Summer of 1000 Posts: Performance, Analytics & Metrics
| Jul 19th, 2009 | Filed under: Academic Research, Featured Post, Today's Post | By: Alpha Male |
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Today, we bring you another installment of our “Summer of 1,000 posts” (more…)
This week’s sampling from our archives covers the topic of Performance, Analytics & Metrics…
Debate over value of Sharpe Ratio in HF analysis continues in new academic study
A 2007 academic study rained on the alternative hedge fund metrics parade and claimed that the good old fashioned Sharpe ratio was all you needed. But another study released this spring suggests that alternative metrics such as the Sortino ratio, Omega ratio and Rachev ratio have a purpose after all.
Investing in some stocks should have qualified as an “extreme sport” says leading quant
Last week, a prominent academic showed how the S&P 500 had become an “extreme” sport before it tanked last year. This week, that same researcher turns his focus on an individual stock that we know all too well.
Lintner Redux: Omega Ratios and Managed Futures
If only storied academic John Lintner had the Omega Ratio…
2008: The year of the small fund anomaly
Being small and young has always been a virtue in Hedgistan. But one of these poles reversed in 2008. Now being big and young seems to produce results. Too bad it’s virtually impossible to achieve these ends simultaneously any more. More…
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