Performance Measurement of Hedge Funds Portfolios in a Downside Risk Framework

Posted: 20 May 2019

See all articles by Chokri Mamoghli

Chokri Mamoghli

Institut Supérieur de Gestion

Sami Daboussi

University of Tunis - Faculty of Law, Economics and Management of Jendouba

Date Written: September 28, 2008

Abstract

We showed that traditional performance measures are not adequate for the performance evaluation of hedge funds portfolios because they take into account neither the asymmetry of returns nor the risk perception of investors. In order to overcome this problem, we made recourse to performance measures in the downside risk framework. By using the Credit Suisse/Tremont Hedge Fund database, we showed that Sortino ratio; upside potential ratio and Omega measure make it possible to overcome the drawbacks of Sharpe ratio. The results obtained also showed that the index of Mamoghli and Daboussi is the adequate measure which makes it possible to surmount the drawbacks of Treynor index and Mishra and Rahman index. Likewise, the results proved that alpha of Mamoghli and Daboussi measures more correctly than Jensen alpha and Mishra and Rahman alpha the performance of hedge funds.

Keywords: Asymmetric returns, Downside risk, Hedge funds, Performance measures

JEL Classification: G12

Suggested Citation

Mamoghli, Chokri and Daboussi, Sami, Performance Measurement of Hedge Funds Portfolios in a Downside Risk Framework (September 28, 2008). https://doi.org/10.3905/JWM.2009.12.2.101. Available at SSRN: https://ssrn.com/abstract=1274821 or http://dx.doi.org/10.2139/ssrn.1274821

Chokri Mamoghli

Institut Supérieur de Gestion ( email )

Campus Universitaire
Le Bardo 2000
Tunis, TN El Manar 2000
Tunisia

Sami Daboussi (Contact Author)

University of Tunis - Faculty of Law, Economics and Management of Jendouba ( email )

Tunisia

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