Mutual funds ranking: An application to the Italian hedge funds industry

Riccardo Bramante

Risultato della ricerca: Contributo in libroContributo a convegno

Abstract

Due to the complexity and heterogeneity of hedge fund strategies, the evaluation of their performance and risk is a challenging task. Starting from the standard 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 develops an approach, based on the Principal Component Analysis, to uncover the relevant information for performance measurement and combine it into a unique rank.
Lingua originaleEnglish
Titolo della pubblicazione ospiteCladag 2011: book of abstracts
Pagine1-4
Numero di pagine4
Stato di pubblicazionePubblicato - 2011
Evento8th Scientific Meeting of the CLAssification and Data Analysis Group of the Italian Statistical Society - Pavia
Durata: 7 set 20119 set 2011

Convegno

Convegno8th Scientific Meeting of the CLAssification and Data Analysis Group of the Italian Statistical Society
CittàPavia
Periodo7/9/119/9/11

Keywords

  • Hedge Fund Ranking
  • Performance Measurement
  • Portfolio Management

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