2015
DOI: 10.1111/eufm.12070
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Persistent Doubt: An Examination of Hedge Fund Performance

Abstract: We examine whether performance persistence is suspicious. Top quintile portfolios formed on the Sharpe ratio, alpha, and information ratio persistently outperform similarly constructed mediocre third quintile portfolios throughout our sample period, but performance is more modest and less persistent when portfolios are formed on the excess manipulation-proof performance measure (EMPPM). By selecting funds formed on ranking by Sharpe and information ratios, investors also select funds that have persistently dou… Show more

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Cited by 5 publications
(2 citation statements)
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“…Therefore, our paper will contribute to previous literature comparing conventional and Islamic sector portfolios using standard ratios (the Jensen, Treynor, Sharpe, Sortino and Conditional Sharpe ratios) as well as current performance measures like the Omega ratio and the MPPM [29,30]. Moreover, this paper confirms that the stage of the economy may be a crucial factor to analyze the performance of sector portfolios.…”
Section: Introduction and Literature Reviewsupporting
confidence: 63%
See 1 more Smart Citation
“…Therefore, our paper will contribute to previous literature comparing conventional and Islamic sector portfolios using standard ratios (the Jensen, Treynor, Sharpe, Sortino and Conditional Sharpe ratios) as well as current performance measures like the Omega ratio and the MPPM [29,30]. Moreover, this paper confirms that the stage of the economy may be a crucial factor to analyze the performance of sector portfolios.…”
Section: Introduction and Literature Reviewsupporting
confidence: 63%
“…The main strength of the MPPM is based on the fact that it is a dynamic performance measure that prevents the manipulation of performance scores by adjusting the return distribution through dynamic trading [29,30]. So, it will also show time variation according to the business cycle like the conditional Sharpe ratio does.…”
Section: Performancementioning
confidence: 99%