Are these in 2008 curriculum?
I sure hope not seeing that this is the first time I have heard of these
Go away!
Today our Instructor in a seminar warned to be careful about people just like you…guys dont pay attention to such questions. if someone is asking these kinds of questions, it certainly is to distract others…
Is the BigWilly ratio in the LOS this year???
If your asking questions like that this late in the game …you must be BLERON …
did Bleron pass L2?
bigwilly Wrote: ------------------------------------------------------- > Is the BigWilly ratio in the LOS this year??? yes it is …right after LOS - 42 DD
I have just had these two ratios in one of four choices availble to a multiple choice question in a mock exam prepared by our local instrctor here. I still don’t the answer but I will recieve the my paper tomorrow and get the chance to have feedback on this from the instructor directly. I am sorry I didn’t mean to annoy anyone. I am like you guys can’t remember seen this anywhwere.
No Calmer and Sterling Ratio are not on the exam.
Which of the followings are most suitable for apprasing HF performance: A- Sharpe ratio B- Information ratio. C- Downside Deviation. D- Calmer and Sterling ratios. The correct answer is D. Sortino, gain-to-loss, Calmer and Sterling ratios are all proper measures for measuring HF performance. A- Sharpe ratio has many limitations to measure HF performance. B- HF are absolute - return vehicles , which means no direct benckmark exists. C- Downside deviation is a measure of volatility. I referred to Reading 34 in CR and found performance apppraisal measures section under HF which mentioned the four proper measures plus how to game Sharpe ratio. I don’t know if this info is within LOS as I couldn’t find it in Schweser. Sorry again if I did annoy anyone here in the forum.
you can just answer that my default though. the other 3 all focus on stan dev, which is not appropriate…
At least Stalla clearly states that the Sharpe ratio is acceptable for hedge funds although I do not agree because of the assymetrical payoffs.
AT, check again, I believe they states its widely used by HF’s (which it is) but it is not appropriate due to the asymmetry. Actually Downside Deviation is appropriate as it only considers returns below a Target rate of return and doesnt assume normality… Well I’m almost certain it is 
Also, Calmer and Sterling are used in the perfomrance evaluation world, but they are not widely known so they aren’t widely used.
eklypse Wrote: ------------------------------------------------------- > did Bleron pass L2? No, he did not. If I remember correctly he wasn’t even close last year. Whether or not I believe the guy and his whole “strategy” is another matter. Personally, I think Bleron was a figment of JoeyD’s imagination.
confirmed willy: downside Deviation is apparently the guru of HF performance measures… (as it doesn’t utilize stan dev due to non normal distributiion assumption) i retract my original answer and go with downside deviation…
Also, the Sterling ratio is the Average Annual return for the latest 36 months divided by the avg of the Max Drawdown during each of the latest 3 12-month periods + 10%. The Calmar ratio is the Avg annual return of the latest 36 months divided by the Max Drawdown during the latest 36 months. So in other words, the STerling and Calmar ratio use the Max Drawdown measure as a measure of risk which does not assume normality.
so sterling and Calmar don’t assume normality? Are C & D both correct?
I guess… Who the heck knows
Downside deviation is a measure for volatility (risk). It doesn’t measure return relative to risk. In other words we don’t use it to appraise HF performance, however it is used to measure the risk (volatility) of HF performance.