In Risk September 2006, page 70, it was stated that the average return for Harris Alternatives was 12.9% with a standard deviation of 4.6% during the first half of 2006. Those statistics, in fact, refer to the period from January 1988 to June 30, 2006. In fact, the average return for the first half was 3.91%. The company did not release the standard deviation figure for this period.
In Risk October 2006, page 43, dealers in fact estimate that around EUR5 million-10 million in vega of