Faut-il corriger les rentabilités des hedge funds?

Thi Thanh Huyen Nguyen, Georges Gallais-Hamonno and Thi H.V. Hoang
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Thi H.V. Hoang: LOG - Laboratoire Orléanais de Gestion (1998-2011) - UO - Université d'Orléans

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Abstract: In this paper, we study two principal mechanisms suggested in the literature to correct the serial correlation in hedge fund returns and the impact of this correction on the distributional characteristics of fund returns as well as on fund performance. Our results indicate that the unsmoothing significantly modifiesthe distribution of returns, i.e. increases the standard-deviation, increases or decrease the skewness and the kurtosis. Nevertheless, the mean return remains unchanged. This implies a substantial modification of funds' risk profile after the unsmoothing. Regarding fund's performance measured by the Sharpe ratio and the Omega index, we find that fund rankings relative to market indices remain more or less unchanged. Despitehigh correlations between rankings before and after theunsmoothing, some significant changes are observed in fund rankings. In addition, the choice of the unsmoothing mechanisms has an important impact on the results.

Keywords: hedge funds; performance measures; Sharpe ratio; Omega index; smoothed returns; mesures de performance; ratio de Sharpe; indice Omega; rentabilités lissées (search for similar items in EconPapers)
Date: 2008-09
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00106400
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Citations: View citations in EconPapers (2)

Published in Banque & Marchés, 2008, 96, pp.6-19

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