The dynamics of hedge fund performance

Serge Darolles; Christian Gouriéroux; Jérome Teiletche

doi:10.1007/978-3-319-13449-9_7

The dynamics of hedge fund performance

Serge Darolles, Christian Gouriéroux, Jérome Teiletche

Research output: Contribution to journal › Article › peer-review

Abstract

The ratings of fund managers based on past performances of the funds and the rating dynamics are crucial information for investors. This paper proposes a stochastic migration model to investigate the dynamics of performance-based ratings of funds, for a given risk-adjustedmeasure of performance.We distinguish the absolute and relative ratings and explain how to identify their idiosyncratic and systematically persistent (resp. amplifying cycles) components. The methodology is illustrated by the analysis of hedge fund returns extracted from the TASS database for the period 1994-2008.

Original language	English
Pages (from-to)	85-113
Number of pages	29
Journal	Studies in Computational Intelligence
Volume	583
DOIs	https://doi.org/10.1007/978-3-319-13449-9_7
Publication status	Published - 1 Jan 2015
Externally published	Yes

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title = "The dynamics of hedge fund performance",

abstract = "The ratings of fund managers based on past performances of the funds and the rating dynamics are crucial information for investors. This paper proposes a stochastic migration model to investigate the dynamics of performance-based ratings of funds, for a given risk-adjustedmeasure of performance.We distinguish the absolute and relative ratings and explain how to identify their idiosyncratic and systematically persistent (resp. amplifying cycles) components. The methodology is illustrated by the analysis of hedge fund returns extracted from the TASS database for the period 1994-2008.",

author = "Serge Darolles and Christian Gouri{\'e}roux and J{\'e}rome Teiletche",

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AU - Gouriéroux, Christian

AU - Teiletche, Jérome

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PY - 2015/1/1

Y1 - 2015/1/1

N2 - The ratings of fund managers based on past performances of the funds and the rating dynamics are crucial information for investors. This paper proposes a stochastic migration model to investigate the dynamics of performance-based ratings of funds, for a given risk-adjustedmeasure of performance.We distinguish the absolute and relative ratings and explain how to identify their idiosyncratic and systematically persistent (resp. amplifying cycles) components. The methodology is illustrated by the analysis of hedge fund returns extracted from the TASS database for the period 1994-2008.

AB - The ratings of fund managers based on past performances of the funds and the rating dynamics are crucial information for investors. This paper proposes a stochastic migration model to investigate the dynamics of performance-based ratings of funds, for a given risk-adjustedmeasure of performance.We distinguish the absolute and relative ratings and explain how to identify their idiosyncratic and systematically persistent (resp. amplifying cycles) components. The methodology is illustrated by the analysis of hedge fund returns extracted from the TASS database for the period 1994-2008.

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VL - 583

SP - 85

EP - 113

JO - Studies in Computational Intelligence

JF - Studies in Computational Intelligence

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The dynamics of hedge fund performance

Abstract

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