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Assessing Hedge Fund Performance: Does the Choice of Measures Matter?

Nguyen-Thi-Thanh, Huyen - HAL - 2007

In this paper, we conducted a comparative study of ten measures documented as the most used by researchers and practionners: Sharpe, Sortino, Calmar, Sterling, Burke, modified Stutzer, modified Sharpe, upside potential ratio, Omega and AIRAP. This study was carried out in two stages on a sample...

Persistent link: https://www.econbiz.de/10008793397

The necessity to correct hedge fund returns: empirical evidence and correction method

Gallais-Hamonno, Georges; Nguyen-Thi-Thanh, Huyen - HAL - 2007

We study two principal mechanisms suggested in the literature to correct the serial correlationin hedge fund returns and the impact of this correction on financial characteristics of their returnsas well as on their risk level and on their performances. The methods of Geltner (1993), its...

Persistent link: https://www.econbiz.de/10008793728

Quantitative selection of hedge funds using data envelopment analysis

Nguyen-Thi-Thanh, Huyen - HAL - 2006

Previous studies have documented that Data Envelopment Analysis(DEA) could be a good tool to evaluate fund performance,especially the performance of hedge funds as it can incorporatemultiple risk-return attributes characterizing hedge fund's nonnormal return distribution in an unique performance...

Persistent link: https://www.econbiz.de/10008791478

Carry trade and return crash risk

Sy, Mouhamadou; Tabarraei, Hamidreza - HAL - 2009

We build two leveraged and non-leveraged strategies for carry trading. In the non-leveraged carry trade we show that the Sharpe ratio as a proxy for profitability has a concave form with respect to the interest rate differentials. Our model predicts the concavity of the Sharpe ratio and data...

Persistent link: https://www.econbiz.de/10010738717

On the Use of Data Envelopment Analysis in Hedge Fund Performance Appraisal

Nguyen-Thi-Thanh, Huyen - HAL - 2006

This paper aims to show that Data Envelopment Analysis (DEA) is an efficient tool to assist investors in multiple criteria decision-making tasks like assessing hedge fund performance. DEA has the merit of offering investors the possibility to consider simultaneously multiple evaluation criteria...

Persistent link: https://www.econbiz.de/10008794389

Volatility made observable at last

Fliess, Michel; Join, Cédric; Hatt, Frédéric - HAL - 2011

The Cartier-Perrin theorem, which was published in 1995 and is expressed in the language of nonstandard analysis, permits, for the first time perhaps, a clear-cut mathematical definition of the volatility of a financial asset. It yields as a byproduct a new understanding of the means of returns,...

Persistent link: https://www.econbiz.de/10008836782

Le greenwashing publicitaire est-il efficace ? Une analyse de l'élaboration négative des éléments d'exécution

Benoît-Moreau, Florence; Larceneux, Fabrice; Parguel, … - HAL - 2009

Cette recherche examine l'influence du greenwashing publicitaire sur l'image écologiquedu produit et de l'annonceur. Une expérimentation fondée sur le modèle ELM et menéesur 640 répondants manipule trois éléments d'exécution publicitaire : la couleur verte, leterme " durablement " et...

Persistent link: https://www.econbiz.de/10009393818

Trust and Manipulation in Social Networks

Förster, Manuel; Mauleon, Ana; Vannetelbosch, Vincent - HAL - 2013

We investigate the role of manipulation in a model of opinion formation where agents have opinions about some common … manipulate are given by the agents' preferences. We show that manipulation can modify the trust structure and lead to a connected … society, and thus, make the society reaching a consensus. Manipulation fosters opinion leadership, but the manipulated agent …

Persistent link: https://www.econbiz.de/10011025872

Detecting Performance Persistence of Hedge Funds : A Runs-Based Analysis

Kaffel, Rania Hentati; Peretti, Philippe De - HAL - 2014

In this paper, we use nonparametric runs-based tests to analyze the randomness of returns and the persistence of relative returns of hedge funds. Runs tests are implemented on a universe of hedge extracted from HFR database over the period spanning January 2000 to December 2012. Our findings...

Persistent link: https://www.econbiz.de/10011026186

Faut-il corriger les rentabilités des hedge funds?

Nguyen-Thi-Thanh, Huyen; Gallais-Hamonno, Georges; … - HAL - 2008

Ce papier examine deux principaux mécanismes proposés dans la littérature pour corriger les rentabilités lissées des hedge funds et l'impact de cette correction sur les caractéristiques statistiques de la distribution des rentabilités et sur la performance des fonds. Nos résultats...

Persistent link: https://www.econbiz.de/10008790420