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

Aykan Coşkun; İsrafil Zor

doi:10.33203/mfy.1075559

EN TR

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

Öz

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.

Anahtar Kelimeler

Performance Ratios, Entropy Method, Hedge Funds, Return, Risk

Kaynakça

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
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
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
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
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
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
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
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
Engert, A. (2010). Transnational hedge fund regulation. European Business Organization Law Review, 11(3), 329-378. https://doi.org/10.1017/S1566752910300036
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

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
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
Januzzi, F. V., Bressan, A. A. and Moreira, F. (2020). Opacity, risk, performance and inflows in hedge funds. Revista de Administração Contemporânea. 24(1), 77-99. https://doi.org/10.1590/1982-7849rac2020180233
Joenväärä, J., Kosowski, R. and Tolonen, P. (2019). The effect of investment constraints on hedge fund investor returns. Journal Of Financial and Quantitative Analysis, 54(4), 1539-1571. http://dx.doi.org/10.1017/S0022109018001333
Knif, J., Koutmos, D. and Koutmos, G. (2020). Higher co-moment capm and hedge fund returns. Atlantic Economic Journal, 48(1), 99-113. http://dx.doi.org/10.1007/s11293-020-09659-1
Malladi, R. (2020). Luck versus skill in evaluating hedge fund managers’ performance. Journal of Business & Management, 26(1), 22-39. DOI 10.6347/JBM.202003_26(1).0002
Shemshadi, A., Shirazi, H., Toreihi, M., and Tarokh, M. J. (2011). A fuzzy VIKOR method for supplier selection based on entropy measure for objective weighting. Expert Systems with Applications, 38(10), 12160-12167. https://doi.org/10.1016/j.eswa.2011.03.027
Smith, M. D. (2017). Evaluating hedge fund performance. Publisher Oxford University Press. June, 1-34. http://dx.doi.org/10.2139/ssrn.2987358
Sun, Z., Wang, A. and Zheng, L. (2018). Only winners in tough times repeat: Hedge fund performance persistence over different market conditions. Journal of Financial and Quantitative Analysis, 53(5), 2199-2225. https://doi.org/10.1017/S0022109018000200
Watanabe, Y. (2010). The recent trend of hedge fund strategies. New York: Nova Science Publishers.
Zhang, H., Gu, C. L., Gu, L. W., and Zhang, Y. (2011). The evaluation of tourism destination competitiveness by TOPSIS & information entropy–A case in the Yangtze River Delta of China. Tourism Management, 32(2), 443-451. https://doi.org/10.1016/j.tourman.2010.02.007
Zheng, Y. and Osmer, E. (2018). The relationship between hedge fund performance and stock market sentiment. Review of Pacific Basin Financial Markets & Policies, 21(3), 1-29. https://doi.org/10.1142/S0219091518500169

Ayrıntılar

Birincil Dil

İngilizce

Konular

Finans

Bölüm

Araştırma Makalesi

Yazarlar

Aykan Coşkun ^*
0000-0002-9912-6871
Türkiye

İsrafil Zor
0000-0001-6073-7571
Türkiye

Yayımlanma Tarihi

21 Ekim 2022

Gönderilme Tarihi

18 Şubat 2022

Kabul Tarihi

21 Ekim 2022

Yayımlandığı Sayı

Yıl 2022 Sayı: 118

DOI

https://doi.org/10.33203/mfy.1075559

IZ

https://izlik.org/JA24PF52JY

APA

Coşkun, A., & Zor, İ. (2022). Importance Weights of Performance Ratios: Analyzing Hedge Funds by Entropy Method. Maliye ve Finans Yazıları, 118, 1-12. https://doi.org/10.33203/mfy.1075559

AMA

1.Coşkun A, Zor İ. Importance Weights of Performance Ratios: Analyzing Hedge Funds by Entropy Method. Maliye ve Finans Yazıları. 2022;(118):1-12. doi:10.33203/mfy.1075559

Chicago

Coşkun, Aykan, ve İsrafil Zor. 2022. “Importance Weights of Performance Ratios: Analyzing Hedge Funds by Entropy Method”. Maliye ve Finans Yazıları, sy 118: 1-12. https://doi.org/10.33203/mfy.1075559.

EndNote

Coşkun A, Zor İ (01 Ekim 2022) Importance Weights of Performance Ratios: Analyzing Hedge Funds by Entropy Method. Maliye ve Finans Yazıları 118 1–12.

IEEE

[1]A. Coşkun ve İ. Zor, “Importance Weights of Performance Ratios: Analyzing Hedge Funds by Entropy Method”, Maliye ve Finans Yazıları, sy 118, ss. 1–12, Eki. 2022, doi: 10.33203/mfy.1075559.

ISNAD

Coşkun, Aykan - Zor, İsrafil. “Importance Weights of Performance Ratios: Analyzing Hedge Funds by Entropy Method”. Maliye ve Finans Yazıları. 118 (01 Ekim 2022): 1-12. https://doi.org/10.33203/mfy.1075559.

JAMA

1.Coşkun A, Zor İ. Importance Weights of Performance Ratios: Analyzing Hedge Funds by Entropy Method. Maliye ve Finans Yazıları. 2022;:1–12.

MLA

Coşkun, Aykan, ve İsrafil Zor. “Importance Weights of Performance Ratios: Analyzing Hedge Funds by Entropy Method”. Maliye ve Finans Yazıları, sy 118, Ekim 2022, ss. 1-12, doi:10.33203/mfy.1075559.

Vancouver

1.Aykan Coşkun, İsrafil Zor. Importance Weights of Performance Ratios: Analyzing Hedge Funds by Entropy Method. Maliye ve Finans Yazıları. 01 Ekim 2022;(118):1-12. doi:10.33203/mfy.1075559

Maliye ve Finans Yazıları dergisinin kapsamını ekonomi, maliye, finans ve bankacılık alanlarındaki çalışmalar oluşturmaktadır.

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

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

Öz

Anahtar Kelimeler

PERFORMANS ORANLARININ ÖNEM AĞIRLIKLARI: HEDGE FONLARIN ENTROPİ YÖNTEMİYLE İNCELENMESİ

Öz

Anahtar Kelimeler

Kaynakça

Ayrıntılar

Birincil Dil

Konular

Bölüm

Yazarlar

Yayımlanma Tarihi

Gönderilme Tarihi

Kabul Tarihi

Yayımlandığı Sayı

DOI

IZ

Kaynak Göster