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

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Cited by:

  1. Amporn SOONGSWANG & Yosawee SANOHDONTREE, 2011. "Equity Mutual Fund: Performances, Persistence and Fund Rankings," Journal of Knowledge Management, Economics and Information Technology, ScientificPapers.org, vol. 1(6), pages 1-27, October.
  2. Wolfgang Bessler & Julian Holler & Philipp Kurmann, 2012. "Hedge funds and optimal asset allocation: Bayesian expectations and spanning tests," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(1), pages 109-141, March.
  3. Thonifho Pollen Muridili & Ruschelle Sgammini & Sune Ferreira-Schenk & John George Jansen van Rensburg & Daniel Mokatsanyane, 2022. "The Impact of Covid-19 on the Performance of Hedge Funds Compared to Mutual Funds in South Africa," International Journal of Economics and Financial Issues, Econjournals, vol. 12(6), pages 133-144, November.
  4. Adriano Koshiyama & Sebastian Flennerhag & Stefano B. Blumberg & Nick Firoozye & Philip Treleaven, 2020. "QuantNet: Transferring Learning Across Systematic Trading Strategies," Papers 2004.03445, arXiv.org, revised Jun 2020.
  5. Silvio John Camilleri & Ritienne Farrugia, 2018. "The Risk-Adjusted Performance of Alternative Investment Funds and UCITS: A Comparative Analysis," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 10(7), pages 1-23, July.
  6. Caporin, Massimiliano & Costola, Michele & Jannin, Gregory & Maillet, Bertrand, 2018. "“On the (Ab)use of Omega?”," Journal of Empirical Finance, Elsevier, vol. 46(C), pages 11-33.
  7. Brandouy, Olivier & Briec, Walter & Kerstens, Kristiaan & Van de Woestyne, Ignace, 2010. "Portfolio performance gauging in discrete time using a Luenberger productivity indicator," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1899-1910, August.
  8. Jamie Alcock & John Glascock & Eva Steiner, 2013. "Manipulation in U.S. REIT Investment Performance Evaluation: Empirical Evidence," The Journal of Real Estate Finance and Economics, Springer, vol. 47(3), pages 434-465, October.
  9. Ledoit, Oliver & Wolf, Michael, 2008. "Robust performance hypothesis testing with the Sharpe ratio," Journal of Empirical Finance, Elsevier, vol. 15(5), pages 850-859, December.
  10. Hamidi, Benjamin & Maillet, Bertrand & Prigent, Jean-Luc, 2014. "A dynamic autoregressive expectile for time-invariant portfolio protection strategies," Journal of Economic Dynamics and Control, Elsevier, vol. 46(C), pages 1-29.
  11. Pirgaip, Burak & Arslan-Ayaydin, Özgür & Karan, Mehmet Baha, 2021. "Do Sukuk provide diversification benefits to conventional bond investors? Evidence from Turkey," Global Finance Journal, Elsevier, vol. 50(C).
  12. Hayette Gatfaoui, 2010. "Deviation from normality and Sharpe ratio behavior: a brief simulation study," Post-Print hal-00568613, HAL.
  13. Michael Busack & Wolfgang Drobetz & Jan Tille, 2017. "Can investors benefit from the performance of alternative UCITS funds?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 31(1), pages 69-111, February.
  14. Canepa, Alessandra & de la O. González, María & Skinner, Frank S., 2020. "Hedge fund strategies: A non-parametric analysis," International Review of Financial Analysis, Elsevier, vol. 67(C).
  15. Ding, Bill & Shawky, Hany A. & Tian, Jianbo, 2009. "Liquidity shocks, size and the relative performance of hedge fund strategies," Journal of Banking & Finance, Elsevier, vol. 33(5), pages 883-891, May.
  16. Liu, Ming-Yu & Chuang, Wen-I & Lo, Chien-Ling, 2021. "Options-implied information and the momentum cycle," Journal of Financial Markets, Elsevier, vol. 53(C).
  17. León, Angel & Navarro, Lluís & Nieto, Belén, 2019. "Screening rules and portfolio performance," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 642-662.
  18. U D Kumar & A B Roy & H Saranga & K Singal, 2010. "Analysis of hedge fund strategies using slack-based DEA models," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 61(12), pages 1746-1760, December.
