The Dynamics of Hedge Fund Performance
Darolles, Serge; Gouriéroux, Christian; Teiletche, Jérôme (2015), The Dynamics of Hedge Fund Performance, in Huynh, Van-Nam; Kreinovich, Vladik; Sriboonchitta, Songsak; Suriya, Komsan, Econometrics of Risk, Springer : Heidelberg, p. 85-113. 10.1007/978-3-319-13449-9_7
Book titleEconometrics of Risk
Book authorHuynh, Van-Nam; Kreinovich, Vladik; Sriboonchitta, Songsak; Suriya, Komsan
Number of pages498
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Dauphine Recherches en Management [DRM]
Abstract (EN)The ratings of fund managers based on past performances of the funds and the rating dynamics are crucial information for investors. This paper proposes a stochastic migration model to investigate the dynamics of performance-based ratings of funds, for a given risk-adjusted measure of performance. We distinguish the absolute and relative ratings and explain how to identify their idiosyncratic and systematically persistent (resp. amplifying cycles) components. The methodology is illustrated by the analysis of hedge fund returns extracted from the TASS database for the period 1994–2008.
Subjects / KeywordsStochastic migration model; Measure of performance; Rating dynamics; Fund managers; Hedge Funds; Performance
JELC73 - Stochastic and Dynamic Games; Evolutionary Games; Repeated Games
G12 - Asset Pricing; Trading Volume; Bond Interest Rates
G23 - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
G24 - Investment Banking; Venture Capital; Brokerage; Ratings and Ratings Agencies
Showing items related by title and author.
lq-regularization of the Kalman filter for exogenous outlier removal: application to hedge funds analysis Jay, Emmanuelle; Duvaut, Patrick; Darolles, Serge; Gouriéroux, Christian (2011) Communication / Conférence
lq-regularization of the Kalman ﬁlter for exogenous outlier removal: application to hedge funds analysis Gouriéroux, Christian; Darolles, Serge; Jay, Emmanuelle; Duvaut, Patrick (2011) Communication / Conférence