Advanced Search
MyIDEAS: Login

Existe-t-il un univers de benchmarks pour les Hedge Funds?

Contents:

Author Info

  • Kamel Laaradh

    ()
    (Université de Bourgogne - LEG/FARGO UMR Cnrs 5118)

  • Nesrine Samet

    (LARGEPA - Laboratoire de recherche en sciences de gestion Panthéon-Assas)

Abstract

(VF)Les hedge funds mettent généralement en avant une politique dite d'«absolute return». Mais rendement absolu ne signifie pas absence de références. Ainsi, les indices de hedge funds ont connu une croissance importante au cours des années passés, reflétant à la fois la croissance générale de l’industrie des hedge funds et le renforcement de la position des indices par rapport à d’autres véhicules d’investissement, tels que les fonds de fonds. L’objectif de cet article est double : le premier est de mettre en évidence le problème de choix d’indices lorsqu’on décide d’investir dans un hedge funds. Le second est de montrer, pour une stratégie donnée, l’impact du changement de base de données et de l’application des mesures alternatives sur le classement des indices. Dans notre étude, nous utilisons 18 mesures de performance pour évaluer la performance de cinq indices provenant de quatre fournisseurs différents.Nos résultats montrent que les indices d’une même stratégie de hedge fund diffèrent dans leur composition d’un fournisseur de données à l’autre. Par conséquent, ils offrent des performances disparates mettant l’investisseur face au choix non seulement de la stratégie d’investissement mais aussi de la base de données permettant de mesurer la performance des hedge funds. Ainsi, cet article confirme qu’il n’existe pas d’indice universel pouvant représenter le monde des hedge funds et particulièrement leurs stratégies.(VA)Hedge funds fall into the category of « absolute return ». But absolute return does not mean lack of references. Thus, hedge funds indices have grown significantly over the past years, reflecting both the overall growth of the hedge fund industry and strengthening the position of the indices relative to other investment vehicles such as funds of funds.The aim of this paper is twofold: first, to highlight the problem of selecting indexes if we decide to invest in hedge funds. The second is to show the impact of the Index Provider on the strategy performance. In our study, we use 18 performance measures to evaluate the performance of five indices from four different index providers.Our results show that the indices of a single strategy hedge fund are different in their composition of a data provider to another. Therefore, they offer the investor putting disparate performance across a choice not only of the strategy in which to invest but also the index provider. Thus, this paper confirms that there is no universal index that can represent the world of hedge funds and in particular strategies indices.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://leg.u-bourgogne.fr/images/stories/wp/1110701.pdf
Our checks indicate that this address may not be valid because: 500 Internal Server Error. If this is indeed the case, please notify (Angèle RENAUD)
Download Restriction: no

Bibliographic Info

Paper provided by Université de Bourgogne - CREGO EA7317 Centre de recherches en gestion des organisations in its series Working Papers CREGO with number 1110701.

as in new window
Length: 14 pages
Date of creation: Jul 2011
Date of revision:
Handle: RePEc:dij:wpfarg:1110701

Contact details of provider:
Postal: 2 Bd Gabriel, BP 26611, 21066 Dijon Cedex, France

Order Information:
Postal: Angèle Renaud, CREGO, 2 Bd Gabriel, BP 26611, 21066 Dijon Cedex, France
Email:

Related research

Keywords: hedge funds; indices de marchés; mesures de performance; gestion alternative; benchmarks; performance measurement; alternative management.;

Find related papers by JEL classification:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:dij:wpfarg:1110701. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Angèle RENAUD).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.