Academic literature on the topic 'Hedge funds – Evaluation'
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Journal articles on the topic "Hedge funds – Evaluation"
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KOH, FRANCIS, DAVID K. C. LEE, and KOK FAI PHOON. "AN EVALUATION OF HEDGE FUNDS: RISK, RETURN AND PITFALLS." Singapore Economic Review 47, no. 01 (April 2002): 153–71. http://dx.doi.org/10.1142/s0217590802000493.
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Hedge funds are collective investment vehicles fast becoming popular with high net worth individuals as well as institutional investors. These are funds that are often established with a special legal status that allows their investment managers a free hand to use derivatives, short sell and exploit leverage to raise returns and cushion risk. Given that they have substantial latitude to invest, it is instructive to examine the performance of hedge funds as compared to other forms of managed funds. This paper provides an overview of hedge funds and discusses their empirical risk and return profiles. It also poses some concerns regarding the empirical measurements. Given the complexity of hedge fund investments, meaningful analytical methods are required to provide greater risk transparency and performance reporting. Hedge fund performance is also beset by a number of practical issues generating "practical risks". These risks are not fully addressed by the usual risk-adjusted performance measures in the literature. A penalty function to discount these extraneous risk dimensions is proposed. The paper concludes that further empirical work is required to provide informative statistics about the risk and return of hedge funds.
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Li, Haitao, Yuewu Xu, and Xiaoyan Zhang. "Hedge Fund Performance Evaluation under the Stochastic Discount Factor Framework." Journal of Financial and Quantitative Analysis 51, no. 1 (February 2016): 231–57. http://dx.doi.org/10.1017/s0022109016000120.
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AbstractWe study hedge fund performance evaluation under the stochastic discount factor framework of Farnsworth, Ferson, Jackson, and Todd (FFJT). To accommodate dynamic trading strategies and derivatives used by hedge funds, we extend FFJT’s approach by considering models with option and time-averaged risk factors and incorporating option returns in model estimation. A wide range of models yield similar conclusions on the performance of simulated long/short equity hedge funds. We apply these models to 2,315 actual long/short equity funds from the Lipper TASS database and find that a small portion of these funds can outperform the market.
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Van Dyk, Francois, Gary Van Vuuren, and Andre Heymans. "Hedge Fund Performance Evaluation Using The Sharpe And Omega Ratios." International Business & Economics Research Journal (IBER) 13, no. 3 (April 28, 2014): 485. http://dx.doi.org/10.19030/iber.v13i3.8588.
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The Sharpe ratio is widely used as a performance evaluation measure for traditional (i.e., long only) investment funds as well as less-conventional funds such as hedge funds. Based on mean-variance theory, the Sharpe ratio only considers the first two moments of return distributions, so hedge funds characterised by asymmetric, highly-skewed returns with non-negligible higher moments may be misdiagnosed in terms of performance. The Sharpe ratio is also susceptible to manipulation and estimation error. These drawbacks have demonstrated the need for augmented measures, or, in some cases, replacement fund performance metrics. Over the period January 2000 to December 2011 the monthly returns of 184 international long/short (equity) hedge funds with geographical investment mandates spanning North America, Europe, and Asia were examined. This study compares results obtained using the Sharpe ratio (in which returns are assumed to be serially uncorrelated) with those obtained using a technique which does account for serial return correlation. Standard techniques for annualising Sharpe ratios, based on monthly estimators, do not account for this effect. In addition, this study assesses whether the Omega ratio supplements the Sharpe Ratio in the evaluation of hedge fund risk and thus in the investment decision-making process. The Omega and Sharpe ratios were estimated on a rolling basis to ascertain whether the Omega ratio does indeed provide useful additional information to investors to that provided by the Sharpe ratio alone.
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Hsieh, Heng-Hsing. "A Review of Performance Evaluation Measures for Actively-Managed Portfolios." Journal of Economics and Behavioral Studies 5, no. 12 (December 30, 2013): 815–24. http://dx.doi.org/10.22610/jebs.v5i12.455.
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In the recognition that investment management is an on-going process, the performance of actively-managed portfolios need to be monitored and evaluated to ensure that funds under management are efficiently invested in order to satisfy the mandate specified in the policy statement. This paper discusses the primary performance evaluation techniques used to measure a portfolio’s basic risk and return characteristics, risk-adjusted performance, performance attribution and market timing ability. It is concluded that the Treynor measure is more suitable for evaluating portfolios that are constituents of a broader portfolio, while the information ratio is useful for evaluating hedge funds with an absolute return objective. Although the Sharpe ratio and M-squared arrive at the same evaluation result, M-squared provides a direct comparison between the portfolio and the benchmark. With regard to the analysis of portfolio performance attribution, it is found that the return-based multifactor model of Sharpe (1992) is not suitable for analyzing the performance of hedge funds that engage in short-selling, leverage and derivatives. Additional factors generated by factor analysis could be used as factors in the extended model of Sharpe (1992) to analyze hedge fund return attributions. Finally, the Treynor and Mazuy (1966) model and the Henriksson and Merton (1981) model essentially distinguish the market timing ability from the security selection ability of the portfolio manager.
