[CFA Level 3] 三级，请教EVALUATING PORTFOLIO PERFORMANCE 的一个问题

normal, manager, another, 是, 的

书上202页说，sharp ratio is another option to evaluate hedge fund manager performance. 我的理解是SHARP RATIO IS UNDER normal distribution assumption, 不适合用在有OPTIONS 的情况下。所以，我觉得SHARP RATIO 是不能用来EVALUATE HEDGE FUND.

loyalvirgo

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2^#

发表于 2012-5-25 15:42 | 只看该作者

我的理解是把hedge fund作为一个整体来看，不单看里面的那些投资品种，用sharp ratio时主要是看他的return是否normal distribution或者是否exhibit significant skewness。

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gotbelief

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3^#

发表于 2012-5-25 21:45 | 只看该作者

I think it is mentioned somewhere in notes that Sharpe ratio may not be the best way to evaluate HF returns due to its normal distribution assumption, but it will still give you a sense as for how the fund performs and you can always use other measures to complement.

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[CFA Level 3] 三级，请教EVALUATING PORTFOLIO PERFORMANCE 的一个问题

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