Abstract
Due to the complexity and heterogeneity of hedge fund strategies, assessing
their performance is a challenging task. Reminiscent of the mutual fund industry, the literature has evolved in the direction of refining traditional
measures (e.g. the Sharpe ratio) or introducing new ones. This paper offers a new approach, based on the Principal Component Analysis (PCA), to uncover
the relevant information for performance measurement, quantify, and
combine it into a unique rank. In addition, this paper assesses the ability of each individual hedge fund to raise the efficiency of a balanced portfolio by means of an extension of the Modigliani – Modigliani index. Finally, for illustration purposes, the methodology is applied for assessing the recent performance of the nascent Italian hedge fund industry
Lingua originale | English |
---|---|
pagine (da-a) | 1-28 |
Numero di pagine | 28 |
Rivista | SSRN Electronic Journal |
DOI | |
Stato di pubblicazione | Pubblicato - 2007 |
Pubblicato esternamente | Sì |
Keywords
- Hedge Fund Ranking
- Principal Component