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http://bura.brunel.ac.uk/handle/2438/12091
Title: | Persistent Doubt: An examination of hedge fund performance |
Authors: | Dela O González, M Papageorgiou, NA Skinner, FS |
Keywords: | Hedge funds;Performance measures;Manipulation-proof performance measure;Doubt ratio |
Issue Date: | 2015 |
Publisher: | Wiley |
Citation: | European Financial Management, 2015 |
Abstract: | We examine whether performance persistence is suspicious. Top quintile portfolios formed on the Sharpe ratio, alpha, and information ratio persistently outperform similarly constructed mediocre third quintile portfolios throughout our sample period, but performance is more modest and less persistent when portfolios are formed on the excess manipulation-proof performance measure (EMPPM). By selecting funds formed on ranking by Sharpe and information ratios, investors also select funds that have persistently doubtful performance according to the doubt ratio. In contrast, portfolios formed on alphas and especially the EMPPM have much less excess and persistent doubt. |
URI: | http://onlinelibrary.wiley.com/doi/10.1111/eufm.12070/abstract;jsessionid=F3F9B8E637A9CE073B1AB95D2941219F.f03t02 http://bura.brunel.ac.uk/handle/2438/12091 |
DOI: | http://dx.doi.org/10.1111/eufm.12070 |
ISSN: | 1354-7798 1468-036X |
Appears in Collections: | Dept of Economics and Finance Research Papers |
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