Nonparametric Hedge Funds and Replication Indices Performance Analysis: A Robust Directional Application

Laurent Germain, Nicolas Nalpas and Anne Vanhems

Chapter 7 in Hedge Fund Replication, 2012, pp 90-105 from Palgrave Macmillan

Abstract: Abstract Since the pioneering work by Treynor, Sharpe, and Jensen, many performance measures have been introduced and empirically applied for evaluating the performance of hedge funds (HF) and HF replication indices. Recently, production frontier methods have been used in this field (e.g., Gregoriou, Sedzro, and Zhu, 2005), since they do not require the specification of a benchmark (such as in standard multifactor models) and they do not assume any statistical properties of fund returns (e.g., normality assumption). In addition, they also have the considerable advantage of being multi-dimensional.

Keywords: Data Envelopment Analysis; Efficiency Score; Data Envelopment Analysis Model; Hedge Fund; Sharpe Ratio (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1057/9780230358317_7

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