RT Journal Article
SR Electronic
T1 Hedge Funds' Delta Sharpe Score for the Fund of Funds Portfolio Manager
JF The Journal of Investing
FD Institutional Investor Journals
SP 83
OP 88
DO 10.3905/joi.2007.694768
VO 16
IS 3
A1 Ellen Rachlin
A1 Maria Castro
YR 2007
UL https://pm-research.com/content/16/3/83.abstract
AB This article describes a derivative portfolio metric that grades individual sub-funds' contribution to the Sharpe ratio of a fund of funds portfolio. The metric is a scaling of the amount by which an additional 1% portfolio NAV allocation to an individual sub-fund changes the portfolio's Sharpe ratio. The usefulness of this metric is that it provides a scoring system for portfolio sub-funds. The score rates, comprehensively, a given sub-fund's risk-adjusted performance as well as its allocation size in the portfolio. This metric generates scores which allow the fund of funds portfolio manager to rank sub-funds relative to each other for their risk-adjusted returns and allocation size in the portfolio.TOPICS: Derivatives, portfolio construction, quantitative methods