N.B. I have added further analysis to the end of this post.

    I know I don't normally talk about mutual funds, but after All About Alpha's last article on market neutral funds, I decided to take a peak into the long/short and market neutral mutual fund world.  Here I've compiled a table with each fund's correlation to the S&P 500 and mean, variance, skewness, and kurtosis.  The numbers were all calculated on weekly log-return over the past 200 sessions.  I've also included the average Kappa ratio surface difference against the S&P 500, as described in my post about calculating Kappa Ratio Surfaces yesterday.  Finally, score is the mean Kappa ratio surface difference multiplied by the quantity 1 less the absolute value of the correlation, squared, all divided by the kurtosis (Kappa * (1-ABS(R))^2 / Kurtosis).

    Based on this ranking, it seems like the JP Morgan funds come in an easy first, followed by the Laudus Rosenberg Long/Short funds.

Edit:

    I wanted to focus more on what's happened over the last 50 days, as this was obviously the source of complaint that led to the All About Alpha article.  To do this, I calculated a few different values.  The MeanRel column is the difference in mean log-return between the past 50 sessions and the past 200 sessions - the more negative the number, the worse recent performance is relative to long-term.  StdRel, likewise, is the ratio of the standard deviation over the past 50 sessions versus the past 200 sessions - the larger the number, the more volatile the performance relative to long-term.  Score, in this case, is (1-ABS(Correlation)) * EXP(MeanRel) / StdRel, and again, the JP Morgan and Laudus Rosenberg funds win.