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Yes, the choice of performance measure does matter for ranking of us mutual funds
16 references·6 citing·32 second hop
Yes, the choice of performance measure does matter for ranking of us mutual funds (2010)Yes, the choice of performance measure do…How to Rate Management of Investment Funds (2012)How to Rate Management of Inv…Portfolio Performance Evaluation with Generalized Sharpe Ratios: Beyond the Mean and Variance (2008)Portfolio Performance Evaluat…Does the choice of performance measure influence the evaluation of hedge funds? (2007)Does the choice of performanc…Hedge Funds: Risk and Return (2005)Hedge Funds: Risk and ReturnRisks and Portfolio Decisions Involving Hedge Funds (2003)Risks and Portfolio Decisions…Risk-Adjusted Performance of Funds of Hedge Funds Using a Modified Sharpe Ratio (2003)Risk-Adjusted Performance of …A Universal Performance Measure (2003)A Universal Performance Measu…A Universal Performance Measure (2002)A Universal Performance Measu…The Dutch Triangle (1999)The Dutch TriangleThe Sharpe Ratio (1994)The Sharpe RatioPerformance Measurement in a Downside Risk Framework (1994)Performance Measurement in a …Downside risk (1991)Downside riskOn Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills (1981)On Market Timing and Investme…How to Use Security Analysis to Improve Portfolio Selection (1973)How to Use Security Analysis …Mutual Fund Performance (1966)Mutual Fund PerformancePortfolio Performance Manipulation and Manipulation-proof Performance MeasuresPortfolio Performance Manipul…Performance measurement of crypto funds (2023)Performance measurement of cr…International journal of finance and economics: A bibliometric overview (2022)International journal of fina…Do low-carbon investments in emerging economies pay off? Evidence from the Brazilian stock market (2021)Do low-carbon investments in …Stability in mutual fund performance rankings: A new proposal (2018)Stability in mutual fund perf…Does the choice of performance measure influence the evaluation of commodity investments? (2014)Does the choice of performanc…Robust evidence on the similarity of Sharpe ratio and drawdown-based hedge fund performance rankings (2012)Robust evidence on the simila…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Common risk factors in the returns on stocks and bonds (1993)An econometric model of serial correlation and illiquidity in hedge fund returns (2004)Hedge Fund Benchmarks: A Risk-Based Approach (2004)Role of Managerial Incentives and Discretion in Hedge Fund Performance (2009)Modern Portfolio Theory and Investment Analysis. (1982)The Statistics of Sharpe Ratios (2002)Deep Direct Reinforcement Learning for Financial Signal Representation and Trading (2016)The financial analysts journal (1960)The journal of financial economics (1993)Learning to trade via direct reinforcement (2001)Blind to carbon risk? An analysis of stock market reaction to the Paris Agreement (2020)Theory of Financial Decision Making. (1988)The Price of Correlation Risk: Evidence from Equity Options (2009)Risk Shifting and Mutual Fund Performance (2011)Volatility‐Managed Portfolios (2017)Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance, 1974-1988 (1993)Returns from Investing in Equity Mutual Funds 1971 to 1991 (1995)An Engine, Not a Camera (2006)On Estimating the Expected Return on the Market: An Exploratory Investigation (1980)Performance measurement with the arbitrage pricing theory (1986)The Determinants of the Flow of Funds of Managed Portfolios: Mutual Funds vs. Pension Funds (2002)A Brief History of Downside Risk Measures (1999)Portfolio selection with higher moments (2010)Portfolio optimization with return prediction using deep learning and machine learning (2020)Frameworks and Results in Distributionally Robust Optimization (2022)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Efficient Capital Markets: II (1991)Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds (1997)The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers (2001)
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  • 1981On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills1,321 cited
  • 2003Risks and Portfolio Decisions Involving Hedge Funds1,213 cited
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  • n.d.Portfolio Performance Manipulation and Manipulation-proof Performance Measures644 cited
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  • 2003A Universal Performance Measure372 cited
  • 2008Portfolio Performance Evaluation with Generalized Sharpe Ratios: Beyond the Mean and Variance215 cited
  • 2003Risk-Adjusted Performance of Funds of Hedge Funds Using a Modified Sharpe Ratio201 cited
  • 1999The Dutch Triangle

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199 cited

Cited by

  • 2021Do low-carbon investments in emerging economies pay off? Evidence from the Brazilian stock market46 cited
  • 2014Does the choice of performance measure influence the evaluation of commodity investments?35 cited
  • 2012Robust evidence on the similarity of Sharpe ratio and drawdown-based hedge fund performance rankings33 cited
  • 2018Stability in mutual fund performance rankings: A new proposal24 cited
  • 2022International journal of finance and economics: A bibliometric overview22 cited
  • 2023Performance measurement of crypto funds22 cited