Impact of Stratigraphic Heterogeneity on Hydrocarbon Recovery in Carbonate Reservoirs: Effect of Fluid Properties and Development Strategy

Imperial Users onl

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

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 institutional context influencing rural-urban migration choices and strategies for young married women and men in Vietnam

This report draws together secondary data and informed opinion relating to the wider context in which young married rural-urban migrants must craft strategies for managing their reproductive and family lives. In contrast to long standing patterns of male migration, the increasing numbers of migrants and the emergence of new forms of migration mean that young married women are increasingly moving for work too. The report outlines the wider situation in which these dynamics are occurring: the growing inequalities in the context of doi moi, the declining barrier that household registration poses to mobility, and the changing opportunities for work in the city. It also reviews changing gender relations in Vietnam with particular attention to changes in marriage and marital relations, in sexuality and fertility and in parenting. Finally it explores how changes in social entitlements in Vietnam may affect these migrants with special attention to maternal health, child health and children’s education. The report concludes that migrants with young families and new marriages face a plethora of barriers and opportunities that they must negotiate and that the strategies they formulate are dynamic and involve complex trade-offs

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