STD Risks

Hey guys, what are the risks in using Std. Dev. in the Sharpe Ratio for Hedge Funds?

IAmNeil

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2^#

发表于 2011-7-11 19:23 | 只看该作者

Hedge fund returns, particularly those using derivatives, aren't normally distributed.

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bkballa

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3^#

发表于 2011-7-11 19:23 | 只看该作者

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.

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Zestt

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4^#

发表于 2011-7-11 19:23 | 只看该作者

You can game the Sharpe ratio by lengthening STD term.

NO EXCUSES

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bboo

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5^#

发表于 2011-7-11 19:23 | 只看该作者

cook , you hot

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