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Van Heerden, Chris, Andre Heymans, Gary Van Vuuren, and Wilme Brand. "A Risk-Adjusted Performance Evaluation Of US And EU Hedge Funds And Associated Equity Markets Over The 2007-2009 Financial Crisis." International Business & Economics Research Journal (IBER) 13, no. 1 (December 31, 2013): 169. http://dx.doi.org/10.19030/iber.v13i1.8367.
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Hedge funds are considered to be market-neutral due to their unrestricted investment flexibility and more efficient market timing abilities (Ennis & Sebastian, 2003). They may also be considered as suitably unconventional assets for improving portfolio diversification (Lamm, 1999). The evidence from this study confirms the dominance of hedge funds over the CAC 40, DAX, S&P 500 and Dow Jones from 2004 to 2011. Overall, the Sharpe, Sortino, Omega, Jensens alpha, Treynor and Calmar ratios illustrate that US hedge funds outperformed both EU hedge funds and the associated equity markets over this period. Evidence was also found that both US and EU hedge funds were more correlated with the S&P 500 and Dow Jones after the financial crisis of 2007-2009 than before the crisis.
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Van Dyk, Francois, Gary Van Vuuren, and Andre Heymans. "The Bias Ratio As A Hedge Fund Fraud Indicator: An Empirical Performance Study Under Different Economic Conditions." International Business & Economics Research Journal (IBER) 13, no. 4 (June 30, 2014): 867. http://dx.doi.org/10.19030/iber.v13i4.8698.
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The Sharpe ratio is widely used as a performance evaluation measure for traditional (i.e., long only) investment funds as well as less-conventional funds such as hedge funds. Based on mean-variance theory, the Sharpe ratio only considers the first two moments of return distributions, so hedge funds characterised by complex, asymmetric, highly-skewed returns with non-negligible higher moments may be misdiagnosed in terms of performance. The Sharpe ratio is also susceptible to manipulation and estimation error. These drawbacks have demonstrated the need for augmented measures, or, in some cases, replacement fund performance metrics. Over the period January 2000 to December 2011 the monthly returns of 184 international long/short (equity) hedge funds with investment mandates that span the geographical areas of North America, Europe, and Asia were examined. This study compares results obtained using the Sharpe ratio (in which returns are assumed to be serially uncorrelated) with those obtained using a technique which does account for serial return correlation. Standard techniques for annualising Sharpe ratios, based on monthly estimators, do not account for serial return correlation this study compares Sharpe ratio results obtained using a technique which accounts for serial return correlation. In addition, this study assess whether the Bias ratio supplements the Sharpe ratio in the evaluation of hedge fund risk and thus in the investment decision-making process. The Bias and Sharpe ratios were estimated on a rolling basis to ascertain whether the Bias ratio does indeed provide useful additional information to investors to that provided solely by the Sharpe ratio.
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King, Jeremy, and Gary Wayne van Vuuren. "Flagging potential fraudulent investment activity." Journal of Financial Crime 23, no. 4 (October 3, 2016): 882–901. http://dx.doi.org/10.1108/jfc-09-2015-0051.
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Purpose This paper aims to investigate the use of the bias ratio as a possible early indicator of financial fraud – specifically in the reporting of hedge fund returns. In the wake of the 2008-2009 financial crisis, numerous hedge funds were liquidated and several cases of financial fraud exposed. Design/methodology/approach Risk-adjusted return metrics such as the Sharpe ratio and Value at Risk were used to raise suspicion for fraud. These metrics, however, assume distributional normality and thus have had limited success with hedge fund returns (a characteristic of which is highly skewed, non-normal return distributions). Findings Results indicate that potential fraud would have been detected in the early stages of the scheme’s life. Having demonstrated the credibility of the bias ratio, it was then applied to several indices and (anonymous) South African hedge funds. The results were used to demonstrate the ratio’s scope and robustness and draw attention to other metrics which could be used in conjunction with it. Results from these multiple sources could be used to justify further investigation. Research limitations/implications The traditional metrics for performance evaluation (such as the Sharpe ratio), assume distributional normality and thus have had limited success with hedge fund returns (a characteristic of which is highly skewed, non-normal return distributions). The bias ratio, which does not rely on normally distributed returns, was applied to a known fraud case (Madoff’s Ponzi scheme). Practical implications The effectiveness of the bias ratio in demonstrating potential suspicious financial activity has been demonstrated. Originality/value The financial market has come under heightened scrutiny in the past decade (2005 – 2015) as a result of the fragile and uncertain economic milieu that still (2015) persists. Numerous risk and return measures have been used to evaluate hedge funds’ risk-adjusted performance, but many fail to account for non-normal return distributions exhibited by hedge funds. The bias ratio, however, has been demonstrated to effectively flag potentially fraudulent funds.
