Due to the complexity and heterogeneity of hedge fund strategies, the evaluation of their performance and risk is a challenging task. Starting from the standard mutual fund industry, the literature has evolved in the direction of refining traditional measures (e.g. the Sharpe Ratio) or introducing new ones. This paper develops an approach, based on the Principal Component Analysis, to uncover the relevant information for performance measurement and combine it into a unique rank.
Bramante, R., Mutual funds ranking: An application to the Italian hedge funds industry, Contributed paper, in Cladag 2011: book of abstracts, (Pavia, 07-09 September 2011), paviauniversitypress, Pavia 2011: 1-4 [http://hdl.handle.net/10807/23326]
Mutual funds ranking: An application to the Italian hedge funds industry
Bramante, Riccardo
2011
Abstract
Due to the complexity and heterogeneity of hedge fund strategies, the evaluation of their performance and risk is a challenging task. Starting from the standard mutual fund industry, the literature has evolved in the direction of refining traditional measures (e.g. the Sharpe Ratio) or introducing new ones. This paper develops an approach, based on the Principal Component Analysis, to uncover the relevant information for performance measurement and combine it into a unique rank.
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