STD Risks

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

bboo

游客

UID: 218223
帖子: 533
主题: 154
注册时间: 2011-5-26
最后登录: 2012-9-12

5^#

发表于 2011-7-11 19:23 | 只看该作者

cook , you hot

TOP

bkballa

游客

UID: 222297
帖子: 431
主题: 13
注册时间: 2011-7-2
最后登录: 2016-1-9

4^#

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.

TOP

Zestt

CFA Candidates

Rank: 2

UID: 222314
帖子: 421
主题: 5
注册时间: 2011-7-2
最后登录: 2014-10-14

3^#

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

TOP

IAmNeil

游客

UID: 222300
帖子: 619
主题: 52
注册时间: 2011-7-2
最后登录: 2015-12-20

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.

TOP

返回列表

STD Risks

[收藏此主题] [关注此主题的新回复]

[通过 QQ、MSN 分享给朋友]