PT - JOURNAL ARTICLE AU - Ellen Rachlin AU - Maria Castro TI - Hedge Funds' Delta Sharpe Score for the Fund of Funds Portfolio Manager AID - 10.3905/joi.2007.694768 DP - 2007 Aug 31 TA - The Journal of Investing PG - 83--88 VI - 16 IP - 3 4099 - https://pm-research.com/content/16/3/83.short 4100 - https://pm-research.com/content/16/3/83.full 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