Add to ORKGIn this paper, we conducted a comparative study of ten measures documented as the most used by researchers and practionners: Sharpe, Sortino, Calmar, Sterling, Burke, modified Stutzer, modified Sharpe, upside potential ratio, Omega and AIRAP. This study was carried out in two stages on a sample of 149 hedge funds. First, we examined the modifications of funds' relative performance in terms of ranks and deciles when the performance measure changes. Despite strong positive correlations between funds' rankings established by different measures, numerous significant modifications were observed. Second, we studied the stability/persistence of the ten measures in question. Our results show that some measures are more stable or persistent than the...
The contribution of this paper is to provide an overview and new empirical evidence on hedge fund pe...
The Sharpe ratio is widely used as a performance measure for traditional (i.e., long only) investmen...
The Sharpe ratio is widely used as a performance evaluation measure for traditional (i.e., long only...
In this paper, we conducted a comparative study of ten measures documented as the most used by resea...
The question of whether the choice of performance measure (PM) matters when evaluating Hedge funds h...
Does the Choice of Performance Measure Influence the Evaluation of Hedge Fund Indices? A centra...
The Sharpe ratio is widely used as a performance measure for traditional (i.e., long only) investmen...
This paper delves into performance measures which have recently emerged in an attempt to circumvent ...
In this thesis we test the performance of hedge funds against several fund specific variables, mainl...
We survey articles on hedge funds' performance persistence and fundamental factors from the mid-1990...
Hedge funds are still relatively unfamiliar to most investors despite the intense popularity they ha...
The studies of hedge fund performance are hindered by the lack of quality returns data and the compl...
In this study we propose the use of the performance measure distribution rather than its punctual va...
The Sharpe ratio is widely used as a performance evaluation measure for traditional (i.e., long only...
Abstract: This research study aims to further investigate the ability of hedge funds to deliver alph...
The contribution of this paper is to provide an overview and new empirical evidence on hedge fund pe...
The Sharpe ratio is widely used as a performance measure for traditional (i.e., long only) investmen...
The Sharpe ratio is widely used as a performance evaluation measure for traditional (i.e., long only...
In this paper, we conducted a comparative study of ten measures documented as the most used by resea...
The question of whether the choice of performance measure (PM) matters when evaluating Hedge funds h...
Does the Choice of Performance Measure Influence the Evaluation of Hedge Fund Indices? A centra...
The Sharpe ratio is widely used as a performance measure for traditional (i.e., long only) investmen...
This paper delves into performance measures which have recently emerged in an attempt to circumvent ...
In this thesis we test the performance of hedge funds against several fund specific variables, mainl...
We survey articles on hedge funds' performance persistence and fundamental factors from the mid-1990...
Hedge funds are still relatively unfamiliar to most investors despite the intense popularity they ha...
The studies of hedge fund performance are hindered by the lack of quality returns data and the compl...
In this study we propose the use of the performance measure distribution rather than its punctual va...
The Sharpe ratio is widely used as a performance evaluation measure for traditional (i.e., long only...
Abstract: This research study aims to further investigate the ability of hedge funds to deliver alph...
The contribution of this paper is to provide an overview and new empirical evidence on hedge fund pe...
The Sharpe ratio is widely used as a performance measure for traditional (i.e., long only) investmen...
The Sharpe ratio is widely used as a performance evaluation measure for traditional (i.e., long only...