The Search Continues -Problems of finding a consistent performance measure for Hedge Funds
(2017) NEKN01 20171Department of Economics
- Abstract (Swedish)
- The question of whether the choice of performance measure (PM) matters when evaluating Hedge funds has for a long time been subject to debate . This study explores the same question with a sample of individual monthly data from 669 Hedge Funds over a 10 year period. The standard rank correlation tests usually applied when studying the topic yield weaker correlations between the PM:s in our study than in earlier studies. This indicates that the choice of Performance Measure does indeed matter when evaluating Hedge Funds, and maybe also that the canonical performance measure is yet to be found.
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/8925258
- author
- Dominguez Berndtsson, Nils LU
- supervisor
- organization
- course
- NEKN01 20171
- year
- 2017
- type
- H1 - Master's Degree (One Year)
- subject
- keywords
- Performance Measures, Hedge funds, Spearman rank correlation, Sharpe ratio, Gini measure
- language
- English
- id
- 8925258
- date added to LUP
- 2017-09-12 11:54:38
- date last changed
- 2017-09-12 11:54:38
@misc{8925258, abstract = {{The question of whether the choice of performance measure (PM) matters when evaluating Hedge funds has for a long time been subject to debate . This study explores the same question with a sample of individual monthly data from 669 Hedge Funds over a 10 year period. The standard rank correlation tests usually applied when studying the topic yield weaker correlations between the PM:s in our study than in earlier studies. This indicates that the choice of Performance Measure does indeed matter when evaluating Hedge Funds, and maybe also that the canonical performance measure is yet to be found.}}, author = {{Dominguez Berndtsson, Nils}}, language = {{eng}}, note = {{Student Paper}}, title = {{The Search Continues -Problems of finding a consistent performance measure for Hedge Funds}}, year = {{2017}}, }