Skip to main content

Downside-risk performance measures and hedge funds

Resource type
Thesis type
(Research Project) M.B.A.
Date created
2006
Authors/Contributors
Abstract
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.
Document
Copyright statement
Copyright is held by the author.
Permissions
The author has not granted permission for the file to be printed nor for the text to be copied and pasted. If you would like a printable copy of this thesis, please contact summit-permissions@sfu.ca.
Scholarly level
Language
English
Member of collection
Download file Size
etd2312.pdf 2.64 MB

Views & downloads - as of June 2023

Views: 0
Downloads: 0