  19. Eling, Martin & Faust, Roger, 2010. "The performance of hedge funds and mutual funds in emerging markets," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1993-2009, August.
  20. Czaja, Daniel & Röder, Florian, 2020. "Self-attribution bias and overconfidence among nonprofessional traders," The Quarterly Review of Economics and Finance, Elsevier, vol. 78(C), pages 186-198.
  21. Claudio Giannotti & Gianluca Mattarocci, 2013. "The Role of Risk Measures Choices in Ranking Real Estate Funds: Evidence from the Italian Market," Palgrave Macmillan Studies in Banking and Financial Institutions, in: Alessandro Carretta & Gianluca Mattarocci (ed.), Asset Pricing, Real Estate and Public Finance over the Crisis, chapter 10, pages 165-189, Palgrave Macmillan.
  22. Jiro Hodoshima & Toshiyuki Yamawake, 2021. "Sensitivity of Performance Indexes to Disaster Risk," Risks, MDPI, vol. 9(2), pages 1-22, February.
  23. Benjamin R. Auer & Benjamin Mögel, 2016. "How Accurate are Modern Value-at-Risk Estimators Derived from Extreme Value Theory?," CESifo Working Paper Series 6288, CESifo.
  24. Anlan Wang & Aleš Kresta & Tomáš Tichý, 2024. "Evaluation of strategy portfolios," Computational Management Science, Springer, vol. 21(1), pages 1-27, June.
  25. Seitz, Franz & Auer, Benjamin R., 2008. "Performancemessung: Theoretische Maße und empirische Umsetzung mit VBA," Weidener Diskussionspapiere 12, University of Applied Sciences Amberg-Weiden (OTH).
  26. Benjamin R. Auer, 2016. "Do Socially Responsible Investment Policies Add or Destroy European Stock Portfolio Value?," Journal of Business Ethics, Springer, vol. 135(2), pages 381-397, May.
  27. James L. Kuhle & Eric C. Lin, 2018. "Evaluating Real Estate Mutual Fund Performance Using The Morningstar Upside/Downside Capture Ratio," Global Journal of Business Research, The Institute for Business and Finance Research, vol. 12(1), pages 15-22.
  28. Dombrowski, Niclas & Drobetz, Wolfgang & Momtaz, Paul P., 2023. "Performance measurement of crypto funds," Economics Letters, Elsevier, vol. 228(C).
  29. Lassance, Nathan, 2022. "Reconciling mean-variance portfolio theory with non-Gaussian returns," European Journal of Operational Research, Elsevier, vol. 297(2), pages 729-740.
  30. Xu Guo & Cuizhen Niu & Wing-Keung Wong, 2019. "Farinelli and Tibiletti ratio and stochastic dominance," Risk Management, Palgrave Macmillan, vol. 21(3), pages 201-213, September.
  31. Kerstens, Kristiaan & Mazza, Paolo & Ren, Tiantian & Van de Woestyne, Ignace, 2022. "Multi-Time and Multi-Moment Nonparametric Frontier-Based Fund Rating: Proposal and Buy-and-Hold Backtesting Strategy," Omega, Elsevier, vol. 113(C).
  32. Daniel Chiew & Judy Qiu & Sirimon Treepongkaruna & Jiping Yang & Chenxiao Shi, 2019. "The predictive ability of the expected utility-entropy based fund rating approach: A comparison investigation with Morningstar ratings in US," PLOS ONE, Public Library of Science, vol. 14(4), pages 1-22, April.
  33. Martin Eling, 2006. "Performance measurement of hedge funds using data envelopment analysis," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 20(4), pages 442-471, December.
  34. Yang, Fan & Havranek, Tomas & Irsova, Zuzana & Novak, Jiri, 2022. "Hedge Fund Performance: A Quantitative Survey," EconStor Preprints 260612, ZBW - Leibniz Information Centre for Economics.
  35. Juan Carlos Matallín-Sáez & Amparo Soler-Domínguez & Emili Tortosa-Ausina, 2019. "Does active management add value? New evidence from a quantile regression approach," Journal of the Operational Research Society, Taylor & Francis Journals, vol. 70(10), pages 1734-1751, October.
