SavedAdd your journal

Journals / Maliye ve Finans Yazıları / 2022 / Sayı: 118

Importance Weights of Performance Ratios: Analyzing Hedge Funds by Entropy Method

PERFORMANS ORANLARININ ÖNEM AĞIRLIKLARI: HEDGE FONLARIN ENTROPİ YÖNTEMİYLE İNCELENMESİ

Aykan COŞKUN
İsrafil ZOR
Pages
1–12
Publication Date
2022-10-21
DOI
—
🏛️Bibliographic metadata and full text access for this article are provided via DergiPark.
DergiPark Record ↗
✨

AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

The results show that Sortino, Sterling, and Jensen’s alpha ratios have higher importance weights than other ratios.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:In this study, it is aimed to examine the importance weights of performance ratios by using the data of hedge funds operating in the January 1999-May 2019 period.
📊
Key Findings & Data:In the study information, Calmar, Jensens alpha, m-square, Sharpe, Sortino and Sterling ratios, which hedge fund investors expect to be high, were calculated, and the importance weights of these ratios were determined by the Entropy method, which is one of the multi-criteria decision-making methods.
💡
Conclusion & Impact:The results show that Sortino, Sterling, and Jensen’s alpha ratios have higher importance weights than other ratios.
🔬Design:Research Article
📍Scope:2019 Verileri
⚙️Variables:Performans Oranları · Entropi Metodu · Hedge Fonlar

Abstract

In this study, it is aimed to examine the importance weights of performance ratios by using the data of hedge funds operating in the January 1999-May 2019 period. In the study information, Calmar, Jensens alpha, m-square, Sharpe, Sortino and Sterling ratios, which hedge fund investors expect to be high, were calculated, and the importance weights of these ratios were determined by the Entropy method, which is one of the multi-criteria decision-making methods. The results show that Sortino, Sterling, and Jensen’s alpha ratios have higher importance weights than other ratios.

Özet

Bu çalışmada Ocak 1999-Mayıs 2019 döneminde faaliyet gösteren hedge fonların verileri kullanılarak performans oranlarının önem ağırlıkları incelenmek istenmiştir. Çalışmada hedge fon yatırımcılarının yüksek olmasını bekledikleri bilgi, Calmar, Jensen’in alfası, m-kare, Sharpe, Sortino ve Sterling oranları hesaplanmış, bu oranların önem ağırlıkları çok kriterli karar verme yöntemlerinden biri olan Entropi yöntemi ile belirlenmiştir. Sonuçlar Sortino, Sterling ve Jensenin alfası oranlarının önem ağırlıklarının diğer oranlardan daha yüksek olduğunu göstermektedir.

🔖

Cite This Article

COŞKUN, A., ZOR, İ. (2022). Importance Weights of Performance Ratios: Analyzing Hedge Funds by Entropy Method. Maliye ve Finans Yazıları, Sayı: 118, 1–12. https://ajindex.com/articles/875730

📄 Full Text PDF Viewer

📄

PDF görüntüleyici hazırlanıyor...

References (12)

  1. Ackermann, Carl., Mc Enally R. and Ravenscraft, D. (1999). The performance of hedge funds: risk, return, incentives. Journal of Finance, 54(3), 833–874. https://doi.org/10.1111/0022-1082.00129
  2. Agarwal, V., Naveen, D. and Narayan, N. (2011). Do hedge funds manage their reported returns? Review of Financial Studies, 24(10), 3281-3320. https://doi.org/10.1093/rfs/hhr058
  3. Aragon, G. O. and Nanda, V. (2017). Strategic delays and clustering in hedge fund reported returns. Journal of Financial & Quantitative Analysis, 52(1), 1-35. https://doi.org/10.1017/S0022109016000715
  4. Bollen N., P.B. and Pool V. K (2009). Do hedge fund managers misreport returns? Evidence from the pooled distribution. The Journal of Finance, 14(5), 1-54. http://dx.doi.org/10.2139/ssrn.1018663
  5. Canepaa, A., De La O. Gonzalez, M. and Skinner, F. S. (2020). Hedge fund strategies: a non-parametric analysis. International Review of Financial Analysis, 67(1), 1-15. http://dx.doi.org/10.2139/ssrn.3499492
  6. Cao, C., Chen, Y., Goetzmann, W. N. and Liang, B. (2018). Hedge funds and stock price formation. Financial Analysts Journal a Publication of CFA Institute, 74(3), 54-69. http://dx.doi.org/10.2139/ssrn.2121495
  7. Chelikani, S., Kilic, O. and Coe, T. (2019). The hedge fund industry’s market timing ability and role in financial contagion: evidence from the strategic response to the 2008 financial crisis. Banking and Finance Review, 1(1), 79-100. http://ccsu.financect.net/FTC205/BFR0920Papers/877-2615-1-PB.pdf
  8. Duanmu, J., Malakhov, A. and Mccumber, W. R. (2018). Beta active hedge fund management. Journal Of Fınancıal And Quantıtatıve Analysıs, 53(6), 2525-2558. http://dx.doi.org/10.1017/S0022109018000388
  9. Engert, A. (2010). Transnational hedge fund regulation. European Business Organization Law Review, 11(3), 329-378. https://doi.org/10.1017/S1566752910300036
  10. Fung, W., Hsieh, D. A, Naik, N. and Ramadorai, T. (2008). Hedge funds: performance, risk and capital formation. The Journal Of Finance, 13(4), 1-43. https://doi.org/10.1111/j.1540-6261.2008.01374.x
  11. Getmansky, M. Andrew, W. Lo and Makarov, I. (2004). An econometric model of serial correlation and illiquidity in hedge fund returns. Journal of Financial Economics, 74(2004), 529–609. https://doi.org/10.1016/j.jfineco.2004.04.001
  12. Goetzmann, W., Ingersoll, J., Spiegel, M. and Welch, I. (2007). Portfolio performance manipulation and manipulation-proof performance measures. Review of Financial Studies, 20(5), 1503-1546. http://dx.doi.org/10.1093/rfs/hhm025 Januz