Hey guys, what are the risks in using Std. Dev. in the Sharpe Ratio for Hedge Funds?作者: IAmNeil 时间: 2011-7-11 19:23
Hedge fund returns, particularly those using derivatives, aren't normally distributed.作者: bkballa 时间: 2011-7-11 19:23
I guess to hedge that risk you can wrap it up. Wrap up normally distributed risk-management techniques when analyzing non-normally distributed returns, that is.作者: Zestt 时间: 2011-7-11 19:23
You can game the Sharpe ratio by lengthening STD term.
