Skip to content

Limitations with using the Sharpe ratio for hedge funds:

May 1, 2018
  1. Sharpe ratio is time dependent
  2. Illiquid holdings bias Sharpe ratio upward
  3. The ratio is not appropriate when an investment has an asymmetrical return distribution with either negative or positive skewness
  4. The ratio does not consider correlations with other assets in the portfolio
Advertisements
Leave a Comment

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out /  Change )

Google+ photo

You are commenting using your Google+ account. Log Out /  Change )

Twitter picture

You are commenting using your Twitter account. Log Out /  Change )

Facebook photo

You are commenting using your Facebook account. Log Out /  Change )

Connecting to %s

This site uses Akismet to reduce spam. Learn how your comment data is processed.

%d bloggers like this: