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

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

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

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

The Working Beauty of Nghe Tinh People in Vi and Giam Folk Songs and Their Current Meaning

Labor plays a very important role in the socio-economic life of people. For Nghe Tinh people, work is a part of their life. Vi, Giam folk songs are a special type of folklore, considered a "native product" of Nghe Tinh region, containing many aesthetic and content values; in which, the core content value is a true reflection of the daily life, work, thoughts and feelings of the people of Nghe Tinh. The article analyzes the following basic contents: Firstly, analyze to clarify the role of productive labor in the lives of Nghe Tinh people. Secondly, analyze to explain the expressions of the beauty of the work of Nghe Tinh people in Vi, Giam folk songs. Thirdly, pointing out the meaning of the beauty of labor in Vi, Giam folk songs for Nghe Tinh people today. Keywords: Labour, Nghe Tinh people, Vi, Giam folk songs, meaning DOI: 10.7176/RHSS/13-16-03 Publication date:September 30th 202

Mediascapes and national imaginaries: LGBT characters in the media in Vietnam

In this thesis, I study representations of LGBT characters in Vietnamese contemporary movies and series. I examine the evolution of LGBT representations under various impacts of globalisation in the negotiation of identities. The aim is to understand the dynamics of change in Vietnamese queer imaginaries as they are shaped by cultural constraints. This will give insight into the disjunctions between legal, societal and cultural discourses that form tensions around LGBT issues in Vietnam, the concerns of society, and how the people involved are dealing with these issues within the boundaries of the nation-state. Another key goal is to understand the role that LGBT media plays in the development of more visible LGBT politics in Vietnam. I employ mainly textual analysis and discourse analysis to read Vietnamese movies, television and web series. The corpus of media texts includes 37 mainstream and alternative Vietnamese queer movies, television shows and web series that were shown over 15 years from 2004 to 2019 and which attracted the attention of the media in the country. LGBT characters in these films are either main or supporting roles. Specifically, I read LGBT characters’ appearance, behaviour, language, problems in their personal, family and social life, and how the public has received these representations, as evidenced by online discussions. Through the textual analysis of these films and series, I aspire to make sense of the dynamics of recent changes in Vietnamese LGBT representations and the mediascape we inhabit today. The significance of the study is to fill gaps in the knowledge of LGBT issues related to media coverage in Vietnam. Research findings indicate that LGBT media representations in Vietnam were framed within dominant heteronormative norms. In addition, media representations of LGBT people in Vietnam are strongly influenced by the global LGBT movements and the circulation and adaptation of notions of gender and sexuality from Anglophone cultures

Polymorphism of Xenobiotic Detoxification Genes and Male Infertility

Infertility is a multifactorial disease caused by both genetic and environmental factors. It is observed in 10–15% of couples, among which male infertility contributes for half the cases. Thus, identifying underlying causes of male infertility and for proper methods for treating and/or preventing sperm damage is of paramount importance. It is found that one of the factors that has been recently implicated in male infertility is oxidative stress, mediated by reactive oxygen species (ROS) that are produced during the metabolic process, as well as during the exposure to environmental chemical agents and their interaction with tissue-specific enzymes. Several studies have identified genetic variations at different loci, connected with male infertility, that may shed light on some idiopathic cases of seminal fluid abnormalities. In this chapter, we make an effort to decipher the contribution of polymorphisms in xenobiotic detoxification genes in the male infertility development

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