L-performance with an application to hedge funds
Darolles, Serge; Gouriéroux, Christian; Jasiak, Joann (2009), L-performance with an application to hedge funds, Journal of Empirical Finance, 16, 4, p. 671– 685. http://dx.doi.org/10.1016/j.jempfin.2009.05.003
TypeArticle accepté pour publication ou publié
Journal nameJournal of Empirical Finance
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Abstract (EN)This paper introduces a new parametric fund performance measure, called the L-performance. The L-performance is an alternative to the Sharpe performance, which is commonly used in practice despite its inability to account for skewness and heavy tails of unconditional return distributions. The L-performance improves upon the Sharpe measure in this respect. Technically, it resembles the Sharpe measure in that it is defined as a ratio of the first- and second-order moments, which are the trimmed L-moments instead of the conventional (power) moments. The trimming parameters allow for focusing the L-performance on specific risk levels of interest, according to financial risk criteria. For illustration, a set of L-performances is computed for a variety of hedge funds. The empirical study shows the use of L-performance for fund ranking and return smoothing (manipulation) control.
Subjects / KeywordsHedge fund; Sharpe performance; L-moment; Distortion risk Measure; Ranking; Bias ratio; Manipulation
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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