"Sharper" Risk Adjusted Performance Measures (RAPMS) from Omega to AIRAP

Milind Sharma (MSCF '97), Director, Global Arbitrage & Trading, RBC Capital Markets Hedgequest Summer 2005 - www.hedgeweek.com

In this paper Milind Sharma argues that we must go beyond Sharpe ratios and other approaches that ignore the higher moments of investment return distributions. He discusses two RAPMs that offer real improvement: The Omega measure; and his own AIRAP (alternative investments risk-adjusted performance). The Omega measure is a very flexible tool based on non-parametric statistical analysis. Sharma's AIRAP is derived from the economic theory of expected utility.

Read the paper. (.pdf)

The following additional papers by Milind Sharma can be viewed at

http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=355277

• A.I.R.A.P - Alternative RAPMs for Alternative Investments
• A.I.R.A.P. -Alternative Views on Alternative Investments