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Metzger, Nicola, and Vijay Shenai. "Hedge Fund Performance during and after the Crisis: A Comparative Analysis of Strategies 2007–2017." International Journal of Financial Studies 7, no. 1 (March 6, 2019): 15. http://dx.doi.org/10.3390/ijfs7010015.
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The performance of hedge funds is of interest to investors looking for ways of generating value over passive strategies, particularly in bad times. This study used the Hedge Index database with over 9500 hedge funds to analyse, in depth, the performance of ten major strategies, during and after the financial crisis (June 2007–January 2017). To the best of our knowledge, such a study covering the last ten years has not been published. Performance of the various strategies was analysed, using correlations, the Carhart’s four factor model, persistence of performance, and reward-risk ratios. The findings are that some hedge fund strategies which have persistent performances are also able to outperform the benchmark in some periods. In the crisis period, value-wise, all strategies did better than the S&P500, thereby, conserving value for investors, better than passive investment in the S&P500. Over the entire period of the research (June 2007–January 2017), seven strategies performed better than the S&P500: Global Macro, Multi Strategy, Emerging Markets, Long/Short Equity, Event Driven, Convertible Arbitrage, and Fixed Income Arbitrage. As hedge funds typically have skewed return distributions, performance was analysed in different periods, within conventional and downside risk frameworks. This research contributes to the advancement of knowledge on the outcomes of hedge fund strategies in different market conditions and the reliability of alternative risk frameworks in their evaluation. Apart from the theoretical implications, this research provides practical knowledge to managers and investors on which strategies hold better value and in what circumstances.
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Karehnke, Paul, and Frans de Roon. "Spanning Tests for Assets with Option-Like Payoffs: The Case of Hedge Funds." Management Science 66, no. 12 (December 2020): 5969–89. http://dx.doi.org/10.1287/mnsc.2019.3429.
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We draw on the skewness literature to propose regression-based performance evaluation tests designed for investments with option-like returns. These tests deliver conclusions valid for all risk-averse mean-variance-skewness investors and can better account for nonlinearities in returns than option-based factor models. Applied to mutual and hedge funds, our tests usually suggest selecting different funds than standard tests and find that a significant fraction (11%) of hedge funds adds value to investors, whereas this is an insignificant 4% for mutual funds. We also analyze the economic significance of these option-like returns and their out-of-sample persistence. This paper was accepted by Tyler Shumway, finance.
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Pätäri, Eero J., and Jussi Tolvanen. "Chasing performance persistence of hedge funds – Comparative analysis of evaluation techniques." Journal of Derivatives & Hedge Funds 15, no. 3 (October 9, 2009): 223–40. http://dx.doi.org/10.1057/jdhf.2009.11.
Full textDissertations / Theses on the topic "Hedge funds – Evaluation"
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Qian, Jing. "Evaluation of Hedge Funds Performance." Digital Archive @ GSU, 2006. http://digitalarchive.gsu.edu/math_theses/15.
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Hedge funds are private investment funds characterized by unconventional strategies. This thesis employed multi-factor CAPM to evaluate the performance, or manager skill of hedge funds investment segments by using CSFB/Tremont Hedge Fund Indices from January 1994 to September 2005. The performance evaluation is based on the concept of ¡°Jansen¡¯s alpha¡±, which is estimated by applying Generalized Method of Moment. The finding is that hedge funds industry in general displayed the ability to outperform market proxy. Global Macro shows the strongest manager skill, followed by Event Driven, Equity Market Neutral and Long/Short Equity. This thesis also investigates the consistency of hedge funds performance over market environment. It was discovered that the hedge funds industry in general and all the sub-category investment segments except Convertibly Arbitrage, Emerging Market and Fix income Arbitrage displayed the ability to cushion the impact of financial shocks.
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Palaro, Helder Parra. "Essays in hedge fund replication, evaluation and synthetic funds." Thesis, City University London, 2007. http://openaccess.city.ac.uk/8541/.
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In this thesis it is developed and demonstrated the workings of a copula-based technique that allows the derivation of dynamic trading strategies, which generate returns with statistical properties similar to hedge funds. It is shown that this technique is not only capable of replicating fund of funds returns, but is equally well suited for the replication of individual hedge fund returns. Since replication is accomplished by trading futures on traditional assets only, it avoids the usual drawbacks surrounding hedge fund investments, including the need for extensive due diligence, liquidity, capacity, transparency and style drift problems, as well as excessive management fees. This replication technique is also used to evaluate the net-of-fee performance of 875 funds of hedge funds and 2073 individual hedge funds, up to an including November 2006. Comparing fund returns with the returns on dynamic futures trading strategies with the same risk and dependence characteristics, no more than 18.6% of the funds of funds and 22.5% of the individual hedge funds in the data sample convincingly beat the benclunark. Besides the replication and evaluation of funds which already exist in the market, this technology can also be used to create new funds with previously unavailable return characteristics, the so-called `synthetic funds'. In a set of four out-ofsample tests over the period January 1998 - February 2007, it is shown that the replication-based strategies are indeed capable of accurately generating returns with a variety of properties, including negative correlation with stocks and bonds and high positive skewness. The synthetic funds also produce impressive average excess returns. Disappointing performance is leading hedge fund investors to look for cheaper alternatives to invest, such as indices of hedge funds. Unfortunately, investable hedge fund indices are nothing more than funds of funds in disguise, with performance similar or even worse than real funds of funds. The replication technology generates returns with statistical properties very similar to those of hedge fund indices, and a higher average return for most hedge fund categories, but without actually investing in hedge funds.
