The Dynamics of Hedge Fund Performance

Darolles, Serge; Gouriéroux, Christian; Teiletche, Jérôme

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

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