Sharpe Ratio & YTD

[SimoLaraki]

Hello,

Please, can someone explain to me what should I know exactly from the Sharpe Ratio and the Year to Date of ant hedge fund, and how can I compare between hedge funds with these indicators !

Thanks

 

[Alexandre Chretien]

Sharpe ratio give a measure (though not very good when it comes to hedge funds) of return to risk ratio. It is calculated as the return above the risk free rate, divided by the volatility of returns.

I say it is not so good when we talk of hedge funds because it only takes into account mean return and vol. When dealing with hedge funds you want measures that can take into account higher moments such as asymmetry.

Go look sortino or omega measures.

Year to date is usually the return of the hedge fund since Jan 01 of the current year.