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Madigele, Loago Thabang wa ga Mmamogapi Banking & Finance Australian School of Business UNSW. "Relative performance of alternative investment vehicles: hedge funds, funds of funds, and CTA funds." Awarded by:University of New South Wales. School of Banking and Finance, 2005. http://handle.unsw.edu.au/1959.4/32313.
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This thesis examines the degree to which alternative funds deviate from their style-benchmark and how this is related to past performance and fund size, and how it impacts future risk and returns. Additionally the thesis examines how security selection and market timing skills differ across varying degrees of deviation from the benchmark. The thesis uses data for hedge funds, funds of funds, and CTA funds from the Center for International Securities and Derivatives Markets and employs fund???s tracking error relative to their style-benchmark to estimate the level of drift. The style-benchmarks used are the median return for all reporting funds that follow a particular style and funds are assigned a benchmark based on their self-reported style. First, this thesis documents statistically significant differences in the tracking errors of portfolios of funds with the highest tracking error versus funds with the lowest tracking error, implying that some managers drift from their self-reported style-benchmarks. Second, funds??? benchmark-inconsistency is less severe in the case of funds that have a regulatory obligation to disclose their performance, suggesting that the absence of regulation fosters an environment where managers can be more flexible with their investment approach. Third, the tendency to drift from the benchmark is most prevalent amongst funds with superior past performance as well as small funds. Fourth, future total portfolio risk increases as funds display more benchmarkinconsistency, suggesting that managers adopt riskier strategies as they attempt to enhance returns. Fifth, the thesis demonstrates that CTA funds that display drift from their benchmark produce higher absolute and relative returns in subsequent periods regardless of the direction of the general market. In contrast, the findings show for hedge funds and funds of funds, benchmark-inconsistent funds are likely to outperform in bull markets and underperform in bear markets. Finally, this thesis shows that more benchmark-consistent managers have better security selection skill. The main contribution of this thesis is in identifying the group of hedge funds, funds of funds, and CTA funds that are likely to deviate from their self-reported style-benchmark and the risk-return consequences of such deviations. The findings have implications for investors and regulators.
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Chagmani, Saoussen. "La performance des hedge funds et l’évolution des marchés financiers." Thesis, Paris 10, 2013. http://www.theses.fr/2013PA100034.
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Dans l’environnement financier d’après crise, le business model des hedge funds semble remis en cause. La crise a en effet révélé leur incapacité à générer du rendement absolu puisqu’ils sont corrélés aux marchés financiers. La prétention d’en être décorrélée ne tient pas en effet, au début de l’année 20l0, la performance des hedge funds était parallèle à celle des actions, qui ont enregistré une hausse fin 2009. Aujourd’hui la tendance est d’avantage à la stagnation, à l’instar des hedge funds. Ils ont eu des difficultés à se rétablir et à dégager des profils exceptionnels, indépendamment de la conjoncture financière. C’est pourquoi l’évaluation et l’analyse de la performance représentent des éléments de recherche qu’on examine à travers cette thèse. Ce travail de recherche offre aux investisseurs, aux risk managers, ou encore aux autorités de régulation des marchés, une réponse à plusieurs interrogations, à savoir, l’attribution des performances absolues dans l’industrie hedge funds est-elle « vrai » ou il s ’agit d ’un phénomène de marketing ? Quelle est la relation entre les rendements des hedge funds et l’évolution des marchés financiers ? Comment expliquer la différence des rentabilités des stratégies hedge funds ?In the post-crisis financial environment, the business model of hedge funds seems challenged. The crisis has revealed their inability to générérer absolute return since they are correlated with financial markets. Pretending to be uncorrelated does not in fact, at the beginning of 2010; the hedge fund performance was parallel to that of actions, which rose late 2009. Today the trend is of benefit to the stagnation, like hedge funds. They had difficulty réatblir and release profiles exceptional indépedemment financial conditions. This is why the evaluation and analysis of the performance represent elements of research that examines through this thesis. This research provides investors, risk managers, or regulators to market a response to several interrogations, namely, the assignment of absolute performance in the hedge fund industry is it "true" or it is a marketing phenomenon? What is the relationship between hedge fund returns and financial markets? How to explain the difference in returns of hedge fund strategies?
