Please use this identifier to cite or link to this item: http://buratest.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

Files in This Item:
File Description SizeFormat 
Fulltext.docx149.99 kBUnknownView/Open


Items in BURA are protected by copyright, with all rights reserved, unless otherwise indicated.