Feb
20
Analyzing Hedge Funds, Like Sharpe Ratios, from Allen Gillespie
February 20, 2007 |
Is ROIC (return on invested capital) a viable alternative to measures such as information ratio, Sharpe ratio, etc.? It appears to me that even some of the marquee hedge funds employ a lot of capital in order to realize ordinary returns.
Should one be using net exposures or truly looking at gross exposures, or are there alternative measures that would be useful?
Gordon Haave notes:
The problem with ROIC is that it doesn't account for the level of risk the capital was exposed to in order to generate the returns.
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