TY - JOUR T1 - Hedge Funds' Delta Sharpe Score for the Fund of Funds Portfolio Manager JF - The Journal of Investing SP - 83 LP - 88 DO - 10.3905/joi.2007.694768 VL - 16 IS - 3 AU - Ellen Rachlin AU - Maria Castro Y1 - 2007/08/31 UR - https://pm-research.com/content/16/3/83.abstract N2 - 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 ER -