Superstars or Average Joes? A Replication-Based Performance Evaluation of 1917 Individual Hedge Funds

2006 ◽  
Author(s):  
Harry M. Kat ◽  
Helder P. Palaro
Keyword(s):  
Performance Evaluation ◽  
Hedge Funds

The Dynamis Fund: An Energy Hedge Fund

2017 ◽  
pp. 1-12
Author(s):  
George (Yiorgos) Allayannis ◽  
Mark R. Eaker ◽  
Alec Bocock
Keyword(s):  
Performance Evaluation ◽  
Asset Management ◽  
Hedge Funds ◽  
Mutual Fund ◽  
Hedge Fund ◽  
Investment Strategies ◽  
Futures Options ◽  
Pros And Cons ◽  
Oil Sector ◽  
Evaluation Techniques

Fred Bocock was examining the performance of the Energy Hedge Fund and the Energy Portfolio, a hedge fund and a mutual fund respectively, which he manages. Bocock had become increasingly aware that absolute returns or relative returns (returns relative to a benchmark) may not adequately capture his performance and some measure of risk-adjusted performance was necessary. The Dynamis Energy Hedge Fund extends the discussion of performance evaluation into the hedge fund arena. (See “Zeus Asset Management,” UVA-F-1232, for an examination of performance evaluation techniques in the mutual funds arena.) More broadly, the case engages students in discussions on what hedge funds are, what investment strategies they use, and who their investors are. Since the portfolio manager of Dynamis manages both an oil sector equity mutual fund and an oil sector hedge fund, the case allows for a comparison between a hedge fund and a mutual fund. Students should consider the pros and cons of evaluating the performance of the oil stock mutual fund against a number of oil sector stock indices as well as against a number of generic indices, such as the S&P 500 Index. The use of futures, options, shorts, and leverage by hedge funds makes it a lot more difficult to measure their performance. The case comes with a spreadsheet that contains data on the energy mutual fund, the Dynamis hedge fund, and several relevant indices.

scholarly journals A Risk-Adjusted Performance Evaluation Of US And EU Hedge Funds And Associated Equity Markets Over The 2007-2009 Financial Crisis

2013 ◽  
Vol 13 (1) ◽  
pp. 169
Author(s):  
Chris Van Heerden ◽  
Andre Heymans ◽  
Gary Van Vuuren ◽  
Wilme Brand
Keyword(s):  
Performance Evaluation ◽  
Financial Crisis ◽  
Hedge Funds ◽  
Market Timing ◽  
Equity Markets ◽  
Portfolio Diversification ◽  
Efficient Market

Hedge funds are considered to be market-neutral due to their unrestricted investment flexibility and more efficient market timing abilities (Ennis & Sebastian, 2003). They may also be considered as suitably unconventional assets for improving portfolio diversification (Lamm, 1999). The evidence from this study confirms the dominance of hedge funds over the CAC 40, DAX, S&P 500 and Dow Jones from 2004 to 2011. Overall, the Sharpe, Sortino, Omega, Jensens alpha, Treynor and Calmar ratios illustrate that US hedge funds outperformed both EU hedge funds and the associated equity markets over this period. Evidence was also found that both US and EU hedge funds were more correlated with the S&P 500 and Dow Jones after the financial crisis of 2007-2009 than before the crisis.

Hedge Funds Risk-adjusted Performance Evaluation

2013 ◽  
Author(s):  
Alfred M. Mbairadjim ◽  
Jules Sadefo Kamdem ◽  
Michel Terraza
Keyword(s):  
Performance Evaluation ◽  
Hedge Funds

scholarly journals Hedge Fund Performance Evaluation Using The Sharpe And Omega Ratios

2014 ◽  
Vol 13 (3) ◽  
pp. 485 ◽  
Author(s):  
Francois Van Dyk ◽  
Gary Van Vuuren ◽  
Andre Heymans
Keyword(s):  
Performance Evaluation ◽  
Hedge Funds ◽  
Performance Metrics ◽  
Estimation Error ◽  
Investment Decision ◽  
Hedge Fund ◽  
Fund Performance ◽  
Sharpe Ratio ◽  
Sharpe Ratios ◽  
Omega Ratio

The Sharpe ratio is widely used as a performance evaluation measure for traditional (i.e., long only) investment funds as well as less-conventional funds such as hedge funds. Based on mean-variance theory, the Sharpe ratio only considers the first two moments of return distributions, so hedge funds characterised by asymmetric, highly-skewed returns with non-negligible higher moments may be misdiagnosed in terms of performance. The Sharpe ratio is also susceptible to manipulation and estimation error. These drawbacks have demonstrated the need for augmented measures, or, in some cases, replacement fund performance metrics. Over the period January 2000 to December 2011 the monthly returns of 184 international long/short (equity) hedge funds with geographical investment mandates spanning North America, Europe, and Asia were examined. This study compares results obtained using the Sharpe ratio (in which returns are assumed to be serially uncorrelated) with those obtained using a technique which does account for serial return correlation. Standard techniques for annualising Sharpe ratios, based on monthly estimators, do not account for this effect. In addition, this study assesses whether the Omega ratio supplements the Sharpe Ratio in the evaluation of hedge fund risk and thus in the investment decision-making process. The Omega and Sharpe ratios were estimated on a rolling basis to ascertain whether the Omega ratio does indeed provide useful additional information to investors to that provided by the Sharpe ratio alone.

Hedge Fund Performance Evaluation under the Stochastic Discount Factor Framework

2016 ◽  
Vol 51 (1) ◽  
pp. 231-257 ◽  
Author(s):  
Haitao Li ◽  
Yuewu Xu ◽  
Xiaoyan Zhang
Keyword(s):  
Performance Evaluation ◽  
Hedge Funds ◽  
Hedge Fund ◽  
Fund Performance ◽  
Discount Factor ◽  
Stochastic Discount Factor ◽  
Wide Range ◽  
Fund Performance Evaluation ◽  
Equity Funds ◽  
Hedge Fund Performance

AbstractWe study hedge fund performance evaluation under the stochastic discount factor framework of Farnsworth, Ferson, Jackson, and Todd (FFJT). To accommodate dynamic trading strategies and derivatives used by hedge funds, we extend FFJT’s approach by considering models with option and time-averaged risk factors and incorporating option returns in model estimation. A wide range of models yield similar conclusions on the performance of simulated long/short equity hedge funds. We apply these models to 2,315 actual long/short equity funds from the Lipper TASS database and find that a small portion of these funds can outperform the market.

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