Downside-risk performance measures and hedge funds

Date created: 

This paper delves into performance measures which have recently emerged in an attempt to circumvent the well recognised flaws of conventional measures derived solely from mean and standard deviation. I use several of these measures to rank both equity indices as well as hedge fund strategies based on their likelihood of achieving a particular return level, relative to the downside risk associated with that target return. This method makes intuitive sense since one of the key characteristics of hedge funds is to seek to capture most upside while protecting the downside. While the conclusions clearly point to the superiority of hedge funds at all return thresholds, with the equity indices improving their rankings from worst to middle of the pack at the higher threshold levels, the use of the downside measures is not clear-cut and can be fraught with some ambiguity in the interpretation of rankings which they yield.

The author has placed restrictions on the PDF copy of this thesis. The PDF is not printable nor copyable. If you would like the SFU Library to attempt to contact the author to get permission to print a copy, please email your request to
Document type: 
Copyright remains with the author
Faculty of Business Administration - Simon Fraser University
Thesis type: 
Research Project (M.B.A.)