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Brand, Wilhelmine Helena. "Evaluation of US and European hedge funds and associated international markets : a risk-performance measure approach / Wilhelmine Helana Brand." Thesis, North West University, 2014. http://hdl.handle.net/10394/13055.
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The 2007–2009 financial crisis led to a decrease in consumer and investor confidence worldwide (SARB, 2008:2). Along with the weakened business sentiment and consumer demand, tightened funding conditions in financial markets, increased inflationary pressures, and declining global manufacturing activities, the world economic recession that followed the collapse of the world financial sector led to an estimated wealth destruction of approximately US$50 trillion (SARB, 2008:2; Aisen & Franken, 2010:3; Karunanayake et al., 2010). Apart from this estimate, the International Monetary Fund (IMF) also projected that the global bank balance sheets in advanced countries suffered losses of approximately US$4 trillion during the period 2009–2010 (Aisen & Franken, 2010:3). As a result, investors have become more risk-adverse (Guiso et al., 2013:1), and the consequences of the financial crisis, made insurable profitable investment decisions extremely difficult as market volatility tends to increase during crises periods (Karunanayake et al., 2010; Schwert, 1989:83). With the financial environment in distress, some fund managers consider equities as the preferred asset class to protect the purchasing power of their clients (Ivan, 2013). However, the studies of Ennis and Sebastian (2003) and Nicholas (2004) found evidence that hedge funds will outperform equity markets during a downswing in financial markets. In addition, hedge funds are considered market-neutral due to these investment funds’ unrestricted investment flexibility and more efficient market timing abilities (Ennis & Sebastian, 2003). Hedge funds are also considered to be more unconventional assets for improving portfolio diversification (Lamm, 1999:87), where the variation of investment strategies available in a hedge fund has the ability to satisfy investors with several different risk preferences (Shin, 2012). Still, a number of previous studies have debated conflicting evidence regarding the performance of hedge funds and the persistence in outperforming other markets. This led to the objective of this study; to evaluate the risk-adjusted performance of US and EU hedge funds compared to the associated world equity markets over the 2007–2009 financial crisis. The evidence from this study confirmed the dominance of hedge funds over the CAC 40, DAX, S&P 500 and Dow Jones, from 2004 to 2011, emphasising that the performance of the US and EU hedge funds would overshadow a normal buy-and-hold strategy on the world equity markets under investigation. Overall, the Sharpe-, Sortino-, Jensen’s alpha-, Treynor- and Calmar ratios illustrated that US hedge funds outperformed both EU hedge funds and the associated equity markets over this period. The presence of non-normality among the return distributions led to the use of the Omega ratio as the proper benchmark, which also confirmed the outperformance of US hedge funds over EU hedge funds and associated world equity markets.MCom (Risk Management), North-West University, Vaal Triangle Campus, 2014
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Agarwal, Vikas. "Place of hedge funds in a prudent portfolio : risk-return characteristics and performance evaluation." Thesis, London Business School (University of London), 2001. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.368204.
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Liberal, Gonçalo Maria Oliveira Dá Mesquita. "Do hedge fund indices enhance portfolio performance?" Master's thesis, Instituto Superior de Economia e Gestão, 2016. http://hdl.handle.net/10400.5/12550.
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Mestrado em FinançasAs carteiras de investimento tradicionais são focadas apenas em duas classes de ativos: Ações e Obrigações. Nas últimas décadas as carteiras institucionais, e de investidores privados, para perfis de risco equilibrados têm colocado o foco em 60% de ações globais, usualmente através do índice americano S&P500, e em 40% de obrigações através do índice Barclays US Aggregate Bond. A componente de obrigações tende a baixar a volatilidade das ações, resultando numa menor volatilidade destas carteiras. Dadas as atuais baixas taxas de juros, e as baixas yields das obrigações, esta classe de ativos poderá aumentar a sua volatilidade contribuindo para um maior risco destas carteiras. Posto isto, poderá fazer sentido aumentar a exposição a outros instrumentos financeiros por forma a diversificar estas carteiras e diminuir os riscos sistemáticos dos mercados financeiros. Torna-se assim necessário considerar alternativas de investimento, com o objetivo de obter retornos ajustados ao risco na constituição de carteiras de investimento. Os fundos de investimento de retorno absoluto, ou hedge funds, podem constituir alternativas de investimento válidas em períodos de alta volatilidade, e têm ganho visibilidade originando um aumento da procura, ou seja, a um aumento dos ativos sobre gestão. O presente trabalho tem como objetivo estudar a combinação de índices investíveis de Hedge Funds numa carteira tradicional de 60% de ações e 40% de obrigações. Pretende-se determinar a carteira de variância mínima e de Markowitz e os respetivos pesos dos índices de hedge funds na carteira de referência e comparar a sua performance.
