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The main goal of this paper is to show how to take the extreme risk of hedge funds into account in the evaluation of their performance. More exactly, we suggest adjusting this last one by the estimated from the development based on extreme value theory. The new measure that we call "Sharpe-Extreme ratio", makes it possible to sanction funds which record high losses. It appears to be compatible with investors' preferences considering their aversion for the extreme risk. Empirical evidence suggests the use of this measure avoids overestimating the performance of hedge funds in comparison with others indicators. Moreover, this study shows that the performance persistence of hedge funds seems to be a short-term phenomenon which decreases when the measurement horizons lengthens.

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