Importance Weights of Performance Ratios: Analyzing Hedge Funds by Entropy Method

Aykan Coşkun and İsrafil Zor
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Aykan Coşkun: Ministry of National Education
İsrafil Zor: Kirikkale University

Journal of Finance Letters (Maliye ve Finans Yazıları), 2022, vol. 37, issue 118, 1-12

Abstract: In this study, it is aimed to examine the importance weights of performance ratios by using the data of hedge funds operating in the January 1999-may 2019 period. In the study information, Calmar, Jensens alpha, m-square, Sharpe, Sortino and sterling ratios, which hedge fund investors expect to be high, were calculated, and the importance weights of these ratios were determined by the entropy method, which is one of the multi-criteria decision-making methods. The results show that Sortino, sterling, and Jensen’s alpha ratios have higher importance weights than other ratios.

Keywords: Performance Ratios; Entropy Method; Hedge Funds; Return; Risk (search for similar items in EconPapers)
JEL-codes: C02 G00 G10 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:acc:malfin:v:37:y:2022:i:118:p:1-12

DOI: 10.33203/mfy.1075559

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