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dc.contributor.authorVan Dyk, Francois
dc.contributor.authorVan Vuuren, Gary
dc.contributor.authorHeymans, André
dc.date.accessioned2016-08-18T06:31:45Z
dc.date.available2016-08-18T06:31:45Z
dc.date.issued2014-05
dc.identifier.citationVan Dyk, F. et al. Hedge fund performance evaluation using the sharpe and omega ratios. International Business and Economics Research Journal, 13(3):485-512. [http://journals.cluteonline.com/index.php/IBER]en_US
dc.identifier.issn1535-0754
dc.identifier.issn2157-9393 (Online)
dc.identifier.urihttp://hdl.handle.net/10394/18299
dc.identifier.urihttp://journals.cluteonline.com/index.php/IBER
dc.description.abstractThe Sharpe ratio is widely used as a performance evaluation measure for traditional (i.e., long only) investment funds as well as less-conventional funds such as hedge funds. Based on mean-variance theory, the Sharpe ratio only considers the first two moments of return distributions, so hedge funds characterised by asymmetric, highly-skewed returns with non-negligible higher moments may be misdiagnosed in terms of performance. The Sharpe ratio is also susceptible to manipulation and estimation error. These drawbacks have demonstrated the need for augmented measures, or, in some cases, replacement fund performance metrics. Over the period January 2000 to December 2011 the monthly returns of 184 international long/short (equity) hedge funds with geographical investment mandates spanning North America, Europe, and Asia were examined. This study compares results obtained using the Sharpe ratio (in which returns are assumed to be serially uncorrelated) with those obtained using a technique which does account for serial return correlation. Standard techniques for annualising Sharpe ratios, based on monthly estimators, do not account for this effect. In addition, this study assesses whether the Omega ratio supplements the Sharpe Ratio in the evaluation of hedge fund risk and thus in the investment decision-making process. The Omega and Sharpe ratios were estimated on a rolling basis to ascertain whether the Omega ratio does indeed provide useful additional information to investors to that provided by the Sharpe ratio alone.en_US
dc.language.isoenen_US
dc.publisherClute Instituteen_US
dc.subjectHedge Fundsen_US
dc.subjectOmega Ratioen_US
dc.subjectSharpe Ratioen_US
dc.subjectRisk Managementen_US
dc.titleHedge fund performance evaluation using the sharpe and omega ratiosen_US
dc.typeArticleen_US
dc.contributor.researchID12260215 - Heymans, André
dc.contributor.researchID12001333 - Van Vuuren, Gary Wayne


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