• xmlui.mirage2.page-structure.header.title
    • français
    • English
  • Help
  • Login
  • Language 
    • Français
    • English
View Item 
  •   BIRD Home
  • DRM (UMR CNRS 7088)
  • DRM : Publications
  • View Item
  •   BIRD Home
  • DRM (UMR CNRS 7088)
  • DRM : Publications
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.

Browse

BIRDResearch centres & CollectionsBy Issue DateAuthorsTitlesTypeThis CollectionBy Issue DateAuthorsTitlesType

My Account

LoginRegister

Statistics

Most Popular ItemsStatistics by CountryMost Popular Authors
Thumbnail - Request a copy

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

Type
Chapitre d'ouvrage
Date
2015
Book title
Econometrics of Risk
Book author
Huynh, Van-Nam; Kreinovich, Vladik; Sriboonchitta, Songsak; Suriya, Komsan
Publisher
Springer
Published in
Heidelberg
ISBN
978-3-319-13448-2
Number of pages
498
Pages
85-113
Publication identifier
10.1007/978-3-319-13449-9_7
Metadata
Show full item record
Author(s)
Darolles, Serge
Dauphine Recherches en Management [DRM]
Gouriéroux, Christian

Teiletche, Jérôme
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 / Keywords
Stochastic migration model; Measure of performance; Rating dynamics; Fund managers; Hedge Funds; Performance
JEL
C73 - 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

Related items

Showing items related by title and author.

  • Thumbnail
    Performance fees and hedge fund return dynamics 
    Darolles, Serge; Gouriéroux, Christian (2015-03) Article accepté pour publication ou publié
  • Thumbnail
    The Effects of Management and Provision Accounts on Hedge Fund Returns - Part I: The HighWater Mark Scheme 
    Darolles, Serge; Gouriéroux, Christian (2014) Communication / Conférence
  • Thumbnail
    The Effects of Management and Provision Accounts on Hedge Fund Returns - Part II: The Loss Carry Forward Scheme 
    Darolles, Serge; Gouriéroux, Christian (2014) Communication / Conférence
  • Thumbnail
    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
  • Thumbnail
    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
Dauphine PSL Bibliothèque logo
Place du Maréchal de Lattre de Tassigny 75775 Paris Cedex 16
Phone: 01 44 05 40 94
Contact
Dauphine PSL logoEQUIS logoCreative Commons logo