Open Access

Maximum Drawdown Measures in Hedge Fund Efficiency Appraisal


Cite

Agarwal, V., Naveen, D., Naik, N. (2004). Flows, Performance, and Managerial Incentives in Hedge Funds. George State University Working Paper, p. 1 - 44. Retrieved from http://papers.ssrn.com/sol3/papers.cfm?abstract_id=424369, 07.10.2014.Search in Google Scholar

Asness, C.R., Krail, J., Liew, J. (2001). Do Hedge Funds Hedge? Journal of Portfolio Management, Vol. 28, 2001, 6 - 19.Search in Google Scholar

Baba, N., Goko, H. (2006). Survival Analysis of Hedge Funds. Bank of Japan Working Paper Series, Bank of Japan, March.Search in Google Scholar

Baquero, G., Verbeek, M. (2009). A Portrait of Hedge Fund Investors: Flows, Performance and Smart Money. Erasmus University Rotterdam Working Paper, p. 1 - 65,. Retrieved from http://papers.ssrn.com/sol3/papers.cfm?abstract_id=773384, 07.10.2014.Search in Google Scholar

Breuer, W., Guertler, M., Schuhmacher, F. (2004). Portfopiomanagement I - Theoretische Grundlagen und praktische Anwendungen, Gabler, Wiesbaden.Search in Google Scholar

Burke, G. (1994). A Sharper Sharpe Ratio. Futures. Vol. 23, Nr 3, p. 56.Search in Google Scholar

Caldwell, T. (1995). Introduction: The Model for Superior Performance. In: Lederman, Jess, Robert A. Klein (Ed.), Hedge Funds. New York: Irwin Professional Publishing.Search in Google Scholar

Chan, N.,Getmansky, M., Haas, S., Lo, A. (2005). Do Hedge Funds Increase Systemic Risk? Economic Review, 91(4), 49 -80.Search in Google Scholar

Directive 2011/61/EU of the European Parliament and of the Council of 8 June 2011 on Alternative Investment Fund Managers and amending Directives 2003/41/EC and 2009/65/EC and Regulations (EC) No 1060/2009 and (EU) No 1095/2010, Official Journal of the European Union, 2011.Search in Google Scholar

Dowd, K. (1998). Beyond Value at Risk. The New Science of Risk Management. New York: John Wiley & Sons.Search in Google Scholar

Eling, M. (2006). Performance Measurement of Hedge Funds Using Data Envelopment Analysis. Working Papers on Risk Management and Insurance No. 25. University of St. Gallen, November, 2- 29.10.1007/s11408-006-0032-4Search in Google Scholar

Eling, M., Schuhmacher, F. (2007). Does the Choice of Performance Measure Influence the Evaluation of Hedge Funds? Journal of Banking and Finance, Nr 31, 2632 - 2647.10.1016/j.jbankfin.2006.09.015Search in Google Scholar

Ferreira, P., Berthon, J., Asseraf - Bitton, J., Stenger, J. (2015). Lyxor Research, A New Era for Hedge Funds? Retrieved from http://www.lyxor.com/fileadmin/_fileup/lyxor_wp/document/455/, p. 1 - 24.Search in Google Scholar

Frush, S. (2007). Hedge Funds Demystified. USA: McGraw-Hill.Search in Google Scholar

Fung, H.G., Xu, X.E., Yau, J. (2004). Do Hedge Fund Managers Display Skill? Journal of Alternative Investments, Vol. 6, 2004, 22 - 31.Search in Google Scholar

Fung, W., Hsieh, D. (1997). Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds. Review of Financial Studies, Vol. 10, 275 - 302.10.1093/rfs/10.2.275Search in Google Scholar

Fung, W., Hsieh, D., Naik, N.Y., Ramadorai, T. (2008). Hedge Funds: Performance, Risk and Capital Formation. Journal of Finance, Vol. 63, 1777 - 1803.10.1111/j.1540-6261.2008.01374.xSearch in Google Scholar

Goetzmann, W., Ingersoll, J., Ross, S. (2003). High-Water Marks and Hedge Fund Management Contracts. Journal of10.1111/1540-6261.00581Search in Google Scholar

