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Analysis of hedge fund strategies using slack-based DEA models / U. D. Kumar in Journal of the operational research society (JORS), Vol. 61 N° 12 (Décembre 2010) 

Public ISBD [article]  in Journal of the operational research society (JORS) > Vol. 61 N° 12 (Décembre 2010) . - pp. 1746–1760 Titre : Analysis of hedge fund strategies using slack-based DEA models Type de document : texte imprimé Auteurs : U. D. Kumar, Auteur ; A. B. Roy, Auteur ; H. Saranga, Auteur Année de publication : 2011 Article en page(s) : pp. 1746–1760 Note générale : Recherche opérationnelle Langues : Anglais (eng) Mots-clés : Data  envelopment  analysis  Hedge  fund  Sharpe  ratio  Calmar  ratio  Sortino  ratio Index. décimale : 001.424 Résumé : Hedge funds have made a significant impact on the performance of world financial markets in recent times. Our objective in this paper is to develop a robust framework for the evaluation of hedge funds by incorporating a maximum number of performance measures through public data sources. We analyse the hedge fund strategies (styles) using a variety of classical risk-return measures with the help of slack-based Data Envelopment Analysis (DEA) models to determine a unique performance indicator. The main thrust is to investigate the risk return profile of 4730 hedge funds classified under 18 different strategies using multiple inputs and outputs. The originality of the work lies in applying Slack-Based DEA to decipher the risk-return profile of these strategies using advanced risk-return measures such as Value at Risk, drawdown, lower and higher partial moments and skewness. We find that the correlation between the ranking of hedge fund strategies based on Sharpe ratio and the DEA models is very low; at the same time, there is a significant correlation between rankings obtained by the application of DEA using different sets of input/output measures. We have also compared the DEA rankings with other traditional financial ratios such as modified Sharpe ratio, Sortino ratio and Calmar ratio. The paper also studies the impact of events such as the Asian financial crisis on the performance of hedge funds. The study around the event shows that only a relatively small number of strategies performed better during times of turmoil. DEWEY : 001.424 ISSN : 0160-5682 En ligne : www.palgrave-journals.com/jors/journal/v61/n12/abs/jors2009143a.html [article] Analysis of hedge fund strategies using slack-based DEA models [texte imprimé] / U. D. Kumar, Auteur ; A. B. Roy, Auteur ; H. Saranga, Auteur . - 2011 . - pp. 1746–1760. Recherche opérationnelle Langues : Anglais (eng) in Journal of the operational research society (JORS) > Vol. 61 N° 12 (Décembre 2010) . - pp. 1746–1760 Mots-clés : Data  envelopment  analysis  Hedge  fund  Sharpe  ratio  Calmar  ratio  Sortino  ratio Index. décimale : 001.424 Résumé : Hedge funds have made a significant impact on the performance of world financial markets in recent times. Our objective in this paper is to develop a robust framework for the evaluation of hedge funds by incorporating a maximum number of performance measures through public data sources. We analyse the hedge fund strategies (styles) using a variety of classical risk-return measures with the help of slack-based Data Envelopment Analysis (DEA) models to determine a unique performance indicator. The main thrust is to investigate the risk return profile of 4730 hedge funds classified under 18 different strategies using multiple inputs and outputs. The originality of the work lies in applying Slack-Based DEA to decipher the risk-return profile of these strategies using advanced risk-return measures such as Value at Risk, drawdown, lower and higher partial moments and skewness. We find that the correlation between the ranking of hedge fund strategies based on Sharpe ratio and the DEA models is very low; at the same time, there is a significant correlation between rankings obtained by the application of DEA using different sets of input/output measures. We have also compared the DEA rankings with other traditional financial ratios such as modified Sharpe ratio, Sortino ratio and Calmar ratio. The paper also studies the impact of events such as the Asian financial crisis on the performance of hedge funds. The study around the event shows that only a relatively small number of strategies performed better during times of turmoil. DEWEY : 001.424 ISSN : 0160-5682 En ligne : www.palgrave-journals.com/jors/journal/v61/n12/abs/jors2009143a.html