$25.00
It is widely accepted that, when return distributions are non-normal, the use of the Sharpe ratio can lead to misleading conclusions. It is also well documented that deviations of hedge fund return distributions from normality are statistically significant. The literature on performance evaluation that takes into account the non-normality of return distributions is a vast one. However, there is another stream of research that advocates that the choice of performance measure does not influence the evaluation of hedge funds.
Valeri Zakamouline, Ph.D., University of Agder
Description
It is widely accepted that, when return distributions are non-normal, the use of the Sharpe ratio can lead to misleading conclusions. It is also well documented that deviations of hedge fund return distributions from normality are statistically significant. The literature on performance evaluation that takes into account the non-normality of return distributions is a vast one. However, there is another stream of research that advocates that the choice of performance measure does not influence the evaluation of hedge funds. For example, Eling and Schuhmacher (2007) and Eling (2008) performed empirical studies and, judging by the values of rank correlations, concluded that the choice of performance measure is irrelevant. The goal of this paper is to explain the reasons for extremely high positive rank correlations in the above-cited studies and avouch the readers that the choice of performance measure does influence the evaluation of hedge funds.
Related products
-
A Modest Proposal to Modernize the Performance Evaluation of Hedge Funds
$25.00 Add to cart -
A Critical Analysis of Fund Rating Systems
$25.00 Add to cart -
A General Framework for the Business Requirements of an Investment Performance Measurement System
$25.00 Add to cart -
“A Call to Arms!” The Next Frontier for Taxable Accounts-After- tax Return Performance Attr
$25.00 Add to cart