The Golden Book of Hedge Fund Selection: A Quantitative Approach for Hedge Fund Selection and Hedge Fund Portfolio Risk Management

The traditional hedge fund performance measurements, such as Sharpe ratio and portable alpha, signify only partial indicators of the hedge fund’s risk and performance. Without full transparency of the hedge fund investment characteristics, these risk and rating measures are not particularly useful. Therefore, the problem under study in this research was the effect of fund-specific risk factors on the hedge fund return performance. This study was an investigation of the traditional hedge fun...