On the Consistency of Performance Measures for Hedge Funds

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This article presents a comparative study of ten measures documented as the most used by researchers and practitioners: Sharpe, Sortino, Calmar, Sterling, Burke, Stutzer, modified Sharpe, upside potential ratio, Omega, and AIRAP.  In examining the modifications of fund performance in terms of ranks and deciles when the performance measure changes, numerous significant modifications were observed despite strong positive correlations among fund rankings established by different measures.

Author: Huyen Nguyen-Thi Thanh, Ph.D., University of Maine (France)

This article presents a comparative study of ten measures documented as the most used by researchers and practitioners: Sharpe, Sortino, Calmar, Sterling, Burke, Stutzer, modified Sharpe, upside potential ratio, Omega, and AIRAP.  In examining the modifications of fund performance in terms of ranks and deciles when the performance measure changes, numerous significant modifications were observed despite strong positive correlations among fund rankings established by different measures.

 

On the Consistency of Performance Measures for Hedge Funds

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