Hedge fund performance appraisal using data envelopment analysis

2005 ◽  
Vol 164 (2) ◽  
pp. 555-571 ◽  
Author(s):  
Greg N. Gregoriou ◽  
Komlan Sedzro ◽  
Joe Zhu
Keyword(s):  
Data Envelopment Analysis ◽  
Performance Appraisal ◽  
Hedge Fund ◽  
Fund Performance ◽  
Data Envelopment ◽  
Using Data ◽  
Hedge Fund Performance

scholarly journals New Evidence On Hedge Fund Performance Measures

2011 ◽  
Vol 8 (11) ◽  
Author(s):  
Komlan Sedzro
Keyword(s):  
Data Envelopment Analysis ◽  
Performance Measures ◽  
Hedge Funds ◽  
Hedge Fund ◽  
Fund Performance ◽  
Sharpe Ratio ◽  
Data Envelopment ◽  
Sharpe Ratios ◽  
Hedge Fund Performance ◽  
New Evidence

Hedge funds are still relatively unfamiliar to most investors despite the intense popularity they have enjoyed in recent years. Measuring the performance of these financial instruments using traditional methods is, however, problematic, since their returns do not follow a normal distribution. In this study, we consider rankings obtained with the Stochastic Dominance (SD) method and compare them with ranks produced using Sharpe Ratios, Modified Sharpe Ratios, and Data Envelopment Analysis. We also explore the advantages highlighted by the literature of the Data Envelopment Analysis (DEA) method in relation to traditional measures like Sharpe ratio and Modified Sharpe ratio. Our results show that classic performance measures are better correlated with SD than DEA results.

Can Liquidity Risk Explain Diseconomies of Scale in Hedge Funds?

2017 ◽  
Vol 07 (02) ◽  
pp. 1750002
Author(s):  
Hany A. Shawky ◽  
Ying Wang
Keyword(s):  
Hedge Funds ◽  
Hedge Fund ◽  
Liquidity Risk ◽  
Fund Performance ◽  
Diseconomies Of Scale ◽  
Liquidity Crises ◽  
Using Data ◽  
Asset Size ◽  
Hedge Fund Performance

Using data from the Lipper TASS hedge fund database over the period 1994–2012, we examine the role of liquidity risk in explaining the relation between asset size and hedge fund performance. While a significant negative size-performance relation exists for all hedge funds, once we stratify our sample by liquidity risk, we find that such a relationship only exists among funds with the highest liquidity risk. Liquidity risk is found to be another important source of diseconomies of scale in the hedge fund industry. Evidently, for high liquidity risk funds, large funds are less able to recover from the relatively more significant losses incurred during market-wide liquidity crises, resulting in lower performance for large funds relative to small funds.

scholarly journals Appraisal of Mutual Equity Fund Performance Using Data Envelopment Analysis

2011 ◽  
Vol 15 (3/4) ◽  
pp. 273-296 ◽  
Author(s):  
Panayotis Alexakis ◽  
◽  
Ioannis Tsolas ◽  
Keyword(s):  
Data Envelopment Analysis ◽  
Fund Performance ◽  
Data Envelopment ◽  
Equity Fund ◽  
Using Data

Hedge Fund Performance and Risk

2004 ◽  
Vol 2004 (1) ◽  
pp. 43-50 ◽  
Author(s):  
David A. Hsieh
Keyword(s):  
Hedge Fund ◽  
Fund Performance ◽  
Hedge Fund Performance
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