Zastosowanie miar maksymalnej straty na kapitale w badaniu efektywności funduszy hedgingowych
Application of Maximum Capital Loss Measures in Research on Hedge Funds Effectiveness
Author(s): Izabela Pruchnicka-GrabiasSubject(s): Financial Markets
Published by: Szkoła Główna Handlowa w Warszawie
Keywords: effectiveness; hedging funds; Sharpe ratio
Summary/Abstract: The paper presents research on hedge funds efficiency with such measures as Calmar ratio, Sterling ratio and Burke ratio carried out using the data from Hedge Fund Research database for 2005-2011. The aim of the study is to answer the question whether alternative efficiency measurs are really more adequate for assessing the efficiency of hedge fund investments. So far, the answer to this question is surprisingly negative.
Journal: Kwartalnik Kolegium Ekonomiczno-Społecznego „Studia i Prace”
- Issue Year: 23/2015
- Issue No: 3.3
- Page Range: 133-145
- Page Count: 14
- Language: Polish