For those interested in academic papers....
We know that hedge fund returns usually are non-normally distributed and non-linearly related with market returns. These characteristics of hedge fund returns can affect traditional measures of performance, like the Sharpe Ratio.
One alternative approach would be to evaluate a Hedge Fund by the cost of a replicating procedure, which would produce the same distribution of returns in the long-run trading liquid future contracts.
There is a paper by me about this study in:
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=800665
We know that hedge fund returns usually are non-normally distributed and non-linearly related with market returns. These characteristics of hedge fund returns can affect traditional measures of performance, like the Sharpe Ratio.
One alternative approach would be to evaluate a Hedge Fund by the cost of a replicating procedure, which would produce the same distribution of returns in the long-run trading liquid future contracts.
There is a paper by me about this study in:
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=800665