Gregoriou, G.N., Huebner, G., Papageorgiou, N., Rouah, F. (ed.), (2005). Hedge Funds. Insights in Performance Measurement, Risk Analysis, and Portfolio Management. Hoboken: John Wiley & Sons, Inc., 549 - 550.Search in Google Scholar

Gregoriou, G.N., Pascalau, R. (ed.), (2011). Derivatives Pricing, Hedge Funds and Term Structure Models. Palgrave, Macmillan, Hampshire, 10 - 11.Search in Google Scholar

Harlow, W.V. (1991). Asset Allocation in a Downside - Risk Framework. Financial Analysts Journal, September - October, 28 - 40.10.2469/faj.v47.n5.28Search in Google Scholar

Hedges IV, J.R. (2005). Hedges on Hedge Funds. How to Successfully analyze and select an Investment. Hoboken: John Wiley & Sons.. Search in Google Scholar

Internet pages of Credit Suisse First Boston Group.Search in Google Scholar

Jajuga, K. (ed.), (2007). Zarządzanie ryzykiem. Warszawa: PWN.Search in Google Scholar

Kahnemann, D., Tversky, A. (1979). Prospect Theory: an Analysis of Decision under Risk. Econometrica, vol. 47, nr 2, 263- 292.10.2307/1914185Search in Google Scholar

Kaplan, P.D., Knowles J.A. (2004). Kappa: A Generalized Downside Risk - Adjusted Performance Measure, Morningstar Associates and York Hedge Fund Strategies, January, p. 1 - 17.Search in Google Scholar

Kestner, L.N. (1996). Getting a Handle on True Performance. Futures, Vol. 25, Nr 1, 44 - 46.Search in Google Scholar

Kosowski, R., Naik, N.Y., Teo, M. (2007). Do Hedge Funds Deliver Alpha? A Bayesian and Bootstrap Approach. Journal of Financial Economics, Vol. 84, 229 - 264.10.1016/j.jfineco.2005.12.009Search in Google Scholar

Liang, B. (2000). Hedge Funds: The Living and the Dead. Journal of Financial and Quantitative Analysis, Vol. 35, 309 - 326.10.2307/2676206Search in Google Scholar

Liang, B. (2001). Hedge Fund Performance 1990 - 1999. Financial Analysts Journal, Vol. 57, 2001, 11 - 18.10.2469/faj.v57.n1.2415Search in Google Scholar

Lo, A.W. (2002). The Statistics of Sharpe Ratios. Financial Analysts Journal, July - August, 36 - 50.10.2469/faj.v58.n4.2453Search in Google Scholar

Pruchnicka-Grabias, I. (2015a) Zastosowanie miar maksymalnej straty na kapitale w badaniu efektywności funduszy hedgingowych. In: Kwartalnik Kolegium Społeczno - Ekonomicznego. Studia i prace, Nr 3, tom 3 (23)/2015 (pp. 133- 245). Warszawa: Oficyna Ekonomiczna, Szkoła Główna Handlowa w Warszawie.10.33119/KKESSiP.2015.3.3.10Search in Google Scholar

Pruchnicka-Grabias, I. (2015b). Corporate Financial Risk Management. Warszawa: Szkoła Główna Handlowa w Warszawie.Search in Google Scholar

Pruchnicka-Grabias, I. (2016). Lower Partial Moments and Maximum Drawdown Measures in Hedge Fund Risk - Return Profile Analysis. Universal Journal of Mathematics and Mathematical Sciences. Vol. 9, No. 1 - 2, Pushpa Publishing House, Allahabad, India, 43 - 59.10.17654/UM0090120043Search in Google Scholar

Sharpe, W.F. (1994). The Sharpe Ratio. Journal of Portfolio Management, Vol. 21, Nr 1, 49 - 58.Search in Google Scholar

Sortino, F.A., van der Meer, R., Plantiga, A. (1999). The Dutch Triangle. Journal of Portfolio Management, Vol. 26, 50 - 58.10.3905/jpm.1999.319775Search in Google Scholar

Vault Career Guide to Hedge Funds, Vault Career Library, p. 2, see: www.vault.com.Search in Google Scholar

Web pages of Credit Suisse First Boston Group.Search in Google Scholar

Web pages of Hedge Fund Research.Search in Google Scholar

Young, T.W. (1994). Calmar Ratio: a Smoother Tool. Futures, vol. 20, nr 1, 1991, 40.Search in Google Scholar