  36. Francis In & Sangbae Kim, 2012. "An Introduction to Wavelet Theory in Finance:A Wavelet Multiscale Approach," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8431, January.
  37. Amparo Soler Domínguez & Juan Carlos Matallín Sáez & Emili Tortosa Ausina, 2011. "On the informativeness of persistence for mutual funds' performance evaluation using partial frontiers," Working Papers. Serie EC 2011-08, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  38. Tavakoli Baghdadabad, Mohammad Reza, 2014. "Average drawdown risk reduction and risk tolerances," Research in Economics, Elsevier, vol. 68(3), pages 264-276.
  39. Chin, Leong Choong & Sek, Siok Kun & Tan, Yee Theng, 2018. "A Sectorial Performance Analysis of Kuala Lumpur Stock Exchange (KLSE, Bursa Malaysia)," MPRA Paper 90148, University Library of Munich, Germany.
  40. Bredin, Don & Conlon, Thomas & Potì, Valerio, 2017. "The price of shelter - Downside risk reduction with precious metals," International Review of Financial Analysis, Elsevier, vol. 49(C), pages 48-58.
  41. Homm, Ulrich & Pigorsch, Christian, 2012. "Beyond the Sharpe ratio: An application of the Aumann–Serrano index to performance measurement," Journal of Banking & Finance, Elsevier, vol. 36(8), pages 2274-2284.
  42. Penaranda, Francisco, 2007. "Portfolio choice beyond the traditional approach," LSE Research Online Documents on Economics 24481, London School of Economics and Political Science, LSE Library.
  43. A. Hoffmann, 2012. "Determinants of carry trades in Central and Eastern Europe," Applied Financial Economics, Taylor & Francis Journals, vol. 22(18), pages 1479-1490, September.
  44. Stadtmüller, Immo & Auer, Benjamin R. & Schuhmacher, Frank, 2022. "On the benefits of active stock selection strategies for diversified investors," The Quarterly Review of Economics and Finance, Elsevier, vol. 85(C), pages 342-354.
  45. Billio, Monica & Caporin, Massimiliano & Costola, Michele, 2015. "Backward/forward optimal combination of performance measures for equity screening," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 63-83.
  46. Carole Bernard & Massimiliano Caporin & Bertrand Maillet & Xiang Zhang, 2023. "Omega Compatibility: A Meta-analysis," Computational Economics, Springer;Society for Computational Economics, vol. 62(2), pages 493-526, August.
  47. Maria-Teresa Bosch-Badia & Joan Montllor-Serrats & Maria-Antonia Tarrazon-Rodon, 2017. "Analysing the information embedded in the optimal mean–variance weights: CAPM versus Bamberg and Dorfleitner model," Review of Managerial Science, Springer, vol. 11(4), pages 789-814, October.
  48. Eero J. Pätäri & Ville Karell & Pasi Luukka, 2016. "Can size-, industry-, and leverage-adjustment of valuation ratios benefit the value investor?," International Journal of Business Innovation and Research, Inderscience Enterprises Ltd, vol. 11(1), pages 76-109.
  49. Grose, Chris & Dasilas, Apostolos & Alexakis, Christos, 2014. "Performance persistence in fixed interest funds: With an eye on the post-debt crisis period," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 155-182.
  50. Auer, Benjamin R. & Schuhmacher, Frank, 2016. "Do socially (ir)responsible investments pay? New evidence from international ESG data," The Quarterly Review of Economics and Finance, Elsevier, vol. 59(C), pages 51-62.
  51. Bussière, Matthieu & Hoerova, Marie & Klaus, Benjamin, 2015. "Commonality in hedge fund returns: Driving factors and implications," Journal of Banking & Finance, Elsevier, vol. 54(C), pages 266-280.
  52. Lassance, Nathan & Vrins, Frédéric, 2023. "Portfolio selection: A target-distribution approach," European Journal of Operational Research, Elsevier, vol. 310(1), pages 302-314.
  53. Selim baha Yildiz & Abdelbari El khamlichi, 2017. "The Performance Ranking of Emerging Markets Islamic Indices Using Risk Adjusted Performance Measures," Economics Bulletin, AccessEcon, vol. 37(1), pages 63-78.
