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Does the choice of performance measure influence the evaluation of hedge funds?

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  • Eling, Martin
  • Schuhmacher, Frank

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  • Eling, Martin & Schuhmacher, Frank, 2007. "Does the choice of performance measure influence the evaluation of hedge funds?," Journal of Banking & Finance, Elsevier, vol. 31(9), pages 2632-2647, September.
    • Handle: RePEc:eee:jbfina:v:31:y:2007:i:9:p:2632-2647
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    References listed on IDEAS

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    1. Vikas Agarwal, 2004. "Risks and Portfolio Decisions Involving Hedge Funds," The Review of Financial Studies, Society for Financial Studies, vol. 17(1), pages 63-98.
    2. Christian S Pedersen & Ted Rudholm-Alfvin, 2003. "Selecting a risk-adjusted shareholder performance measure," Journal of Asset Management, Palgrave Macmillan, vol. 4(3), pages 152-172, September.
    3. Scholz Hendrik & Wilkens Marco, 2003. "Zur Relevanz von Sharpe Ratio und Treynor Ratio: Ein investorspezifisches Performancemaß," Zeitschrift für Bankrecht und Bankwirtschaft (ZBB) / Journal of Banking Law and Banking (JBB), RWS Verlag, vol. 15(1), pages 1-8, February.
    4. Amin, Gaurav S. & Kat, Harry M., 2003. "Hedge Fund Performance 1990–2000: Do the “Money Machines” Really Add Value?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 38(2), pages 251-274, June.
    5. Helyette Geman & Cécile Kharoubi, 2003. "Hedge Funds Revisited : Distributional Characteristics, Dependence Structure and Diversification," Post-Print halshs-00144363, HAL.
    6. Chamberlain, Gary, 1983. "A characterization of the distributions that imply mean--Variance utility functions," Journal of Economic Theory, Elsevier, vol. 29(1), pages 185-201, February.
    7. Dowd, Kevin, 2000. "Adjusting for risk:: An improved Sharpe ratio," International Review of Economics & Finance, Elsevier, vol. 9(3), pages 209-222, July.
    8. Carl Ackermann & Richard McEnally & David Ravenscraft, 1999. "The Performance of Hedge Funds: Risk, Return, and Incentives," Journal of Finance, American Finance Association, vol. 54(3), pages 833-874, June.
    9. Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
    10. Fung, William & Hsieh, David A., 1999. "Is mean-variance analysis applicable to hedge funds?," Economics Letters, Elsevier, vol. 62(1), pages 53-58, January.
    11. Liang, Bing, 2000. "Hedge Funds: The Living and the Dead," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 35(3), pages 309-326, September.
    12. repec:dau:papers:123456789/1385 is not listed on IDEAS
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