Hedge Fund Performance: Sources and Measures
نویسندگان
چکیده
The concept of the gamma of a nanced return as the highest level of stress that a return distribution can withstand is introduced. Stress is measured by positive expectation under a concave distortion of the return distribution accessed. Four distortions introduced in Cherny and Madan (2008) are employed in studying the distribution of returns available in the hedge fund universe. It is shown that the skewness, peakedness and tailweightedness of the standardized investment return signi cantly a¤ects the Sharpe ratios required to reach a target gamma level.
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