PT  - JOURNAL ARTICLE
AU  - Chokri Mamoghli
AU  - Sami Daboussi
TI  - Performance Measurement of Hedge Funds Portfolios in a Downside Risk Framework
AID  - 10.3905/JWM.2009.12.2.101
DP  - 2009 Jul 31
TA  - The Journal of Wealth Management
PG  - 101--112
VI  - 12
IP  - 2
4099  - https://pm-research.com/content/12/2/101.short
4100  - https://pm-research.com/content/12/2/101.full
AB  - This article starts with the recognition of the limits of a mean–variance framework to measure the performance of hedge funds, whose returns are often not normally distributed and usually asymmetric. It then introduces the literature focused on performance measurement in a downside-risk framework. The authors present both traditional and alternative performance measures, including an index of their own construction. They conclude that three well-accepted methods provide different rankings of hedge funds and, explaining the differences thus observed, suggest that the hedge fund alphas computed using their own approach are more correct.TOPICS: Real assets/alternative investments/private equity, risk management, statistical methods, performance measurement