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Maximum drawdown measures in hedge fund efficiency appraisal (author: Izabela Pruchnicka-Grabias)
pages: 83-91

JEL classification: E44, C6

Key words: hedge funds, efficiency measures, risk

The study concentrates on the comparison of hedge fund efficiency measured by maximum drawdown measures with traditional risk/return ratios. The examined period is from 1990 to 2011 and the data were provided by Hedge Fund Research. It is a continuation of the research done for a shorter period, that is for the years 2005 – 2011. The results obtained there were interesting and showed that the results of complex efficiency measures aren’t much different from traditional measures. It posed the question of whether it is worth applying them with their entire complexity. The author wants to check if the same conclusions will be drawn for a longer period. After having analyzed maximum drawdown measures, further research will be devoted to other groups of measures. It should give the answer to the question of whether complex efficiency measures are as useful as it is often stressed in the hedge fund literature.

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