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Traditional Versus Alternative Risk Measures in Hedge Fund Investment Efficiency

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Book cover Recent Studies on Risk Analysis and Statistical Modeling

Part of the book series: Contributions to Statistics ((CONTRIB.STAT.))

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Abstract

The author presents results of the research conducted for hedge funds for the period of 1990–2014. They were divided into ten investment strategies and net asset values calculated for indexes created for them were used. Chosen alternative risk-return ratios (Calmar, Sterling and Burke ratio) were calculated and their values were compared with the Sharpe ratio for the same period of time. The main conclusion is that these alternative measures give different results from the traditional Sharpe ratio, that is hedge fund rankings made with these two kinds of measures are not the same. This in turn indicates that arguments of opponents of using traditional efficiency ratios in the hedge fund analysis may not be exaggerated.

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Author information

Authors and Affiliations

  1. Warsaw School of Economics, Institute of Banking, Warsaw, Poland

    Izabela Pruchnicka-Grabias

Authors
  1. Izabela Pruchnicka-Grabias
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Correspondence to Izabela Pruchnicka-Grabias .

Editor information

Editors and Affiliations

  1. Universidade Aberta, Lisboa, Portugal

    Teresa A. Oliveira

  2. Department of Informatics, Technological Educational Institute of Athens, Egaleo, Greece

    Christos P. Kitsos

  3. Universidade Aberta, Lisboa, Portugal

    Amílcar Oliveira

  4. Unidade Dept de Matematica e Fisica, Instituto Politécnico de Tomar, Tomar, Portugal

    Luís Grilo

Appendix

Appendix

See Figs. 2 and 3.

Fig. 2
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Fig. 3
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Pruchnicka-Grabias, I. (2018). Traditional Versus Alternative Risk Measures in Hedge Fund Investment Efficiency. In: Oliveira, T., Kitsos, C., Oliveira, A., Grilo, L. (eds) Recent Studies on Risk Analysis and Statistical Modeling. Contributions to Statistics. Springer, Cham. https://doi.org/10.1007/978-3-319-76605-8_3

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