  54. Eero J. Pätäri & Timo H. Leivo & J.V. Samuli Honkapuro, 2010. "Enhancement of value portfolio performance using data envelopment analysis," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 27(3), pages 223-246, August.
  55. Schuhmacher, Frank & Eling, Martin, 2012. "A decision-theoretic foundation for reward-to-risk performance measures," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 2077-2082.
  56. Auer, Benjamin R. & Schuhmacher, Frank, 2013. "Robust evidence on the similarity of Sharpe ratio and drawdown-based hedge fund performance rankings," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 24(C), pages 153-165.
  57. Hachmi Ben Ameur & Fredj Jawadi & Abdoulkarim Idi Cheffou & Wael Louhichi, 2018. "Measurement errors in stock markets," Annals of Operations Research, Springer, vol. 262(2), pages 287-306, March.
  58. León, Angel & Moreno, Manuel, 2017. "One-sided performance measures under Gram-Charlier distributions," Journal of Banking & Finance, Elsevier, vol. 74(C), pages 38-50.
  59. Schuhmacher, Frank & Eling, Martin, 2011. "Sufficient conditions for expected utility to imply drawdown-based performance rankings," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2311-2318, September.
  60. Meade, N. & Beasley, J.E. & Adcock, C.J., 2021. "Quantitative portfolio selection: Using density forecasting to find consistent portfolios," European Journal of Operational Research, Elsevier, vol. 288(3), pages 1053-1067.
  61. Steri, Roberto & Giorgino, Marco & Viviani, Diego, 2009. "The Italian hedge funds industry: An empirical analysis of performance and persistence," Journal of Multinational Financial Management, Elsevier, vol. 19(1), pages 75-91, February.
  62. Emanuel Derman & Kun Soo Park & Ward Whitt, 2010. "A stochastic-difference-equation model for hedge-fund returns," Quantitative Finance, Taylor & Francis Journals, vol. 10(7), pages 701-733.
  63. María dela O. González & Nicolas A. Papageorgiou & Frank S. Skinner, 2016. "Persistent Doubt: An Examination of Hedge Fund Performance," European Financial Management, European Financial Management Association, vol. 22(4), pages 613-639, September.
  64. Zhang, Hanxiong & Auer, Benjamin R. & Vortelinos, Dimitrios I., 2018. "Performance ranking (dis)similarities in commodity markets," Global Finance Journal, Elsevier, vol. 35(C), pages 115-137.
  65. Karstanje, Dennis & Sojli, Elvira & Tham, Wing Wah & van der Wel, Michel, 2013. "Economic valuation of liquidity timing," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5073-5087.
  66. Selim Mankaï & Aymen Belgacem, 2013. "Interactions Between Risk-Taking, Capital, and Reinsurance for Property-Liability Insurance Firms," EconomiX Working Papers 2013-23, University of Paris Nanterre, EconomiX.
  67. Maria-Teresa Bosch-Badia & Joan Montllor-Serrats & Maria-Antonia Tarrazon-Rodon, 2015. "Rating the Stock Market Performance through Zero-Investment Strategies," Accounting and Finance Research, Sciedu Press, vol. 4(1), pages 129-129, February.
  68. Lassance, Nathan & Vrins, Frédéric, 2021. "Portfolio selection with parsimonious higher comoments estimation," Journal of Banking & Finance, Elsevier, vol. 126(C).
  69. Bai, Zhidong & Phoon, Kok Fai & Wang, Keyan & Wong, Wing-Keung, 2013. "The performance of commodity trading advisors: A mean-variance-ratio test approach," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 188-201.
  70. León, Ángel & Moreno, Manuel, 2015. "Lower Partial Moments under Gram Charlier Distribution: Performance Measures and Efficient Frontiers," QM&ET Working Papers 15-3, University of Alicante, D. Quantitative Methods and Economic Theory.
  71. Gupta, R. & Donleavy, G.D., 2009. "Benefits of diversifying investments into emerging markets with time-varying correlations: An Australian perspective," Journal of Multinational Financial Management, Elsevier, vol. 19(2), pages 160-177, April.
