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

Year 2022, Issue: 118, 1 - 12, 21.10.2022

Aykan Coşkun , İsrafil Zor

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

Abstract

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.

Keywords

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

PERFORMANS ORANLARININ ÖNEM AĞIRLIKLARI: HEDGE FONLARIN ENTROPİ YÖNTEMİYLE İNCELENMESİ

Abstract

Bu çalışmada Ocak 1999-Mayıs 2019 döneminde faaliyet gösteren hedge fonların verileri kullanılarak performans oranlarının önem ağırlıkları incelenmek istenmiştir. Çalışmada hedge fon yatırımcılarının yüksek olmasını bekledikleri bilgi, Calmar, Jensen’in alfası, m-kare, Sharpe, Sortino ve Sterling oranları hesaplanmış, bu oranların önem ağırlıkları çok kriterli karar verme yöntemlerinden biri olan Entropi yöntemi ile belirlenmiştir. Sonuçlar Sortino, Sterling ve Jensenin alfası oranlarının önem ağırlıklarının diğer oranlardan daha yüksek olduğunu göstermektedir.

Keywords

Performans Oranları, Entropi Metodu, Hedge Fonlar, Getiri, Risk

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