Evaluating Hedge Funds – Alphas, Sharpe Ratios & the Underappreciated Appraisal Ratio

By Peter Hecht, Ph. D., Vice President, Senior Investment Strategist at Evanston Capital Management   EXECUTIVE SUMMARY • Markowitz’s “mean-variance” modern portfolio theory (“MV-MPT”) teaches us to evaluate investments, including hedge funds, in the context of the entire portfolio. Within MV-MPT, investors want to form portfolios with the highest Sharpe Ratio, i.e. maximize expected excess […] Read more »