  72. Balder, Sven & Schweizer, Nikolaus, 2017. "Risk aversion vs. the Omega ratio: Consistency results," Finance Research Letters, Elsevier, vol. 21(C), pages 78-84.
  73. Oikonomou, Ioannis & Platanakis, Emmanouil & Sutcliffe, Charles, 2018. "Socially responsible investment portfolios: Does the optimization process matter?," The British Accounting Review, Elsevier, vol. 50(4), pages 379-401.
  74. Heng-Hsing Hsieh, 2013. "A Review of Performance Evaluation Measures for Actively-Managed Portfolios," Journal of Economics and Behavioral Studies, AMH International, vol. 5(12), pages 815-824.
  75. Fischer, Thomas & Lundtofte, Frederik, 2020. "Unequal returns: Using the Atkinson index to measure financial risk," Journal of Banking & Finance, Elsevier, vol. 116(C).
  76. Benjamin Auer, 2013. "The low return distortion of the Sharpe ratio," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 27(3), pages 299-306, September.
  77. Katarzyna Maciejowska & Bartosz Uniejewski & Rafa{l} Weron, 2022. "Forecasting Electricity Prices," Papers 2204.11735, arXiv.org.
  78. Abdelsalam, Omneya & Duygun, Meryem & Matallín-Sáez, Juan Carlos & Tortosa-Ausina, Emili, 2014. "Do ethics imply persistence? The case of Islamic and socially responsible funds," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 182-194.
  79. José Luis Miralles-Quirós & María Mar Miralles-Quirós, 2021. "Alternative Financial Methods for Improving the Investment in Renewable Energy Companies," Mathematics, MDPI, vol. 9(9), pages 1-25, May.
  80. Zakamouline, Valeri & Koekebakker, Steen, 2009. "Portfolio performance evaluation with generalized Sharpe ratios: Beyond the mean and variance," Journal of Banking & Finance, Elsevier, vol. 33(7), pages 1242-1254, July.
  81. Guo, Biao & Xiao, Yugu, 2016. "A note on why doesn't the choice of performance measure matter?," Finance Research Letters, Elsevier, vol. 16(C), pages 248-254.
  82. Selim Mankai & Aymen Belgacem, 2013. "Interactions Between Risk-Taking, Capital, and Reinsurance for Property-Liability Insurance Firms," Working Papers hal-04141190, HAL.
  83. Eling, Martin & Gatzert, Nadine & Schmeiser, Hato, 2009. "Minimum standards for investment performance: A new perspective on non-life insurer solvency," Insurance: Mathematics and Economics, Elsevier, vol. 45(1), pages 113-122, August.
  84. Nicola Metzger & Vijay Shenai, 2019. "Hedge Fund Performance during and after the Crisis: A Comparative Analysis of Strategies 2007–2017," IJFS, MDPI, vol. 7(1), pages 1-31, March.
  85. Auer, Benjamin R., 2015. "Does the choice of performance measure influence the evaluation of commodity investments?," International Review of Financial Analysis, Elsevier, vol. 38(C), pages 142-150.
  86. Pruchnicka-Grabias Izabela, 2016. "Maximum Drawdown Measures in Hedge Fund Efficiency Appraisal," Financial Internet Quarterly (formerly e-Finanse), Sciendo, vol. 12(4), pages 83-91, December.
  87. Schuhmacher, Frank & Auer, Benjamin R., 2014. "Sufficient conditions under which SSD- and MR-efficient sets are identical," European Journal of Operational Research, Elsevier, vol. 239(3), pages 756-763.
  88. Fernandes, Gláucia & Gomes, Leonardo & Vasconcelos, Gabriel & Brandão, Luiz, 2016. "Mitigating wind exposure with zero-cost collar insurance," Renewable Energy, Elsevier, vol. 99(C), pages 336-346.
  89. Hossein Rad & Rand Kwong Yew Low & Robert Faff, 2016. "The profitability of pairs trading strategies: distance, cointegration and copula methods," Quantitative Finance, Taylor & Francis Journals, vol. 16(10), pages 1541-1558, October.
  90. Darolles, Serge & Gourieroux, Christian, 2010. "Conditionally fitted Sharpe performance with an application to hedge fund rating," Journal of Banking & Finance, Elsevier, vol. 34(3), pages 578-593, March.
