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A COMPARISON OF SOUTH AFRICAN HEDGE FUND RISK MEASURES
Article first published online: 1 NOV 2007
DOI: 10.1111/j.1813-6982.2007.00131.x
Additional Information
How to Cite
Botha, M. (2007), A COMPARISON OF SOUTH AFRICAN HEDGE FUND RISK MEASURES. South African Journal of Economics, 75: 459–477. doi: 10.1111/j.1813-6982.2007.00131.x
Publication History
- Issue published online: 1 NOV 2007
- Article first published online: 1 NOV 2007
- Abstract
- Article
- References
- Cited By
Keywords:
- C13;
- C22;
- C32;
- C41;
- C53
- Hedge funds;
- Omega ratio;
- risk measurement;
- risk management
Abstract
Although hedge funds have enjoyed unrivalled dominance after years of stellar returns, a combination of low interest rates, sustained economic growth and diminished arbitrage opportunities now threaten them. Distinguishing between funds – an onerous task with notoriously opaque investment strategies – has become paramount in the search for optimal returns. Simple risk and return performance measures cannot cope with the demands of an increasingly complex financial milieu. Interest has thus focused on more effective discriminatory performance measures. The innovative Omega ratio is calculated for South African hedge funds and compared with both Sharpe and Sortino ratios. Omega emerges as the superior measure.