Abstract
The author presents results of the research conducted for hedge funds for the period of 1990–2014. They were divided into ten investment strategies and net asset values calculated for indexes created for them were used. Chosen alternative risk-return ratios (Calmar, Sterling and Burke ratio) were calculated and their values were compared with the Sharpe ratio for the same period of time. The main conclusion is that these alternative measures give different results from the traditional Sharpe ratio, that is hedge fund rankings made with these two kinds of measures are not the same. This in turn indicates that arguments of opponents of using traditional efficiency ratios in the hedge fund analysis may not be exaggerated.
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Pruchnicka-Grabias, I. (2018). Traditional Versus Alternative Risk Measures in Hedge Fund Investment Efficiency. In: Oliveira, T., Kitsos, C., Oliveira, A., Grilo, L. (eds) Recent Studies on Risk Analysis and Statistical Modeling. Contributions to Statistics. Springer, Cham. https://doi.org/10.1007/978-3-319-76605-8_3
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