The study concentrates on alternative risk measures. We depict the research showing that maximum drawdown and lower partial moments measures lead to similar hedge fund strategies rankings as the traditional Sharpe ratio. The advantage of the paper is that the research takes into consideration the period of 2007-2008 when the American mortgage crisis appeared and the majority of hedge funds realized substantial losses together with the dramatic decrease of their assets under management. The paper shows that the Sharpe ratio, although largely criticized because of being based on the standard deviation, is neither a better nor a worse measure of hedge fund effectiveness than the examined alternative measures. All the ratios show similar results.

hedge funds, alternative risk measures, efficiency, risk return ratios.