Ce papier examine deux principaux mécanismes proposés dans la littérature pour corriger les rentabilités lissées des hedge funds et l'impact de cette correction sur les caractéristiques statistiques de la distribution des rentabilités et sur la performance des fonds. Nos résultats...

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...

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...

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...

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...

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...

We study two principal mechanisms suggested in the literature to correct the serial correlation in hedge fund returns and the impact of this correction on financial characteristics of their returns as well as on their risk level and on their performances. The methods of Geltner (1993), its...

The paper analyses effort and risk-taking behavior of fund managers in a tournament framework where they can choose not only the risk level but can also adjust their effort to achieve the highest relative performance and win the competition. The results show that when effort is costly, the...

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...

Numerous recent studies highlight the presence of a PER anomaly in the large stock exchange markets throughout the world. Meanwhile, some research provides contrary results. In this article, we provide evidence that the anomaly caused by the use of trailing PER did exist in the Paris Stock...