SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
How to Game Your Sharpe Ratio
1 references·16 citing·50 second hop
How to Game Your Sharpe Ratio (2001)How to Game Your Sharpe Ratio“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …All That Glitters Is Not Gold: Comparing Backtest and Out-of-Sample Performance on a Large Cohort of Trading Algorithms (2016)All That Glitters Is Not Gold…When do stop-loss rules stop losses? (2013)When do stop-loss rules stop …Socially Responsible Investment and cleaner production in the Asia Pacific: does it pay to be good? (2013)Socially Responsible Investme…Comoment risk and stock returns (2013)Comoment risk and stock retur…Manipulation in U.S. REIT Investment Performance Evaluation: Empirical Evidence (2012)Manipulation in U.S. REIT Inv…Does socially responsible investment equity indexes in emerging markets pay off? Evidence from Brazil (2012)Does socially responsible inv…VIX Futures and Options - A Case Study of Portfolio Diversification during the 2008 Financial Crisis (2011)VIX Futures and Options - A C…Hedge Funds: Pricing Controls and the Smoothing of Self-reported Returns (2011)Hedge Funds: Pricing Controls…The 101 Ways to Measure Portfolio Performance (2009)The 101 Ways to Measure Portf…Hedge Funds: Pricing Controls and the Smoothing of Self-Reported Returns (2009)Hedge Funds: Pricing Controls…Implications of the Sharpe ratio as a performance measure in multi-period settings (2007)Implications of the Sharpe ra…Improving Hedge Fund Risk Exposures by Hedging Equity Market Volatility, or How the VIX Ate My Kurtosis (2006)Improving Hedge Fund Risk Exp…Risk-Adjusted Return When Returns Are Not Normally Distributed (2004)Risk-Adjusted Return When Ret…An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns (2003)An Econometric Model of Seria…A.I.R.A.P. - Alternative Rapms for Alternative Investments (2003)A.I.R.A.P. - Alternative Rapm…Portfolio Performance Manipulation and Manipulation-Proof Performance Measures (2002)Portfolio Performance Manipul…Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Common risk factors in the returns on stocks and bonds (1993)The Choice of Performance Measure Does Influence the Evaluation of Hedge Funds (2009)One-size or tailor-made performance ratios for ranking hedge funds? (2011)Consolidating and advancing knowledge on the post-entry performance of international new ventures (2018)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Strategic management a stakeholder approach (2010)Online sustainability communication practices of European seaports (2015)Impact of Corporate Social Responsibility Dimensions on Firm Value: Some Evidence from Hong Kong and China (2017)Analysis of the predictive variables of the intention to invest in a socially responsible manner (2018)A Three-Dimensional Conceptual Model of Corporate Performance (1979)Corporate Ownership Around the World (1999)Does Sustainability Investment Provide Adaptive Resilience to Ethical Investors? Evidence from Spain (2013)Does ethics improve stock market resilience in times of instability? (2018)Socially responsible investing: performance evaluation of BRICS nations (2020)The Investor Fear Gauge (2000)The Statistical Properties of Hedge Fund Index Returns and Their Implications for Investors (2002)Hedge Fund Performance 1990-2000: Do the "Money Machines" Really Add Value? (2003)VIX Futures and Options (2007)Hedging the black swan: Conditional heteroskedasticity and tail dependence in S&P500 and VIX (2011)Hedge Funds: A Dynamic Industry in Transition (2015)Mutual Fund Performance (1966)An Intertemporal Capital Asset Pricing Model (1973)The Sharpe Ratio (1994)Risk Shifting and Mutual Fund Performance (2008)Rewarding Trading Skills Without Inducing Gambling (2010)A Review of the Performance Measurement of Long-Term Mutual Funds (2020)Risk measurement when shares are subject to infrequent trading (1979)Earnings management to avoid earnings decreases and losses (1997)Understanding earnings quality: A review of the proxies, their determinants and their consequences (2010)Are hedge fund managers systematically misreporting? Or not? (2013)Change You Can Believe In? Hedge Fund Data Revisions (2015)The Cost of Capital for Alternative Investments (2015)Generalized autoregressive conditional heteroskedasticity (1986)Breaking into the blackbox: Trend following, stop losses and the frequency of trading – The case of the S&P500 (2013)Take Profit and Stop Loss Trading Strategies Comparison in Combination with an MACD Trading System (2018)Cryptocurrencies in institutional investors’ portfolios: Evidence from industry stop-loss rules (2019)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Real Estate Returns and Risk with Heterogeneous Investors (2008)Measuring the Timing Ability and Performance of Bond Mutual Funds (2009)Tail Risk in Hedge Funds: A Unique View from Portfolio Holdings (2014)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)A framework for identifying accounting characteristics for asset pricing models, with an evaluation of book‐to‐price (2018)Higher-order moments and co-moments' contribution to spillover analysis and portfolio risk management (2023)Spillovers in the joint system of conditional higher-order moments: US evidence from green energy, brown energy, and technology stocks (2023)
this work references cited by second hop

References

  • 2016“Options, Futures, and Other Derivatives”5,007 cited

Cited by

  • 2013Socially Responsible Investment and cleaner production in the Asia Pacific: does it pay to be good?108 cited
  • 2011Hedge Funds: Pricing Controls and the Smoothing of Self-reported Returns85 cited
  • 2012Does socially responsible investment equity indexes in emerging markets pay off? Evidence from Brazil81 cited
  • 2002Portfolio Performance Manipulation and Manipulation-Proof Performance Measures78 cited
  • 2006Improving Hedge Fund Risk Exposures by Hedging Equity Market Volatility, or How the VIX Ate My Kurtosis76 cited
  • 2013Comoment risk and stock returns73 cited
  • 2013When do stop-loss rules stop losses?69 cited
  • 2003An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns57 cited
  • 2009The 101 Ways to Measure Portfolio Performance51 cited
  • 2011VIX Futures and Options - A Case Study of Portfolio Diversification during the 2008 Financial Crisis39 cited
  • 2004Risk-Adjusted Return When Returns Are Not Normally Distributed37 cited
  • 2007Implications of the Sharpe ratio as a performance measure in multi-period settings37 cited
  • 2016All That Glitters Is Not Gold: Comparing Backtest and Out-of-Sample Performance on a Large Cohort of Trading Algorithms

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

35 cited
  • 2003A.I.R.A.P. - Alternative Rapms for Alternative Investments35 cited
  • 2012Manipulation in U.S. REIT Investment Performance Evaluation: Empirical Evidence32 cited
  • 2009Hedge Funds: Pricing Controls and the Smoothing of Self-Reported Returns32 cited