Simone Farinelli

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As we leave behind the assumption of normality in return distributions, the classical risk-reward Sharpe Ratio becomes a questionable tool for ranking risky projects. In the spirit of Sharpe thinking, a more general risk-reward ratio © suitable to compare skewed return distributions with respect to a benchmark, is introduced. This index captures two types(More)
The views expressed herein are those of the authors and do not necessarily reflect opinions shared by UBS. Abstract: Recent literature discusses the persistence of skewness and tail risk in hedge fund returns. The aim of this paper is to suggest an alternative skewness measure  which is derived as the normalized shape parameter from the skew-normal(More)
Eling and Schuhmacher (2007) compared the Sharpe ratio with other performance measures and found virtually identical rank ordering using hedge fund data. They conclude that the choice of performance measure has no critical influence on fund evaluation and that the Sharpe ratio is generally adequate for analyzing hedge funds. Nevertheless, their analysis(More)
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