A Research Seminar
Hedge Fund Ranking in the Presence of Skewness and Kurtosis
On Thursday, October 22, the Arditti Center will host a research seminar covering popular hedge fund ranking schemes in common use including the Sharpe, Sortino, Omega and Kappa indexes. For return distributions which are Gaussian, these schemes give identical rankings. For distributions which possess Skewness and Kurtosis, different rankings occur and we find that these schemes are incompatible with being a rational risk averse investor. We propose a different ranking process and develop an exact analytical solution and an approximate formula for practical use.
College of Computing and Digital Media from 4:00pm – 5:00pm for this free program. If you would like to reserve a spot, email Kelly at kglenn2@depaul.edu or call 312-362-7531 for information.
