BusinessFinanceFinancial ManagementFinancial EconomicsPerformance MeasurementQuantitative FinanceHedge FundsPerformance EvaluationPerformance MetricsPortfolio TheoryRisk MeasurementRisk-return AnalysisFinancial AnalysisGain-loss TheoryHedge Fund ReturnsHedge Fund Style AnalysisHigher-moment Portfolio TheoryHigher-order MomentsInvestment Performance EvaluationMoments
We propose and examine a new performance measure in the spirit of the downside, lower partial moment and gain-loss literatures. We indicate how this may be applied across a broad range of problems in financial analysis. The performance measure captures all of the higher moments of the returns distribution. The performance measure is applied to a range of hedge fund style or strategy indices.