Conditionally fitted Sharpe performance with an application to hedge fund rating

Serge Darolles () and Christian Gourieroux
Additional contact information
Serge Darolles: DRM-Finance - DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique
Christian Gourieroux: CREST - Centre de Recherche en Économie et Statistique - ENSAI - Ecole Nationale de la Statistique et de l'Analyse de l'Information [Bruz] - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - ENSAE Paris - École Nationale de la Statistique et de l'Administration Économique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique

Post-Print from HAL

Abstract: 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.

Keywords: Hedge fund; Sharpe ratio; Fitted performance; Fund rating; Segmentation (search for similar items in EconPapers)
Date: 2010-06-01
References: Add references at CitEc
Citations: View citations in EconPapers (19)

Published in Journal of Banking and Finance, 2010, 34, pp.578-593. ⟨10.1016/j.jbankfin.2009.08.025⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00677727

DOI: 10.1016/j.jbankfin.2009.08.025

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().