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The low return distortion of the Sharpe ratio
Auer, Benjamin R. - In: Financial markets and portfolio management 27 (2013) 3, pp. 299-306
Persistent link: https://www.econbiz.de/10009780275
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Hedge fund performance using scaled Sharpe and Treynor measures
Van Dyk, François; Van Vuuren, Gary; Heymans, André - In: International business and economics research journal 13 (2014) 6, pp. 1261-1300
Persistent link: https://www.econbiz.de/10011279837
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Essays on financial performance measurement
Faust, Roger - 2010
Hedge-Fonds aktiv in Emerging Markets. Da der Einsatz von Leerverkäufen und Derivaten in den meisten Emerging Markets … begrenzt ist, ist es fraglich, ob Hedge-Fonds, insbesondere im Vergleich zu traditionellen Mutual-Fonds aktiv in diesen Märkten … Performance Messung. Unsere Ergebnisse deuten darauf hin, dass einige Hedge-Fonds positive Alphas generieren, während die meisten …
Persistent link: https://www.econbiz.de/10008989166
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The Sharpe ratio's market climate bias : theoretical and empirical evidence from US equity mutual funds
Krimm, Sebastian; Scholz, Hendrik; Wilkens, Marco - In: The journal of asset management 13 (2012) 4, pp. 227-242
Persistent link: https://www.econbiz.de/10009630245
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The statistics of capture ratios
Jiang, Ruihong; Saunders, David M.; Weng, Chengguo - In: Journal of risk 25 (2022) 1, pp. 75-110
Persistent link: https://www.econbiz.de/10013549682
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Testing equality of modified Sharpe ratios
Ardia, David; Boudt, Kris - In: Finance research letters 13 (2015), pp. 97-104
Persistent link: https://www.econbiz.de/10011552416
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Performance characteristics of hedge fund indices
Kapil, Sheeba; Gupta, Jayesh - In: Theoretical economics letters 9 (2019) 6, pp. 2176-2197
Persistent link: https://www.econbiz.de/10012241398
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An Omega ratio analysis of global hedge fund returns
Rambo, James; Van Vuuren, Gary - In: The journal of applied business research 33 (2017) 3, pp. 565-585
Persistent link: https://www.econbiz.de/10011705695
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The bias ratio as a hedge fund fraud indicator : an empirical performance study under different economic conditions
Van Dyk, François; Van Vuuren, Gary; Heymans, André - In: International business and economics research journal 13 (2014) 4, pp. 867-896
Persistent link: https://www.econbiz.de/10010393444
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Dynamic versus static optimization of hedge fund portfolios : the relevance of performance measures
Hentati, Rania; Kaffel, Ameur; Prigent, Jean-Luc - In: International journal of business 15 (2010) 1, pp. 1-17
Persistent link: https://www.econbiz.de/10003956604