What is the primary instrument to measure different fund( pension, hedge and mutual fund) performance?

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Kamal Gupta

Hi! I am also working on mutual fund performance but using secondary data. I have seen one thesis on this topic with primary data in Delhi University. You can search that thesis.

Erik Theissen

Hi, you may want to check Russ Wermer's survey on the topic:

Wermers, R. (2011): Performance Measurement of Mutual Funds, Hedge Funds, and Institutional Accounts. Annual Review of Financial Economics 3, 537-574.

Angel Marchev

(Not a full answer - just a reminder)

I am sure you know this, but do not trust Sharpe Ratio (or any of the conceptually similar measures) as it is not a monotonous function for negative returns.

Patrick Navatte

Hi,

Here is an original contribution. You could be interested :

. Failure Risk and the Cross-Section of Hedge Fund Returns.

By: Kim, Jung-Min. Financial Management (Wiley-Blackwell). Winter2016, Vol. 45 Issue 4, p845-876. 32p.

Best regards

You may have a look to this recent paper:

Strategic Delays and Clustering in Hedge Fund Reported Returns.

By: Aragon, George O.; Nanda, Vikram. Journal of Financial & Quantitative Analysis. Feb2017, Vol. 52 Issue 1, p1-35. 35p. DOI: 10.1017/S0022109016000715.