RT Journal Article SR Electronic T1 Performance Measurement of Hedge Funds Portfolios in a Downside Risk Framework JF The Journal of Wealth Management FD Institutional Investor Journals SP 101 OP 112 DO 10.3905/JWM.2009.12.2.101 VO 12 IS 2 A1 Chokri Mamoghli A1 Sami Daboussi YR 2009 UL https://pm-research.com/content/12/2/101.abstract AB This article starts with the recognition of the limits of a mean–variance framework to measure the performance of hedge funds, whose returns are often not normally distributed and usually asymmetric. It then introduces the literature focused on performance measurement in a downside-risk framework. The authors present both traditional and alternative performance measures, including an index of their own construction. They conclude that three well-accepted methods provide different rankings of hedge funds and, explaining the differences thus observed, suggest that the hedge fund alphas computed using their own approach are more correct.TOPICS: Real assets/alternative investments/private equity, risk management, statistical methods, performance measurement