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

7 Pages Posted: 1 Jul 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: September 7, 2001

Abstract

Part I of this two-part series touched upon the difficulty of using standard measures to evaluate a number of hedge fund strategies. After reviewing these difficulties, this paper will discuss the current state-of-the-art methodology in this area. The paper will conclude that if one has an economic understanding of the source of an investment’s returns, then the investor is likely in a good position to decide whether its risks, however they are defined, are appropriate for him or her.

Keywords: Alternative investment, hedge fund, Sharpe ratio, risk-premia

JEL Classification: G10, G11, G23

Suggested Citation

Till, Hilary, On the Use of Standard Performance Measures in Assessing Alternative Investment Strategies Part II (September 7, 2001). Available at SSRN: https://ssrn.com/abstract=2623200 or http://dx.doi.org/10.2139/ssrn.2623200

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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