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

Listed author(s):
  • Kamel Laaradh


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

  • Nesrine Samet

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

(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.

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

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Length: 14 pages
Date of creation: Jul 2011
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

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