scholarly journals The Performance Measurement of Generalized Sharpe Ratio and Economic Performance Measure: A Hedge Funds Example

2022 ◽  
Vol 10 (1) ◽  
pp. 124-130
Author(s):  
Pham Ngoc Van ◽  
Khoa Dang Duong
2014 ◽  
Vol 13 (6) ◽  
pp. 1261
Author(s):  
Francois Van Dyk ◽  
Gary Van Vuuren ◽  
Andre Heymans

The Sharpe ratio is widely used as a performance measure for traditional (i.e., long only) investment funds, but because it is based on mean-variance theory, it only considers the first two moments of a return distribution. It is, therefore, not suited for evaluating funds characterised by complex, asymmetric, highly-skewed return distributions such as hedge funds. It is also susceptible to manipulation and estimation error. These drawbacks have demonstrated the need for new and additional fund performance metrics. The monthly returns of 184 international long/short (equity) hedge funds from four geographical investment mandates were examined over an 11-year period.This study contributes to recent research on alternative performance measures to the Sharpe ratio and specifically assesses whether a scaled-version of the classic Sharpe ratio should augment the use of the Sharpe ratio when evaluating hedge fund risk and in the investment decision-making process. A scaled Treynor ratio is also compared to the traditional Treynor ratio. The classic and scaled versions of the Sharpe and Treynor ratios were estimated on a 36-month rolling basis to ascertain whether the scaled ratios do indeed provide useful additional information to investors to that provided solely by the classic, non-scaled ratios.


Author(s):  
Ben Kwame Agyei-Mensah

Purpose Focussing on responsibility theory of management accounting, the purpose of this paper is to test how performance measurements are applied in divisionalised financial service companies. Management accounting theory suggests that two different measures of branch performance should be computed: one to evaluate the economic performance of each branch and the other to evaluate the performance of branch managers (managerial performance). It also advocates that the evaluation of a manager’s performance should consist of only those factors under his or her control. That is, divisionalised performance measurement should be based on the application of the controllability principle, the study also identified the contingent factors that impinged on the selection of performance measures and the allocation of common costs (ACCs) to branches. Design/methodology/approach Using a survey questionnaire and analysis of financial statements of the 129 respondent companies the application of financial performance measures: non-financial performance measures and ACCs were tested. For the purpose of this study, dummy variables were assigned to represent whether or not an item is used, if an item is used 1 is assigned to that item and 0 if an item is not used. The values assigned were then summed up to represent the total score for each company. Descriptive statistics and regression analysis was performed to test the six hypotheses of the study. Findings The study found that a substantial majority of respondents used different performance measures to evaluate the performance of their branch managers and the economic performance of branches. Both financial and non-financial performance measures were equally used in measuring the performance of branches and branch managers. The study also found that branch managers do not have full autonomy and control over the allocation of common resources costs which form part of their evaluation, even though accounting theory suggest that. The regression analysis results showed that firm size, liquidity and leverage were the factors that influence the decision to employ financial performance measures, non-financial performance measures and ACC by the respondent companies. Research limitations/implications Despite the popularity of the balanced scorecard it is surprising to note that none of the respondents have ever used this as a performance measure. The implication is that knowledge of this performance measure is very low among the respondents. The excessive use of uncontrollable factors in the measurement process can reduce the morale of the staff involve hence steps should be taken to reduce their use. Originality/value This is one of the few studies conducted on the application of performance measures in the financial services and also in a developing country setting. The findings would help organisations in both developing and developed economies to improve upon the application of performance measurement techniques in their branches/divisions.


2001 ◽  
Vol 58 (1_suppl) ◽  
pp. 37-57
Author(s):  
Lawrence C. Kleinman

Preferred provider organizations (PPOs) represent a diverse and complex set of arrangements among insurance entities, networks of physicians, network organizers, and purchasers. Opinions differ regarding the degree to which PPOs have responsibility to manage care and to measure and report key aspects of their performance to customers and the public. Technical and operational challenges to performance measurement currently limit public reporting, even when agreement exists that it is appropriate for PPOs to do so. The Health Plan and Employer Data and Information Set (HEDIS) is a health maintenance organization performance measure that could provide standards for PPO reporting. This article explores conceptual and methodological considerations regarding HEDIS and other performance measurement in PPOs and identifies failures of the current marketplace. While using some measures may be premature or inappropriate, there are significant opportunities to apply other measures now and, by doing so, to create a functional health care marketplace.


