Does the Choice of Performance Measure Influence the Evaluation of Hedge Funds

By Martin Eling, Frank Schuhmacher. 2007

432 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/987f88955d2b32bb0a80b3cebe61cd41aa17d03f

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

In Management Science and Operations Research

Citations in the corpus

A Forex trading system based on a genetic algorithm (2012, background): “Eling and Schuhmacher (2007), present several such measures.”
A decision-theoretic foundation for reward-to-risk performance measures (2012, background): “…commonly used in finance satisfy the LS property (see Schuhmacher and Eling, 2011), the finding may explain the empirical observation that rank correlations between the Sharpe ratio and alternative performance measures are extremely high (see Eling and Schuhmacher, 2007; Eling et al., 2010).”
Robust Performance Hypothesis Testing with the Sharpe Ratio (2008, result): “On the other hand, there is recent evidence that the Sharpe ratio can result in almost identical fund rankings compared to alternative performance measures; e.g., see Eling and Schuhnacher (2007) .”
Portfolio Performance Evaluation with Generalized Sharpe Ratios: Beyond the Mean and Variance (2009, neutral): “…of modern finance, most of the alternative 1 For a brief review of different portfolio performance measures, as well as different ward and risk measures used in performance evaluation, the interested reader can re consult Eling and Schuhmacher (2007) and especially Farinelli et al. (2008).”
Portfolio performance evaluation with loss aversion (2010, neutral): “On the one hand, Eling and Schuhmacher (2007) and Eling (2008) perform empirical studies and demonstrate that Sharpe ratio rankings of funds are virtually identical to those of alternative performance measures.”
Do socially (ir)responsible investments pay? New evidence from international ESG data (2016, background): “The first reason is that Jensen’s alpha is an appropriate measure of portfolio performance for investors that are well diversified and, therefore, are primarily concerned with their exposure to market (systematic) risk (see Eling & Schuhmacher, 2007).”
The performance of hedge funds and mutual funds in emerging markets (2010, methodology): “The Fama and French (1993) and Carhart (1997) models increase the explanatory power by nearly 4% for both types of funds.”
Does the Measure Matter in the Mutual Fund Industry? (2008, methodology): “The risk measures, the performance measures, and references that contain more information about all the measures are in Exhibit 1 (for a brief overview of all measures, see Eling and Schuhmacher 2007).”
Corporate Governance and Risk Taking: Evidence from the U.K. and German Insurance Markets (2014, neutral): “However, typically, an insurer’s investment portfolio can be well approximated by considering the asset classes of stocks, bonds, money market, and real estate (see, e.g., Eling and Schuhmacher, 2007, who analyze the typical investment portfolio of an insurance company).”