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Importance Weights of Performance Ratios: Analyzing Hedge Funds by Entropy Method

Author

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  • 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
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    References listed on IDEAS

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    1. Sun, Zheng & Wang, Ashley W. & Zheng, Lu, 2018. "Only Winners in Tough Times Repeat: Hedge Fund Performance Persistence over Different Market Conditions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 53(5), pages 2199-2225, October.
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    3. Zhang, Hong & Gu, Chao-lin & Gu, Lu-wen & Zhang, Yan, 2011. "The evaluation of tourism destination competitiveness by TOPSIS & information entropy – A case in the Yangtze River Delta of China," Tourism Management, Elsevier, vol. 32(2), pages 443-451.
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    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)

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