A Universal Performance Measure

Con Keating · William F. Shadwick

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Risk and Portfolio Optimization

Abstract

We propose and examine a new performance measure in the spirit of the downside, lower partial moment and gain-loss literatures. We indicate how this may be applied across a broad range of problems in financial analysis. The performance measure captures all of the higher moments of the returns distribution. The performance measure is applied to a range of hedge fund style or strategy indices.

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