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Hat die Wahl des Performancemaßes einen Einfluss auf die Beurteilung von Hedgefonds-Indizes?
Eling, Martin | Schuhmacher, Frank
Credit and Capital Markets – Kredit und Kapital, Vol. 39 (2006), Iss. 3 : pp. 419–454
1 Citations (CrossRef)
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Martin Eling, St. Gallen
Frank Schuhmacher, Leipzig
Cited By
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Die Marktphasenabhängigkeit der Sharpe Ratio — Eine empirische Untersuchung für deutsche Aktienfonds
Scholz, Hendrik
Wilkens, Marco
Journal of Business Economics, Vol. 76 (2006), Iss. 12
https://doi.org/10.1007/s11573-006-0062-4 [Citations: 2]
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Abstract
Does the Choice of Performance Measure Influence the Evaluation of Hedge Fund Indices?
A central issue in the academic debate concerning hedge funds is how the performance of such funds should be measured. As hedge funds frequently generate returns that have a non-normal distribution, it is commonly believed that these funds cannot be adequately evaluated using the classic Sharpe ratio. Instead, what is recommended is the use of newer performance measures that show the risk of loss. In our empirical study of hedge fund indices, we compare the Sharpe ratio with newer approaches to measure hedge fund performance. Although the returns of the hedge fund indices deviate significant from a normal distribution, the various hedge fund strategies are ranked largely identical. We thus conclude that the choice of performance measure has no critical influence on the evaluation of hedge fund indices.