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Further Evidence on the Role of Ratio Choice in Hedge Fund Performance Evaluation

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  • Jörg Prokop

Abstract

Prior research reports a remarkable homogeneity of hedge fund performance rankings produced by common risk-adjusted performance ratios. The paper at hand contributes to the discussion by studying the behavior of, and the relationship between these performance ratios over the time period from 1994 to 2010, and by validating the robustness of the findings for shorter sub-periods characterized by specific economic conditions. The results suggest that although the general result that most of the ratios considered provide very similar performance rankings is supported, the degree of their congruency varies over time.

Suggested Citation

  • Jörg Prokop, 2012. "Further Evidence on the Role of Ratio Choice in Hedge Fund Performance Evaluation," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 1(3), pages 1-10.
    • Handle: RePEc:spt:fininv:v:1:y:2012:i:3:f:1_3_10
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    Cited by:

    1. Amer M. Bakhach & Edward P.K. Tsang & V.L. Raju Chinthalapati, 2018. "TSFDC: A trading strategy based on forecasting directional change," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 25(3), pages 105-123, July.

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