Traditional investment portfolios are focused only on two asset classes: Stocks and Bonds. In recent decades institutional portfolios and private investors have, for balanced risk profiles, focused on 60% of global stock usually through the US S&P500 and 40% bonds through the Barclays US Aggregate Bond Index. Therefore, it is necessary to increase exposure to other financial instruments in order to diversify these portfolios and reduce systemic risks in financial markets. If so, investors should consider adding alternatives to their traditional investments as a way to potentially reduce their portfolios sensitivity to financial markets. It is therefore necessary to consider investment alternatives, in order to get adjusted returns to risk in setting up investment portfolios. Absolute return funds or hedge funds, may present a valid alternative investment in times of high volatility, and have gained visibility in periods of bear markets compared to stock index funds, consequently leading to an increase in demand, i.e., an increase of assets under management for these assets. This study aims to analyze the combination of investable indices of hedge funds in a traditional portfolio of 60% stocks and 40% bonds. It is intended to determine the minimum variance portfolio and Markowitz and the respective weights of hedge fund indices in the reference portfolio and compare their performance considering time windows of two, five and ten years.
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Rocha, Matheus Quinete. "Medidas de desempenho para hedge funds no Brasil com destaque para a medida Ômega." reponame:Repositório Institucional do FGV, 2006. http://hdl.handle.net/10438/2247.
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Previous issue date: 2006-02-15T00:00:00ZMutual funds performance evaluation is, traditionally, made using Sharpe Ratio that considers only the first and the second moments of the return distribution (mean and variance), but it requires assumptions on the normality of the returns distribution and on the investor’s utility function as quadratic. However, it is well known that a quadratic utility function is inconsistent with investor behavior and some funds, like hedge funds, have returns distributions far from a normal distribution Keating and Shadwick (2002a, 2002b) proposed a new measure called Omega that incorporates all the moments of the distribution, and has the advantage of requiring no assumptions on the returns distribution or on the utility function of a risk averse investor. The purpose of this work is to verify if this measure has a greater forecast power than other performance measures, like Sharpe and Sortino Ratios. The empiric study indicated that Omega measure makes a ranking, most of the time, different from the other measures. Despite the portfolios constructed with Omega have had an average return greater than the average return of the portfolios constructed using the other measures, in almost all the tests, this difference of averages of returns was significant only in some cases. In spite of this, there is a light indication that Omega measure is the most appropriate for the use of investors when is made the performance evaluation of mutual funds.
A avaliação de desempenho de fundos de investimentos é, tradicionalmente, realizada utilizando-se o Índice de Sharpe, que leva em consideração apenas os dois primeiros momentos da distribuição de retornos (média e variância), assumindo as premissas de normalidade da distribuição de retornos e função quadrática de utilidade do investidor. Entretanto, é sabido que uma função de utilidade quadrática é inconsistente com o comportamento do investidor e que as distribuições de retornos de determinados fundos, como os hedge funds, estão longe de serem uma distribuição normal. Keating e Shadwick (2002a, 2002b) introduziram uma nova medida denominada Ômega que incorpora todos os momentos da distribuição, e tem a vantagem de não ser necessário fazer premissas sobre a distribuição dos retornos nem da função de utilidade de um investidor avesso ao risco. O objetivo deste trabalho é verificar se esta medida Ômega tem um poder de previsibilidade maior que outras medidas de avaliação de desempenho, como o Índice de Sharpe e o Índice de Sortino. O estudo empírico indicou que a medida Ômega gera um ranqueamento, na maioria das vezes, relativamente diferente das outras medidas testadas. Apesar das carteiras formadas com base na medida Ômega terem gerado um retorno médio maior que o retorno médio das carteiras formadas pelas outras medidas em praticamente todos os testes, esta diferença entre as médias dos retornos só foi significativa em alguns casos. Mesmo assim, há uma leve indicação de que a medida Ômega é a mais apropriada para utilização do investidor ao fazer a avaliação de desempenho dos fundos de investimentos.
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Hirota, Ronaldo Sueo. "A influ??ncia dos ??ndices de desempenho nos rankings dos fundos de investimento multimercado no Brasil." FECAP - Faculdade Escola de Com??rcio ??lvares Penteado, 2015. http://132.0.0.61:8080/tede/handle/tede/392.
