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

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 with direct control over the priority level paid to each criterion. By addressing main methodological issues regarding the use of DEA in evaluating hedge fund performance, this paper attempts to provide investors sufficient guidelines for tailoring their own performance measure which reflect successfully their own preferences. Although these guidelines are formulated in the hedge fund context, they can also be applied to other kinds of investment funds.hedge fund, mutual fund, alternative investment, data envelopment analysis, performancemeasures, Sharpe ratio

Quantitative selection of hedge funds using data envelopment analysis

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 score. Thepurpose of this paper is to extend the use of DEA to the contextof hedge fund selection when investors must face multi-dimensionalconstraints, each one associated to a relative importance level.Unlike previous studies which used DEA in an empirical framework,this research puts emphasis on methodological issues. I showedthat DEA can be a good tailor-made decision-making tool to assistinvestors in selecting funds that correspond the most to theirfinancial, risk-aversion, diversification and investment horizonconstraints.hedge funds, data envelopment analysis, fund selection, performance measurement, alternative investment

Hedge fund behavior: An ex-post analysis

This paper aims to analyze hedge fund index behavior over the 9-year period ranging from January 1994 to December 2002 with help of various statistical measures. The results indicate that hedge fund returns are not normally distributed and exhibit first order autocorrelation, a phenomenon known as smoothing or stale price bias. Entire period correlations between 13 hedge fund indices and 85 market factors provide evidence that most of hedge fund styles show strong positive correlations with equity and real estate indices, and negative correlations with volatility index. Two exceptions are Dedicated Short Bias and Long Short Equity indices, which exhibit significant negative correlations with equity indices but positive correlations with volatility index. However, these correlations vary over time, depending on market conditions. The results also reveal that hedge funds generally underperform than the market in upward periods but do better than the market in downward ones. Dedicated Short Bias and Long Short Equity are the only ones that make loss in upward markets and make profits in downside market.hedge fund, alternative investment, performance measurement

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

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 of 149 hedge funds. First, we examined the modifications of funds' relative performance in terms of ranks and deciles when the performance measure changes. Despite strong positive correlations between funds' rankings established by different measures, numerous significant modifications were observed. Second, we studied the stability/persistence of the ten measures in question. Our results show that some measures are more stable or persistent than the others in measuring hedge fund performance.hedge funds; performance evaluation; performance measure; Sharpe ratio

Impact of Economic Downturn on Child Labor in Vietnam

The economic recession led to the economic downturn, loss of jobs and income, and the risk of falling back into the poverty of near-poor and poor households. This recession caused an increase in child labor. This study aimed to analyze the concept of child and child labor under a regulatory framework and assess how the economic downturn affects child labor in Vietnam. This study used analytical research methods through synthesis, comparison, and legal analysis, emphasizing literary research based on secondary research data. This study showed that the economic downturn increased the proportion of child labor because the parents and the family's breadwinner are unemployed or cut down on their income. Children were out of school to help household businesses or look for work for extra income. The economic downturn increased the number of children working in unsafe working conditions. It increased the risk of children being forced into illegal jobs prohibited and exposing children to labor to risk forced labor. It resulted in difficulties preventing and eliminating child labor, especially in a developing country like Vietnam, due to the high number of employees working in the informal sector, who were often unsupported by social security policies such as unemployment insurance and social insurance. This study suggested that the Government should establish policies to promote sustainable economic development and promulgate appropriate social security policies to promptly support workers and their families out of difficulties caused by job loss. Also, it should organize the effective implementation of regulations on eliminating child labor and raise social awareness in preventing and eliminating child labor. KEYWORDS: Economic Downturn, Child Labor, COVID-19 Pandemic

EXISTE-T-IL UN EFFET P.E.R. REALISE ET PREVISIONNEL ?

Plusieurs études récentes mettent en évidence la présence d'un effet PER sur les grands marchés boursiers dans le monde. Cependant, certaines études les contredisent. Dans cet article, nous présentons l'évidence qu'il existe bien un effet PER réalisé à la Bourse de Paris durant la période récente de 1991 à 2001. Par contre, l'existence d'un effet engendré par les PER anticipés est moins certaine parce que les mesures de performance standard donnent des résultats contradictoires. Enfin, nous montrons que l'allongement de l'horizon de prévision de bénéfice ainsi que celui de la période de conservation de portefeuille conduisent à l'affaiblissement, voire la disparition de ces effets. Ce phénomène peut être expliqué en partie par la caractéristique relativement précise des prévisions de bénéfices données par les analystes et la capacité du marché à corriger les sur-réactions et les sous-réactions des investisseurs.PER, anomalie, performance, portefeuille, stratégie d'investissement

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

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 extensionby Okunev & White (2003) and of Getmansky, Lo & Makarov (2004) are realized on a sampleof 54 hedge fund indexes. The results show that the unsmoothing leaves the mean unchangedbut increases significantly the risk level of hedge funds, whether the risk is measured in terms ofthe return standard-deviation or the modified Value-At-Risk. Funds' performances, measured bytraditional Sharpe ratio and Omega index decline considerably. By contrast, funds' rankings afterthe unsmoothing unexpectedly change slightly. However, some notable modifications in ranks ofseveral funds are observed. The necessary transparency of the management practice requires thatsuch a correction must be systematically done.hedge funds; smoothed returns; performance evaluation; Sharpe ratio; Omega index