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, dans 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

Titre de l'ouvrage

Econometrics of Risk

Auteurs de l’ouvrage

Huynh, Van-Nam; Kreinovich, Vladik; Sriboonchitta, Songsak; Suriya, Komsan

Éditeur

Springer

Ville d’édition

Heidelberg

Isbn

978-3-319-13448-2

Nombre de pages

498

Pages

85-113

Résumé (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.