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On the use of data envelopment analysis in hedge fund performance appraisal

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  • NGUYEN-THI-THANH Huyen

    (Laboratoire d'Economie d'Orléans, Université d'Orléans)

Abstract

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 incorporate multiple risk-return attributes characterizing hedge fund's non normal return distribution in an unique performance score. The main purpose of this paper is to enlarge the use of DEA to the context of hedge fund selection when investors face up multiple objectives, each one associated to a different important level. We show that DEA can be a powerful decision-making supplement to assist investors in selecting funds that correspond the most to their risk-aversion, financial, diversification and investment horizon constraints

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  • NGUYEN-THI-THANH Huyen, 2007. "On the use of data envelopment analysis in hedge fund performance appraisal," Money Macro and Finance (MMF) Research Group Conference 2006 131, Money Macro and Finance Research Group.
    • Handle: RePEc:mmf:mmfc06:131
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    Cited by:

    1. Solórzano-Taborga, Pablo & Alonso-Conde, Ana Belén & Rojo-Suárez, Javier, 2018. "Efficiency and Persistence of Spanish Absolute Return Funds || Eficiencia y persistencia de los fondos de retorno absolutos españoles," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 25(1), pages 186-214, Junio.
    2. U D Kumar & A B Roy & H Saranga & K Singal, 2010. "Analysis of hedge fund strategies using slack-based DEA models," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 61(12), pages 1746-1760, December.
    3. Juan Carlos Matallín-Sáez & Amparo Soler-Domínguez & Emili Tortosa-Ausina, 2019. "Does active management add value? New evidence from a quantile regression approach," Journal of the Operational Research Society, Taylor & Francis Journals, vol. 70(10), pages 1734-1751, October.
    4. Martin Eling, 2006. "Performance measurement of hedge funds using data envelopment analysis," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 20(4), pages 442-471, December.
    5. Agata Sielska, 2010. "Multicriteria rankings of open-end investment funds and their stability," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 20(1), pages 111-129.
    6. Tarnaud, Albane Christine & Leleu, Hervé, 2018. "Portfolio analysis with DEA: Prior to choosing a model," Omega, Elsevier, vol. 75(C), pages 57-76.
    7. Amparo Soler Domínguez & Juan Carlos Matallín Sáez & Emili Tortosa Ausina, 2011. "On the informativeness of persistence for mutual funds' performance evaluation using partial frontiers," Working Papers. Serie EC 2011-08, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    8. Mohammad Mehdi Hosseinzadeh & Sergio Ortobelli Lozza & Farhad Hosseinzadeh Lotfi & Vittorio Moriggia, 2023. "Portfolio optimization with asset preselection using data envelopment analysis," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 31(1), pages 287-310, March.
    9. J. Carlos Matallín-Sáez & Amparo Soler-Domínguez & Emili Tortosa-Ausina, 2013. "Does active management add value? New evidence from a quantile regression," Working Papers 2013/01, Economics Department, Universitat Jaume I, Castellón (Spain).
    10. El Kalak, Izidin & Azevedo, Alcino & Hudson, Robert, 2016. "Reviewing the hedge funds literature II: Hedge funds' returns and risk management characteristics," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 55-66.

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    JEL classification:

    • G2 - Financial Economics - - Financial Institutions and Services
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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