Conditionally fitted Sharpe performance with an application to hedge fund rating
Christian, Gourieroux; Darolles, Serge (2010), Conditionally fitted Sharpe performance with an application to hedge fund rating, Journal of Banking and Finance, 34, 3, p. 578–593. http://dx.doi.org/10.1016/j.jbankfin.2009.08.025
TypeArticle accepté pour publication ou publié
Journal nameJournal of Banking and Finance
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Abstract (EN)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.
Subjects / KeywordsHedge fund; Sharpe ratio; Fitted performance; Fund rating; Segmentation
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lq-regularization of the Kalman ﬁlter for exogenous outlier removal: application to hedge funds analysis Gouriéroux, Christian; Darolles, Serge; Jay, Emmanuelle; Duvaut, Patrick (2011) Communication / Conférence