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 originale | English |
|---|---|
| Titolo della pubblicazione ospite | Cladag 2011: book of abstracts |
| Pagine | 1-4 |
| Numero di pagine | 4 |
| Stato di pubblicazione | Pubblicato - 2011 |
| Pubblicato esternamente | Sì |
| Evento | 8th Scientific Meeting
of the CLAssification and Data Analysis
Group of the Italian Statistical Society - Pavia Durata: 7 set 2011 → 9 set 2011 |
Convegno
| Convegno | 8th Scientific Meeting of the CLAssification and Data Analysis Group of the Italian Statistical Society |
|---|---|
| Città | Pavia |
| Periodo | 7/9/11 → 9/9/11 |
Keywords
- Hedge Fund Ranking
- Performance Measurement
- Portfolio Management