TY - JOUR T1 - Risk-Adjusted Performance of Funds of Hedge Funds Using a Modified Sharpe Ratio JF - The Journal of Wealth Management SP - 77 LP - 83 DO - 10.3905/jwm.2003.442378 VL - 6 IS - 3 AU - Greg N. Gregoriou AU - Jean-Pierre Gueyie Y1 - 2003/10/31 UR - https://pm-research.com/content/6/3/77.abstract N2 - 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. ER -