Advanced

The Search Continues -Problems of finding a consistent performance measure for Hedge Funds

Dominguez Berndtsson, Nils LU (2017) NEKN01 20171
Department 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:
author
Dominguez Berndtsson, Nils LU
supervisor
organization
course
NEKN01 20171
year
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},
  keyword      = {Performance Measures,Hedge funds,Spearman rank correlation,Sharpe ratio,Gini measure},
  language     = {eng},
  note         = {Student Paper},
  title        = {The Search Continues -Problems of finding a consistent performance measure for Hedge Funds},
  year         = {2017},
}