Trading' started by moonwalker, Sep 27, 2002.

  1. when hedge funds publish there performance they mostly do it with some numbers like correlation to the S&P.

    For example:

    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.