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The Journal of Wealth Management

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Primary Article

Risk-Adjusted Performance of Funds of Hedge Funds Using a Modified Sharpe Ratio

Greg N. Gregoriou and Jean-Pierre Gueyie
The Journal of Wealth Management Winter 2003, 6 (3) 77-83; DOI: https://doi.org/10.3905/jwm.2003.442378
Greg N. Gregoriou
The IFM Scholar in the Ph.D. program (finance) at the University of Quebec at Montreal.
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  • For correspondence: gregoriou.g@uqam.ca
Jean-Pierre Gueyie
An assistant professor of finance at the University of Quebec at Montreal.
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  • For correspondence: gueyie.jean-pierre@uqam.ca
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Abstract

Many institutional investors use the traditional Sharpe ratio today to examine the risk-adjusted performance of funds of hedge funds (FOFs). However, this could pose problems due to the non-normal returns of this alternative asset class. A modified value at risk (VaR) and modified Sharpe ratio solves the problem and can provide a superior tool for correctly measuring risk-adjusted performance. In this article, the authors rank 30 funds of hedge funds according to the Sharpe and modified Sharpe ratio. Their results indicate that the modified Sharpe is lower and more accurate when examining non-normal returns.

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The Journal of Wealth Management
Vol. 6, Issue 3
Winter 2003
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Risk-Adjusted Performance of Funds of Hedge Funds Using a Modified Sharpe Ratio
Greg N. Gregoriou, Jean-Pierre Gueyie
The Journal of Wealth Management Oct 2003, 6 (3) 77-83; DOI: 10.3905/jwm.2003.442378

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Risk-Adjusted Performance of Funds of Hedge Funds Using a Modified Sharpe Ratio
Greg N. Gregoriou, Jean-Pierre Gueyie
The Journal of Wealth Management Oct 2003, 6 (3) 77-83; DOI: 10.3905/jwm.2003.442378
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