Fund performance raises specific issues

Simple measures, such as the Sharpe ratio,3 which are based on the normality assumption, are then not valid for assessing the performance and riskiness of a hedge fund. The same applies to all value-at-risk (VaR) measures that assume normally distributed returns. Non-normality of hedge fund returns is seen easily with statistical tests for normality. The most well-known test is the Jarque-Bera test.4 Another popular one is the Lilliefors test,5 which is in fact an adaptation of the Kolmogorov-Sm