Risk-Adjusted Returns in Alternative Investments

6 Pages Posted: 6 May 2015

See all articles by Hilary Till

Hilary Till

Premia Research LLC; EDHEC-Risk Institute; J.P. Morgan Center for Commodities, University of Colorado Denver Business School; Global Commodities Applied Research Digest

Date Written: July 1, 2002

Abstract

Academic criticism of classic Capital Asset Pricing Model (CAPM) performance measures is not new. In particular, a number of authors have pointed out the shortcomings of using the Sharpe ratio for performance evaluation and the mean-variance framework for portfolio construction when the underlying investments have highly non-symmetric distributions.

A number of hedge-fund strategies have asymmetric outcomes. This can be because they either explicitly use derivatives or because their return profile involves taking on some implicit short options risk.

This article will briefly touch on the problems with using traditional performance evaluation methods and then will summarize the state-of-the-art in alternative performance evaluation techniques.

Keywords: hedge fund, portfolio, CAPM, risk premia, performance, Sharpe ratio

JEL Classification: G10, G11, G12

Suggested Citation

Till, Hilary, Risk-Adjusted Returns in Alternative Investments (July 1, 2002). Available at SSRN: https://ssrn.com/abstract=2602938 or http://dx.doi.org/10.2139/ssrn.2602938

Hilary Till (Contact Author)

Premia Research LLC ( email )

United States
312-583-1137 (Phone)
312-873-3914 (Fax)

HOME PAGE: http://customindices.spindices.com/custom-index-calculations/premia/all

EDHEC-Risk Institute

Nice
France

HOME PAGE: http://risk.edhec.edu/

J.P. Morgan Center for Commodities, University of Colorado Denver Business School ( email )

1475 Lawrence St.
Denver, CO 80202
United States

HOME PAGE: http://www.business.ucdenver.edu/commodities

Global Commodities Applied Research Digest ( email )

J.P. Morgan Center for Commodities
1475 Lawrence Street
Denver, CO 80202
United States

HOME PAGE: http://www.jpmcc-gcard.com/hilary-till

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