PulseJournal ClubResearchersJournalsExplore
Instagram
HomeJournal ClubExplore
Synapse
⌘+K
Synapse
April 26, 2021

Comparing Sharpe Ratios Across Market Cycles for Hedge Fund Strategies

View Full Paper
Ask AI
Bookmark
Share

Authors

KKK. L. Senthil Kumar

Discussion

Loading...

Member takes

Overview

Analysis reveals varying Sharpe ratios for hedge fund strategies across market cycles, suggesting performance measures might need more adaptability.

Key Points

  • Sharpe ratios show significant variance across different market cycles, impacting hedge fund strategy performance.
  • Strategies like trend-following exhibit consistent resilience in high volatility, while others are cycle dependent.
  • The study utilized empirical data to analyze Sharpe ratios within contexts of market expansion, contraction, and crises.
  • Identifying the limitations of the Sharpe ratio opens discussions for complementary performance measures like Omega and Treynor ratios.

Cite This Study

K. L. Senthil Kumar (2021) studied this question.

synapsesocial.com/papers/68af66dfad7bf08b1eae6290https://doi.org/10.21590/ijhit.spcl.01.01
View Full Paper
Ask AI
Bookmark
Share

Also Consider

Synapse has enriched 5 closely related papers on similar clinical questions. Consider them for comparative context:

  1. 1Quantitative Empirical Research on Portfolio Optimization Based on Sharpe Ratio and Market Index2025
  2. 2Some Results on Bivariate Squared Maximum Sharpe Ratio2024 · 1 citations
  3. 3Sharpe Ratio Inference: A New Standard for Decision Making and Reporting2026 · 3 citations
  4. 4Risk-Return Trade-Off In Blue Chip Mutual Funds: An Evaluation Using Sharpe, Treynor, And Jensen Measures In The Banking Sector2024 · 1 citations
  5. 5Portfolio construction and portfolio evaluation using sharpe’s model2025