The performance of hedge fund indices
نویسندگان
چکیده
منابع مشابه
Performance Measurement of Hedge Fund Indices - Does the Measure Matter?
Performance measurement is an integral part of investment analysis and risk management. The goal of performance measurement is to build a ranking of different investments on the basis of risk-adjusted returns in order to evaluate the relative success of these investments. The Sharpe Ratio is the best-known measure of this type. It considers the first two moments of the return distribution (expe...
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The concept of the gamma of a nanced return as the highest level of stress that a return distribution can withstand is introduced. Stress is measured by positive expectation under a concave distortion of the return distribution accessed. Four distortions introduced in Cherny and Madan (2008) are employed in studying the distribution of returns available in the hedge fund universe. It is shown ...
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ژورنال
عنوان ژورنال: Borsa Istanbul Review
سال: 2013
ISSN: 2214-8450
DOI: 10.1016/j.bir.2013.10.007