$25.00
While the main focus of this article is a style analysis of hedge fund strategy in terms of performance measurement, the main point in this paper is to find out what kind of hedge fund strategy will be most suitable for both risk-averse and risk-seeking investors when the normal distribution of return in hedge funds is not valid. The author uses a skewness/kurtosis ratio in order to contribute to the accuracy of performance measurement and proposes a new ratio (prospect ratio) to replace the existing Sharpe and Sortino ratios.
Author: Yasuaki Watanabe, Ph.D.
Description
While the main focus of this article is a style analysis of hedge fund strategy in terms of performance measurement, the main point in this paper is to find out what kind of hedge fund strategy will be most suitable for both risk-averse and risk-seeking investors when the normal distribution of return in hedge funds is not valid. The author uses a skewness/kurtosis ratio in order to contribute to the accuracy of performance measurement and proposes a new ratio (prospect ratio) to replace the existing Sharpe and Sortino ratios.
Is Sharpe Ratio Still Effective?
Related products
-
A General Approach for Linking Arithmetic Attribution Results Over Time
$25.00 Add to cart -
A Comparison of GIPS and the AIMR-PPS
$5.00 Add to cart -
A New Approach to the Decomposition of Yield Curve Movements for Fixed Income Attribution
$25.00 Add to cart -
A Framework for Multiple Currency Fixed Income Attribution
$25.00 Add to cart