  91. Alexander Franck & Andreas Walter & Johannes Witt, 2013. "Momentum strategies of German mutual funds," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 27(3), pages 307-332, September.
  92. Stadtmüller, Immo & Auer, Benjamin R. & Schuhmacher, Frank, 2022. "On the time-varying dynamics of stock and commodity momentum returns," Finance Research Letters, Elsevier, vol. 46(PB).
  93. Sehgal, Ruchika & Sharma, Amita & Mansini, Renata, 2023. "Worst-case analysis of Omega-VaR ratio optimization model," Omega, Elsevier, vol. 114(C).
  94. Eero P䴤ri & Mika Vilska, 2014. "Performance of moving average trading strategies over varying stock market conditions: the Finnish evidence," Applied Economics, Taylor & Francis Journals, vol. 46(24), pages 2851-2872, August.
  95. Frank Schuhmacher & Hendrik Kohrs & Benjamin R. Auer, 2021. "Justifying Mean-Variance Portfolio Selection when Asset Returns Are Skewed," Management Science, INFORMS, vol. 67(12), pages 7812-7824, December.
  96. Ruschelle Sgammini, 2023. "A Comparative Risk-adjusted Performance Evaluation of South African SRI Funds and the FTSE/JSE over the Covid-19 Period," International Journal of Economics and Financial Issues, Econjournals, vol. 13(1), pages 46-55, January.
  97. Adriano Koshiyama & Nick Firoozye & Philip Treleaven, 2021. "Generative adversarial networks for financial trading strategies fine-tuning and combination," Quantitative Finance, Taylor & Francis Journals, vol. 21(5), pages 797-813, May.
  98. Jules Sadefo Kamdem, 2023. "Risk-Adjusted Performance And Semi-Moments Of Non-Gaussian Portfolio Returns Distributions," Working Papers hal-04134833, HAL.
  99. Anna E. Olkova, 2017. "Mutual Funds Performance Assessment Techniques: Comparative Analysis," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 3, pages 85-95, June.
  100. Antonio Di Cesare & Philip A. Stork & Casper G. de Vries, 2015. "Risk Measures for Autocorrelated Hedge Fund Returns," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 13(4), pages 868-895.
  101. Charles-Olivier Amédée-Manesme & Fabrice Barthélémy, 2022. "Proper use of the modified Sharpe ratios in performance measurement: rearranging the Cornish Fisher expansion," Annals of Operations Research, Springer, vol. 313(2), pages 691-712, June.
  102. Guan, Guohui & Liang, Zongxia & Xia, Yi, 2023. "Optimal management of DC pension fund under the relative performance ratio and VaR constraint," European Journal of Operational Research, Elsevier, vol. 305(2), pages 868-886.
  103. Valeri Zakamouline, 2014. "Portfolio performance evaluation with loss aversion," Quantitative Finance, Taylor & Francis Journals, vol. 14(4), pages 699-710, April.
  104. Perez Katarzyna, 2014. "Polish Absolute Return Funds And Stock Funds. Short And Long Term Performance Comparison," Folia Oeconomica Stetinensia, Sciendo, vol. 14(2), pages 179-197, December.
  105. Philipp M. Möller, 2018. "Drawdown Measures And Return Moments," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(07), pages 1-42, November.
  106. Benjamin Mögel & Benjamin R. Auer, 2018. "How accurate are modern Value-at-Risk estimators derived from extreme value theory?," Review of Quantitative Finance and Accounting, Springer, vol. 50(4), pages 979-1030, May.
  107. Abugri, Benjamin A. & Dutta, Sandip, 2009. "Emerging market hedge funds: Do they perform like regular hedge funds?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(5), pages 834-849, December.
  108. Kim, Sangbae & In, Francis, 2012. "False discoveries in volatility timing of mutual funds," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 2083-2094.
  109. Ardia, David & Boudt, Kris, 2015. "Testing equality of modified Sharpe ratios," Finance Research Letters, Elsevier, vol. 13(C), pages 97-104.
  110. Hodoshima, Jiro & Yamawake, Toshiyuki, 2022. "Temporal aggregation of the Aumann–Serrano and Foster–Hart performance indexes," International Review of Financial Analysis, Elsevier, vol. 83(C).
