It is widely accepted that, when return distributions are non-normal, the use of the Sharpe ratio can lead to misleading conclusions.  It is well documented that deviations of hedge fund return distributions from normality are statistically significant.  The literature on performance evaluation that takes into account the non-normality of return distributions is a vast one.  However, there is another stream of research that advocates that the choice of performance measure does not influence the evalutaion of hedge funds.