The Performance Measurement of Generalized Sharpe Ratio and Economic Performance Measure: A Hedge Funds Example

نویسندگان

چکیده

Prior literature documents that the Sharpe ratio (SR) generates biases in performance evaluation if returns distribution deviates from normal because SR is derived under mean-variance model with strict assumption of either quadratic preferences or customarily distributed returns. When return distributions deviate normality, it may lead to unreasonable results. Therefore, this study examines which measurement approaches are efficient for non-normality on asset We collect monthly 14 Credit Suisse (CS) hedges fund indexes April 1994 June 2021. The hedge index exhibit high negative skewness positive kurtosis, implying non-normal distribution. Then, we employ and two measures, extend ratio, generalized (GSR), economic measure (EPM), evaluate performances funds. In addition, both nonparametric parametric estimation methods GSR EPM utilized. Our findings indicate produce more similar rankings than SR. Among three EPM, only method proposed by [1] produces EPM. Finally, our contributes practical approach managers their efficiently.

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ژورنال

عنوان ژورنال: Universal journal of accounting and finance

سال: 2022

ISSN: ['2331-9712', '2331-9720']

DOI: https://doi.org/10.13189/ujaf.2022.100113