  111. Timo H. Leivo, 2012. "Combining value and momentum indicators in varying stock market conditions," Review of Accounting and Finance, Emerald Group Publishing Limited, vol. 11(4), pages 400-447, October.
  112. James L. Kuhle & Eric C. Lin, 2018. "An Evaluation Of Risk And Return Performance Measure Alternatives: Evidence From Real Estate Mutual Funds," Review of Business and Finance Studies, The Institute for Business and Finance Research, vol. 9(1), pages 1-11.
  113. Bosch-Badia, Maria Teresa & Montllor-Serrats, Joan & Tarrazon-Rodon, Maria-Antonia, 2014. "Unveiling the embedded coherence in divergent performance rankings," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 154-165.
  114. Anand, Abhinav & Li, Tiantian & Kurosaki, Tetsuo & Kim, Young Shin, 2016. "Foster–Hart optimal portfolios," Journal of Banking & Finance, Elsevier, vol. 68(C), pages 117-130.
  115. Anja Vinzelberg & Benjamin R. Auer, 2022. "Unprofitability of food market investments," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 43(7), pages 2887-2910, October.
  116. Korn, Olaf & Möller, Philipp M. & Schwehm, Christian, 2019. "Drawdown measures: Are they all the same?," CFR Working Papers 19-04, University of Cologne, Centre for Financial Research (CFR).
  117. Newton, David & Platanakis, Emmanouil & Stafylas, Dimitrios & Sutcliffe, Charles & Ye, Xiaoxia, 2021. "Hedge fund strategies, performance &diversification: A portfolio theory & stochastic discount factor approach," The British Accounting Review, Elsevier, vol. 53(5).
  118. Kerstin Lamert & Benjamin R. Auer & Ralf Wunderlich, 2023. "Discretization of continuous-time arbitrage strategies in financial markets with fractional Brownian motion," Papers 2311.15635, arXiv.org.
  119. repec:ibf:rbfstu:v:8:y:2017:i:1:p:1-11 is not listed on IDEAS
  120. Charles-Olivier Amédée-Manesme & Fabrice Barthélémy & Jean-Luc Prigent & Donald Keenan & Mahdi Mokrane, 2017. "Modified Sharpe Ratios in Real Estate Performance Measurement: Beyond the Standard Cornish Fisher Expansion," THEMA Working Papers 2017-20, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  121. Selim Mankaï & Aymen Belgacem, 2016. "Interactions Between Risk Taking, Capital, and Reinsurance for Property–Liability Insurance Firms," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 83(4), pages 1007-1043, December.
  122. Auer, Benjamin R., 2014. "Should hedge funds be cautious reporting high returns?," Research in International Business and Finance, Elsevier, vol. 30(C), pages 195-201.
  123. Auer, Benjamin R., 2018. "A note on Guo and Xiao's (2016) results on monotonic functions of the Sharpe ratio," Finance Research Letters, Elsevier, vol. 24(C), pages 289-290.
  124. Zeno Adams & Roland Füss & Volker Wohlschieß, 2012. "Investment choice and performance potential in the mutual fund industry," Journal of Asset Management, Palgrave Macmillan, vol. 13(2), pages 84-101, April.
  125. Braun, Reiner & Engel, Nico & Hieber, Peter & Zagst, Rudi, 2011. "The risk appetite of private equity sponsors," Journal of Empirical Finance, Elsevier, vol. 18(5), pages 815-832.
  126. Auer, Benjamin R. & Schuhmacher, Frank, 2013. "Performance hypothesis testing with the Sharpe ratio: The case of hedge funds," Finance Research Letters, Elsevier, vol. 10(4), pages 196-208.
  127. Timo H Leivo & Eero J Pätäri, 2011. "Enhancement of value portfolio performance using momentum and the long-short strategy: The Finnish evidence," Journal of Asset Management, Palgrave Macmillan, vol. 11(6), pages 401-416, February.
  128. Sharma, Prateek & Vipul,, 2015. "Performance of risk-based portfolios under different market conditions: Evidence from India," Research in International Business and Finance, Elsevier, vol. 34(C), pages 397-411.
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