A Correction for Classic Performance Measures

Gatfaoui, Hayette

doi:10.2139/ssrn.1237503

Cited by 3 publications

(11 citation statements)

References 39 publications

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“…Hedge funds are commonly weighed against passive benchmark 42 indices, 43 even though hedge funds (particularly long/short strategy funds) are absolute investments. The data on the passive market benchmark indices were sourced from Bloomberg, whereas hedge fund benchmark indices were sourced from Eurekahedge, Hedge Fund Research (HFR), and Barclahedge.…”

Section: Copyright By Author(s); Cc-by 1272 the Clute Institutementioning

confidence: 99%

“…The methodology used in this study is based on the ratio scaling methodology by Gatfaoui (2012) while this study also builds upon and differentiates itself from the prior research in the following manners:…”

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confidence: 99%

“…A (36-month) rolling (geometric) analysis period is used compared to the static (month-by-month) methodology of Gatfaoui (2012). …”

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confidence: 99%

“…The data time-series include periods from pre, during and post the recent financial crisis, compared to the research data by Gatfaoui (2012) that only include the periods pre and during the crisis. …”

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confidence: 99%

“…The ratio analysis and comparisons are performed on 'live' individual hedge funds as well as market and hedge fund indices from four geographical investment mandates. The comparative ratio analysis by Gatfaoui (2012) focuses solely on various hedge fund strategy-applicable market indices.…”

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confidence: 99%

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Hedge Fund Performance Using Scaled Sharpe And Treynor Measures

Dyk¹,

Vuuren²,

Heymans³

2014

IBER

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The Sharpe ratio is widely used as a performance measure for traditional (i.e., long only) investment funds, but because it is based on mean-variance theory, it only considers the first two moments of a return distribution. It is, therefore, not suited for evaluating funds characterised by complex, asymmetric, highly-skewed return distributions such as hedge funds. It is also susceptible to manipulation and estimation error. These drawbacks have demonstrated the need for new and additional fund performance metrics. The monthly returns of 184 international long/short (equity) hedge funds from four geographical investment mandates were examined over an 11-year period.This study contributes to recent research on alternative performance measures to the Sharpe ratio and specifically assesses whether a scaled-version of the classic Sharpe ratio should augment the use of the Sharpe ratio when evaluating hedge fund risk and in the investment decision-making process. A scaled Treynor ratio is also compared to the traditional Treynor ratio. The classic and scaled versions of the Sharpe and Treynor ratios were estimated on a 36-month rolling basis to ascertain whether the scaled ratios do indeed provide useful additional information to investors to that provided solely by the classic, non-scaled ratios.

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Section: Copyright By Author(s); Cc-by 1272 the Clute Institutementioning

confidence: 99%

mentioning

confidence: 99%

“…A (36-month) rolling (geometric) analysis period is used compared to the static (month-by-month) methodology of Gatfaoui (2012). …”

mentioning

confidence: 99%

mentioning

confidence: 99%

mentioning

confidence: 99%

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Hedge Fund Performance Using Scaled Sharpe And Treynor Measures

Dyk¹,

Vuuren²,

Heymans³

2014

IBER

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Establishing The Relative Competitiveness Of South African Banking Shares: A Kalman Filter Approach

Heerden¹,

Vuuren²

2015

JABR

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<p>It is argued that the Basel III Accord will undermine the ROE of South African banks, and with the downgrading of South African banks during August 2014, will force investors to revaluate South African banking shares as attractive investment options. However, results from the Sharpe and Omega ratios, based on returns forecast using the Kalman filter, accentuate the likelihood that the South African industry can still be expected to be a competitive and feasible investment option after the downgrade. Evidence suggests that Capitec Bank Holdings Limited and Standard Bank Group Limited will perform the worst of all the South African banks, whereas FirstRand Limited, Investec Limited, and Barclays African Group will exhibit more promise in the future, outperforming world indices, such as the DAX, FTSE 100 and the S&P 500.</p>

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Deviation from Normality and Sharpe Ratio Behavior: A Brief Simulation Study

Gatfaoui

2009

SSRN Journal

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A Correction for Classic Performance Measures

Cited by 3 publications

References 39 publications

Hedge Fund Performance Using Scaled Sharpe And Treynor Measures

Hedge Fund Performance Using Scaled Sharpe And Treynor Measures

Establishing The Relative Competitiveness Of South African Banking Shares: A Kalman Filter Approach

Deviation from Normality and Sharpe Ratio Behavior: A Brief Simulation Study

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