On the Use of Standard Performance Measures in Assessing Alternative Investment Strategies - Part I

9 Pages Posted: 27 Jun 2015 Last revised: 30 Jun 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: June 21, 2001

Abstract

This paper touches upon the quantitative and modeling shortfalls of the Sharpe ratio and other related Capital Asset Pricing Model (CAPM) measures when used to evaluate alternative investments. These shortfalls can best be appreciated once one understands the common nature of how most alternative investment strategies earn their returns. And surprisingly, once one understands the source of a program’s returns, even an investment with a Sharpe ratio of .19 could win a place in an investor’s portfolio based on certain return-to-risk considerations.

Keywords: alternative investments, CAPM, Sharpe ratio, risk measurement, returns

JEL Classification: G10, G11, G23

Suggested Citation

Till, Hilary, On the Use of Standard Performance Measures in Assessing Alternative Investment Strategies - Part I (June 21, 2001). Available at SSRN: https://ssrn.com/abstract=2623180 or http://dx.doi.org/10.2139/ssrn.2623180

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

Register to save articles to
your library

Register

Paper statistics

Downloads
36
Abstract Views
416
PlumX Metrics