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Conditionally fitted Sharpe performance with an application to hedge fund rating

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SSRN-id1151834.pdf (377.5Kb)
Date
2010-03
Indexation documentaire
Organisation et finances d'entreprise
Subject
Hedge fund; Sharpe ratio; Fitted performance; Fund rating; Segmentation
Code JEL
G11
Nom de la revue
Journal of Banking and Finance
Volume
34
Numéro
3
Date de publication
03-2010
Pages article
578–593
Nom de l'éditeur
Elsevier
DOI
http://dx.doi.org/10.1016/j.jbankfin.2009.08.025
URI
https://basepub.dauphine.fr/handle/123456789/9108
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Auteur
Christian, Gourieroux
Darolles, Serge
Type
Article accepté pour publication ou publié
Résumé en anglais
We define a battery of Sharpe performance measures, which differ by the information taken into account in their computation, but also by the potential use of the fund by the investor. Four advantages of Sharpe performance based rating are especially important for the investor. First, the performance measures correspond to the standard measures used for mutual funds and known by retail investors. Second, we can compare the numerical results, even if they are obtained with different assumptions. Third, the rankings are based on regression analysis and easy to compute. Fourth, we can easily use these performance measures in the design of an optimal basket of hedge funds. Finally, we can use the performance measures to partition the set of funds into homogenous segments.

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