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标题: Reading 34: Alternative Investm.... Management－LOS old w [打印本页]

作者: tycoon 时间: 2008-9-16 15:01 标题: [2008] Session 11－Reading 34: Alternative Investm.... Management－LOS old w

CFA Institute Area 8-11, 13: Asset Valuation
Session 11: Alternative Investments for Portfolio Management
Reading 34: Alternative Investments Portfolio Management
LOS old w: Critique the use of the Sharpe ratio in hedge fund performance appraisal.

作者: tycoon 时间: 2008-9-16 15:02

For use in evaluating hedge funds, which of the following is NOT a shortcoming of the Sharpe ratio?

A) It has had little success in predicting winners.
B) Managers have been able to manipulate their reported returns to inflate the Sharpe ratio.
C)
It uses an arbitrary reference return.
D) It is a stand-alone measure that ignores the diversification contributions of a hedge fund to an overall portfolio.

Answer and Explanation

The Sharpe ratio is a very standardized measure, and none of the inputs are arbitrary. The other choices are recognized shortcomings of the Sharpe ratio.

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