IDEAS home Printed from https://ideas.repec.org/a/acc/malfin/v37y2022i118p1-12.html
   My bibliography  Save this article

Importance Weights Of Performance Ratios: Analyzing Hedge Funds By Entropy Method

Author

Listed:
  • Aykan Coşkun

    (Ministry of National Education)

  • İsrafil Zor

    (Kirikkale University)

Abstract

In this study, it is aimed to examine the importance weights of performance ratios by using the data of hedge funds operating in the January 1999-may 2019 period. In the study information, Calmar, Jensens alpha, m-square, Sharpe, Sortino and sterling ratios, which hedge fund investors expect to be high, were calculated, and the importance weights of these ratios were determined by the entropy method, which is one of the multi-criteria decision-making methods. The results show that Sortino, sterling, and Jensen’s alpha ratios have higher importance weights than other ratios.

Suggested Citation

  • Aykan Coşkun & İsrafil Zor, 2022. "Importance Weights Of Performance Ratios: Analyzing Hedge Funds By Entropy Method," Journal of Finance Letters (Maliye ve Finans Yazıları), Maliye ve Finans Yazıları Yayıncılık Ltd. Şti., vol. 37(118), pages 1-12, October.
    • Handle: RePEc:acc:malfin:v:37:y:2022:i:118:p:1-12
    DOI: https://doi.org/10.33203/mfy.1075559
    as

    Download full text from publisher

    File URL: https://dergipark.org.tr/en/download/article-file/2261481
    Download Restriction: no
    File URL: https://libkey.io/https://doi.org/10.33203/mfy.1075559?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Keywords

    Performance Ratios; Entropy Method; Hedge Funds; Return; Risk;
    All these keywords.

    JEL classification:

    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • G00 - Financial Economics - - General - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:acc:malfin:v:37:y:2022:i:118:p:1-12. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Süleyman Kale (email available below). General contact details of provider: https://dergipark.org.tr/en/pub/mfy .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.