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Previous issue date: 2015-03-23This study aims to analyze the influence of performance measure in the rankings of multimarket funds in Brazil. The specific objectives sought to understand the concepts and application of the parameters in the evaluation of investment funds performance, present the similarities and differences of performance measures of investment funds, verify the performance of mutual funds in the period of 6 years and applying the Spearman correlation coefficient to describe and measure the relationship between the rankings produced by different levels of performance. The main contribution of this work is to identify if the indicators create different rankings for the individual or corporate investor can decide how to evaluate these funds. It attempted to separate 385 multimarket investment funds which are not exclusive with returns that represent a normal distribution (309 funds) and non-normal distribution (76 funds), in the period of January 2008 to December 2013 to analyze the correlation of rankings between the indexes. The relevance of correlation between the performance measures is if these indexes impact directly in the rankings of multimarket investment funds. Existing high rank correlations, it s clear that it s up to the investor to decide which index to use evaluating the multimarket funds. In the period analyzed, there was a high correlation between the rates of Modigliani, Sharpe and Sortino. The Treynor index was the only one where it was found a low correlation with the others
O presente trabalho tem como principal objetivo analisar a influ??ncia dos ??ndices de desempenho nos rankings dos fundos multimercado no Brasil. Como objetivos espec??ficos, buscou-se compreender os conceitos e aplica????o dos ??ndices na avalia????o de desempenho de fundos de investimento, apresentar as semelhan??as e diferen??as dos ??ndices de desempenho de fundos de investimento, verificar o desempenho dos fundos de investimento no per??odo de 6 anos e aplicar o ??ndice de correla????o de Spearman para descrever e mensurar a rela????o entre os rankings produzidos por diferentes ??ndices de desempenho. A principal contribui????o desse trabalho ?? identificar se os indicadores de desempenho produzem rankings diferentes para que o investidor individual ou corporativo possa decidir como avaliar esses fundos. Buscou-se separar 385 fundos de investimento multimercado n??o exclusivos com retornos mensais que representam uma distribui????o normal (309 fundos) e distribui????o n??o normal (76 fundos), do per??odo de Janeiro de 2008 a Dezembro de 2013 para analisar a correla????o dos rankings entre os ??ndices. A relev??ncia da correla????o entre os ??ndices ?? analisar se a escolha dessas medidas impactam diretamente nos rankings dos fundos multimercado. Existindo alta correla????o, ?? poss??vel afirmar que fica a crit??rio do investidor qual ??ndice utilizar para a avalia????o de fundos. No per??odo analisado, houve alta correla????o entre os ??ndices de Modigliani, Sharpe e Sortino. O ??ndice de Treynor foi o ??nico em que foi constatada baixa correla????o com os demais.
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Al, Wakil Anmar. "Modélisation de la Volatilité Implicite, Primes de Risque d’Assurance, et Stratégies d’Arbitrage de Volatilité." Thesis, Paris Sciences et Lettres (ComUE), 2017. http://www.theses.fr/2017PSLED047/document.
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Les stratégies de volatilité ont connu un rapide essor suite à la crise financière de 2008. Or, les récentes performances catastrophiques de ces instruments indiciels ont remis en question leurs contributions en couverture de portefeuille. Mes travaux de thèse visent à repenser, réinventer la philosophie des stratégies de volatilité. Au travers d'une analyse empirique préliminaire reposant sur la théorie de l'utilité espérée, le chapitre 1 dresse le diagnostic des stratégies traditionnelles de volatilité basées sur la couverture de long-terme par la réplication passive de la volatilité implicite. Il montre que, bien que ce type de couverture bat la couverture traditionnelle, elle s'avère inappropriée pour des investisseurs peu averses au risque.Le chapitre 2 ouvre la voie à une nouvelle génération de stratégies de volatilité, actives, optionnelles et basées sur l'investissement factoriel. En effet, notre décomposition analytique et empirique du smile de volatilité implicite en primes de risque implicites, distinctes et investissables permet de monétiser de manière active le portage de risques d'ordres supérieurs. Ces primes de risques mesurent l'écart de valorisation entre les distributions neutres au risque et les distributions physiques.Enfin, le chapitre 3 compare notre approche investissement factoriel avec les stratégies de volatilité employées par les hedge funds. Notre essai montre que nos stratégies de primes de risque d'assurance sont des déterminants importants dans la performance des hedge funds, tant en analyse temporelle que cross-sectionnelle. Ainsi, nous mettons en évidence dans quelle mesure l'alpha provient en réalité de la vente de stratégies d'assurance contre le risque extrêmeVolatility strategies have flourished since the Great Financial Crisis in 2008. Nevertheless, the recent catastrophic performance of such exchange-traded products has put into question their contributions for portfolio hedging and diversification. My thesis work aims to rethink and reinvent the philosophy of volatility strategies.From a preliminary empirical study based on the expected utility theory, Chapter 1 makes a diagnostic of traditional volatility strategies, based on buy-and-hold investments and passive replication of implied volatility. It exhibits that, although such portfolio hedging significantly outperforms traditional hedging, it appears strongly inappropriate for risk-loving investors.Chapter 2 paves the way for a new generation of volatility strategies, active, option-based and factor-based investing. Indeed, our both analytical and empirical decomposition of implied volatility smiles into a combination of implied risk premia, distinct and tradeable, enables to harvest actively the compensation for bearing higher-order risks. These insurance risk premia measure the pricing discrepanciesbetween the risk-neutral and the physical probability distributions.Finally, Chapter 3 compares our factor-based investing approach to the strategies usually employed in the hedge fund universe. Our essay clearly evidences that our tail risk premia strategies are incremental determinants in the hedge fund performance, in both the time-series and the cross-section of returns. Hence, we exhibit to what extent hedge fund alpha actually arises from selling crash insurance strategies against tail risks
Books on the topic "Hedge funds – Evaluation"
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Strachman, Daniel A. The long and short of hedge funds: A complete guide to hedge fund evaluation and investing. Hoboken, N.J: John Wiley & Sons, 2009.
