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Faut-il corriger les rentabilités des hedge funds?

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Author Info
Huyen Nguyen-Thi-Thanh () (LEO - Laboratoire d'économie d'Orleans - CNRS : UMR6221 - Université d'Orléans)
Georges Gallais-Hamonno (LEO - Laboratoire d'économie d'Orleans - CNRS : UMR6221 - Université d'Orléans)
Thi H.V. Hoang (LOG - Laboratoire Orléanais de Gestion - Université d'Orléans)
Abstract

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 suggèrent que le délissage a pour conséquence de modifier considérablement la distribution des rentabilités - augmenter l'écart-type, augementer ou baisser la skewness et la kurtosis. En revanche, la moyenne reste inchangée. Ce résultat indique une modification non négligeable du profil derisque des fonds suite au délissage. Concernant la performance des fonds mesurée par le ratio de Sharpe et l'indice Omega, nous trouvons que leur classement par rapport aux indices de marché reste plus ou moins inchangé. Malgré une corrélation assez forte entre les classements d'avant et d'après le délissage, des modifications de rang assez nettes ont été observées au sein des stratégies des hedge funds. Par ailleurs, le choix de la méthode de délissage a un impact non négligeable sur les résultats obtenus.

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Paper provided by HAL in its series Post-Print with number halshs-00106400_v1.

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Date of creation: Sep 2008
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Publication status: Published, Banque & Marchés, 2008, 96, 6-19
Handle: RePEc:hal:journl:halshs-00106400_v1

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Related research
Keywords: hedge funds; mesures de performance; ratio de Sharpe; indice Omega; rentabilités lissées;

References listed on IDEAS
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  1. Fung, William & Hsieh, David A., 1999. "Is mean-variance analysis applicable to hedge funds?," Economics Letters, Elsevier, vol. 62(1), pages 53-58, January. [Downloadable!] (restricted)
  2. David M. Geltner, 1993. "Estimating Market Values from Appraised Values without Assuming an Efficient Market," Journal of Real Estate Research, American Real Estate Society, vol. 8(3), pages 325-346. [Downloadable!]
  3. Getmansky, Mila & Lo, Andrew W. & Makarov, Igor, 2004. "An econometric model of serial correlation and illiquidity in hedge fund returns," Journal of Financial Economics, Elsevier, vol. 74(3), pages 529-609, December. [Downloadable!] (restricted)
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  4. Nandini Chandar, 2002. "Incentives, Discretion, and Asset Valuation in Closed-End Mutual Funds," Journal of Accounting Research, Blackwell Publishing, vol. 40(4), pages 1037-1070, 09. [Downloadable!] (restricted)
  5. Quan, Daniel C & Quigley, John M, 1991. "Price Formation and the Appraisal Function in Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 4(2), pages 127-46, June.
  6. William F. Sharpe, 1965. "Mutual Fund Performance," Journal of Business, University of Chicago Press, vol. 39, pages 119. [Downloadable!]
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