Persistent Doubt: An Examination of Hedge Fund Performance

44 Pages Posted: 3 Apr 2014 Last revised: 28 Sep 2015

See all articles by Maria Gonzalez

Maria Gonzalez

University of Castilla-La Mancha

Nicolas A. Papageorgiou

HEC Montreal - Department of Finance

Frank S. Skinner

Brunel University

Multiple version iconThere are 2 versions of this paper

Date Written: March 31, 2014

Abstract

Forming top quintile portfolios on the Sharpe ratio, the alpha, the information ratio, the excess manipulation proof performance measure EMPPM and the doubt ratio; we find that these portfolios persistently outperform similarly constructed mediocre third quintile portfolios throughout the twelve year period from January 31, 2001 to December 31, 2012. However, performance is more modest and less persistent when forming portfolios on the EMPPM. It is clear than when selecting funds according to the ranking by the Sharpe and the information ratio, investors are also selecting funds that have suspicious returns. In contrast, portfolios formed on the alpha and especially the EMPPM has much less excess doubt that more rarely persist.

Keywords: Hedge funds, performance, manipulation proof measure, doubt ratio

JEL Classification: G11, G12, G23, G24

Suggested Citation

Gonzalez, Maria and Papageorgiou, Nicolas A. and Skinner, Frank S., Persistent Doubt: An Examination of Hedge Fund Performance (March 31, 2014). Available at SSRN: https://ssrn.com/abstract=2419394 or http://dx.doi.org/10.2139/ssrn.2419394

Maria Gonzalez

University of Castilla-La Mancha ( email )

Plaza Universidad, 1
02071 Albacete, Ciudad Real 13071
Spain

Nicolas A. Papageorgiou

HEC Montreal - Department of Finance ( email )

3000 Chemin de la Cote-Sainte-Catherine
Montreal, Quebec H3T 2A7
Canada

Frank S. Skinner (Contact Author)

Brunel University ( email )

Kingston Lane
Uxbridge, Middlesex UB8 3PH
United Kingdom

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