Quantitative Metrics for Hedge Fund Performance Evaluation: A Practitioner's Guide

Investment performance;hedge fund;Financial Mathematics

Singh, DarshAudley, David ;

Johns Hopkins University

关键词: Investment performance;    hedge fund;    Financial Mathematics;   

Others  :  https://jscholarship.library.jhu.edu/bitstream/handle/1774.2/38114/SINGH-THESIS-2014.pdf?sequence=1&isAllowed=y

瑞士|英语

来源: JOHNS HOPKINS DSpace Repository

【 摘 要 】

In the past two decades, the number of hedge funds and the amount of assets being managed by hedge funds have skyrocketed in lockstep with increased allocations to hedge funds from institutional investors across the globe. This paper discusses the importance of manager selection in the hedge fund allocation process. It then touches on the development of the Capital Asset Pricing Model, a pivotal time in the history of fund performance measurement. Finally, it explores how a portfolio manager uses quantitative metrics in practice to evaluate potential hedge fund investment opportunities illustrated with an example of manager selection by an existing institutional investment portfolio manager.