Assessing Hedge Fund Performance: Does the Choice of Measures Matter?

Huyen Nguyen-Thi-Thanh (1, 2, 3)

1 Groupe Sup de Co La Rochelle
2 LEO - Laboratoire d'économie d'Orleans [2008-2011]
3 LR-MOS - La Rochelle - Management, Organisation & Société

In this paper, we conducted a comparative study of ten measures documented as the most used by researchers and practionners: Sharpe, Sortino, Calmar, Sterling, Burke, modified Stutzer, modified Sharpe, upside potential ratio, Omega and AIRAP. This study was carried out in two stages on a sample of 149 hedge funds. First, we examined the modifications of funds' relative performance in terms of ranks and deciles when the performance measure changes. Despite strong positive correlations between funds' rankings established by different measures, numerous significant modifications were observed. Second, we studied the stability/persistence of the ten measures in question. Our results show that some measures are more stable or persistent than the others in measuring hedge fund performance.

Mots clés: hedge funds; performance evaluation; performance measure; Sharpe ratio

Domaines: Gestion et management

Huyen Nguyen-Thi-Thanh. Assessing Hedge Fund Performance: Does the Choice of Measures Matter?. 2007. ⟨halshs-00184814⟩