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Jagannathan, Ravi. Do hot hands persist among hedge fund managers?: An empirical evaluation. Cambridge, Mass: National Bureau of Economic Research, 2006.
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Yann, Schorderet, ed. Market risk management for hedge funds: Foundations of the style and implicit value-at-risk. John Wiley & Sons: Chichester, West Sussex, England ; Hoboken, NJ, 2008.
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Einhorn, David. Fooling some of the people all of the time: A long short (and now complete) story. Hoboken, NJ: Wiley, 2011.
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Tran, Vinh Quang. Evaluating Hedge Fund Performance. New York: John Wiley & Sons, Ltd., 2006.
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Tran, Vinh Q., ed. Evaluating Hedge Fund Performance. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2012. http://dx.doi.org/10.1002/9781119201182.
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Evaluating hedge fund performance. Hoboken, N.J: Wiley, 2006.
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Travers, Frank J. Hedge fund analysis: An in-depth guide to evaluating return potential and assessing risks. Hoboken, N.J: Wiley, 2012.
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1956-, Gregoriou Greg N., Rouah Fabrice 1964-, and Sedzro Komlan 1964-, eds. Performance evaluation of hedge funds. Washington, D.C: Beard Books, 2003.
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Strachman, Daniel A. Long and Short of Hedge Funds: A Complete Guide to Hedge Fund Evaluation and Investing. Wiley & Sons, Incorporated, John, 2009.
Find full textBook chapters on the topic "Hedge funds – Evaluation"
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Mbairadjim, Alfred M., Jules Sadefo Kamdem, and Michel Terraza. "Hedge Funds Risk-adjusted Performance Evaluation: A Fuzzy Set Theory-Based Approach." In Understanding Investment Funds, 57–71. London: Palgrave Macmillan UK, 2013. http://dx.doi.org/10.1057/9781137273611_4.
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Li, Sheng, and Oliver Linton. "Evaluating Hedge Fund Performance: A Stochastic Dominance Approach." In Handbook of Portfolio Construction, 551–64. Boston, MA: Springer US, 2010. http://dx.doi.org/10.1007/978-0-387-77439-8_20.
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Kat, Harry M., and Helder P. Palaro. "Replication and evaluation of funds of hedge funds returns." In Funds of Hedge Funds, 45–56. Elsevier, 2006. http://dx.doi.org/10.1016/b978-075067984-8.50006-7.
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"Average Hedge Funds and their Evaluation." In Investing in the Modern Age, 35–43. WORLD SCIENTIFIC, 2013. http://dx.doi.org/10.1142/9789814504751_0004.
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Fischer, Bernd R., and Russ Wermers. "Analysis of Multi-Asset Class Portfolios and Hedge Funds." In Performance Evaluation and Attribution of Security Portfolios, 549–89. Elsevier, 2013. http://dx.doi.org/10.1016/b978-0-08-092652-0.00014-5.
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"Instant Diversification: Funds of Funds." In Evaluating Hedge Fund Performance, 219–39. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2015. http://dx.doi.org/10.1002/9781119201182.ch10.
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"Evaluating Superior Hedge Funds." In Investing in the Modern Age, 55–74. WORLD SCIENTIFIC, 2013. http://dx.doi.org/10.1142/9789814504751_0006.
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Scharfman, Jason. "Evaluating Trends in Funds of Hedge Funds Operational Due Diligence." In Reconsidering Funds of Hedge Funds, 17–27. Elsevier, 2013. http://dx.doi.org/10.1016/b978-0-12-401699-6.00002-2.
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Carretta, Alessandro, and Gianluca Mattarocci. "Choice of Risk Measure in Evaluating UCITS Funds of Hedge Funds." In Reconsidering Funds of Hedge Funds, 71–87. Elsevier, 2013. http://dx.doi.org/10.1016/b978-0-12-401699-6.00006-x.
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"A Primer on Hedge Funds." In Evaluating Hedge Fund Performance, 1–2. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2015. http://dx.doi.org/10.1002/9781119201182.part1.
Full textConference papers on the topic "Hedge funds – Evaluation"
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Buckley, Muneer, Adam Ghandar, Zbigniew Michalewicz, and Ralf Zurbruegg. "Evaluation of intelligent quantitative hedge fund management." In 2009 IEEE Congress on Evolutionary Computation (CEC). IEEE, 2009. http://dx.doi.org/10.1109/cec.2009.4983205.
Full textReports on the topic "Hedge funds – Evaluation"
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Jagannathan, Ravi, Alexey Malakhov, and Dmitry Novikov. Do Hot Hands Exist Among Hedge Fund Managers? An Empirical Evaluation. Cambridge, MA: National Bureau of Economic Research, February 2006. http://dx.doi.org/10.3386/w12015.
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