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Hedge Funds' Delta Sharpe Score for the Fund of Funds Portfolio Manager

Ellen Rachlin and Maria Castro
The Journal of Investing Fall 2007, 16 (3) 83-88; DOI: https://doi.org/10.3905/joi.2007.694768
Ellen Rachlin
A portfolio manager at Mariner Investment Group, Inc. in Harrison, NY.
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  • For correspondence: erachlin@marinercapital.com
Maria Castro
A senior risk analyst at Mariner Investment Group, Inc. in Harrison, NY.
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  • For correspondence: mcastro@marinercapital.com
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Abstract

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

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Hedge Funds' Delta Sharpe Score for the Fund of Funds Portfolio Manager
Ellen Rachlin, Maria Castro
The Journal of Investing Aug 2007, 16 (3) 83-88; DOI: 10.3905/joi.2007.694768

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Hedge Funds' Delta Sharpe Score for the Fund of Funds Portfolio Manager
Ellen Rachlin, Maria Castro
The Journal of Investing Aug 2007, 16 (3) 83-88; DOI: 10.3905/joi.2007.694768
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