Tools
Tools
Almeida, Caio, Ardison, Kim and Garcia, René (2019) Nonparametric Assessment of Hedge Fund Performance. TSE Working Paper, n. 19-1024, Toulouse
Preview |
Text
Download (1MB) | Preview |
Abstract
We propose a new class of performance measures for Hedge Fund (HF) returns
based on a family of empirically identiable stochastic discount factors (SDFs). The
SDF-based measures incorporate no-arbitrage pricing restrictions and naturally embed
information about higher-order mixed moments between HF and benchmark
factors returns. We provide a full asymptotic theory for our SDF estimators to test
for the statistical signicance of each fund's performance and for the relevance of
individual benchmark factors within each proposed measure. We apply our methodology
to a panel of 4815 individual hedge funds. Our empirical analysis reveals that
fewer funds have a statistically signicant positive alpha compared to the Jensen's
alpha obtained by the traditional linear regression approach. Moreover, the funds'
rankings vary considerably between the two approaches. Performance also varies
between the members of our family because of a dierent fund exposure to higherorder
moments of the benchmark factors, highlighting the potential heterogeneity
across investors in evaluating performance.
| Item Type: | Monograph (Working Paper) |
|---|---|
| Language: | English |
| Date: | July 2019 |
| Place of Publication: | Toulouse |
| Uncontrolled Keywords: | Hedge Funds, Admissible Performance Measures, Nonparametric Estimation, Higher-order Moments |
| JEL Classification: | C14 - Semiparametric and Nonparametric Methods G12 - Asset Pricing; Trading volume; Bond Interest Rates G13 - Contingent Pricing; Futures Pricing |
| Subjects: | B- ECONOMIE ET FINANCE |
| Divisions: | TSE-R (Toulouse) |
| Institution: | Université Toulouse 1 Capitole |
| Site: | UT1 |
| Date Deposited: | 17 Jul 2019 09:30 |
| Last Modified: | 13 Mar 2021 12:38 |
| OAI Identifier: | oai:tse-fr.eu:123176 |
| URI: | https://publications.ut-capitole.fr/id/eprint/32628 |
Available Versions of this Item
- Nonparametric Assessment of Hedge Fund Performance. (deposited 17 Jul 2019 09:30) [Currently Displayed]
