A Universal Performance Measure Con Keating

  title={A Universal Performance Measure Con Keating},
  author={William F. Shadwick},
  • William F. Shadwick
  • Published 2002
We propose and examine a new performance measure in the spirit of the downside, lower partial moment and gain-loss literatures. We indicate how this may be applied across a broad range of problems in financial analysis. The performance measure captures all of the higher moments of the returns distribution. The performance measure is applied to a range of hedge fund style or strategy indices. * Corresponding Author: Con Keating E-mail: keating@risk.demon.co.uk We should like to thank Jim… CONTINUE READING
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