2021 ◽  
Author(s):  
Sonali P. Desai ◽  
Allen Kachalia

Attention to the quality of care within the United States health care system has grown tremendously over the past decade. We have witnessed a significant change in how quality improvement and clinical performance measurement are approached. The current focus on quality and safety stems in part from the increasingly clear realization that more services and technological advancement are not automatically equivalent to high-quality care. Much of the discussion about cost and quality in health care is shifting towards the concept of value. Value is defined as health outcomes achieved per dollar spent (in other words, an assessment of the quality of care per cost). This chapter reviews the current state of quality improvement in health care and, because improvement cannot be determined without measurement, reviews several aspects of effective clinical performance measurement. Since many measures are already in place, the chapter describes some of the organizations involved in quality measurement and improvement, as well the approaches they utilize. It looks at the multiple strategies in place to improve quality, from process management to collaboration, from financial incentives to transparency, and reviews newer models of care delivery that may materialize in the near future. Tables list types of quality measures, characteristics to consider when developing a quality measure, and organizations involved in quality improvement and performance measurement. A figure shows strategies used by the federal government to spur performance measurement and quality improvement. This review contains 1 figure, 3 tables, and 56 references Keywords: Quality of care, performance measure, quality improvement, clinical practice, sigma six, transparency


2017 ◽  
Vol 52 (3) ◽  
pp. 1081-1109 ◽  
Author(s):  
Yong Chen ◽  
Michael Cliff ◽  
Haibei Zhao

We develop an estimation approach based on a modified expectation-maximization (EM) algorithm and a mixture of normal distributions associated with skill groups to assess performance in hedge funds. By allowing luck to affect both skilled and unskilled funds, we estimate the number of skill groups, the fraction of funds from each group, and the mean and variability of skill within each group. For each individual fund, we propose a performance measure combining the fund’s estimated alpha with the cross-sectional distribution of fund skill. In out-of-sample tests, an investment strategy using our performance measure outperforms those using estimated alpha and t-statistic.


2017 ◽  
Vol 2017 ◽  
pp. 1-17 ◽  
Author(s):  
Ying Liu ◽  
Ya-Nan Li

When facing to make a portfolio decision, investors may care more about every portfolio’s performance on a return and risk trade-off. In this paper, a new low partial moment measurement that only punishes the loss risk is defined for selection variables based on L-S integral. Furthermore, a new performance measure for portfolio evaluation is proposed to generalize the Sharpe ratio in the fuzzy context. With the optimal performance criterion, a new parametric Sharpe ratio portfolio optimization model is developed wherein uncertain returns are presented as parametric interval-valued fuzzy variables. To make the proposed model easy to solve, we transform the fractional programming into an equivalent form and solve it with domain decomposition method (DDM). Finally, we apply the proposed performance measure into a portfolio selection problem, compare the computational results in different cases, and analyze the influence of different parameters on the optimal portfolio.


2001 ◽  
Vol 58 (4_suppl) ◽  
pp. 37-57 ◽  
Author(s):  
Lawrence C. Kleinman

Preferred provider organizations (PPOs) represent a diverse and complex set of arrangements among insurance entities, networks of physicians, network organizers, and purchasers. Opinions differ regarding the degree to which PPOs have responsibility to manage care and to measure and report key aspects of their performance to customers and the public. Technical and operational challenges to performance measurement currently limit public reporting, even when agreement exists that it is appropriate for PPOs to do so. The Health Plan and Employer Data and Information Set (HEDIS) is a health maintenance organization performance measure that could provide standards for PPO reporting. This article explores conceptual and methodological considerations regarding HEDIS and other performance measurement in PPOs and identifies failures of the current marketplace. While using some measures may be premature or inappropriate, there are significant opportunities to apply other measures now and, by doing so, to create a functional health care marketplace.


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