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

In: Hedge Fund Replication

Author

Listed:
  • Laurent Germain
  • Nicolas Nalpas
  • Anne Vanhems

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.

Suggested Citation

  • Laurent Germain & Nicolas Nalpas & Anne Vanhems, 2012. "Nonparametric Hedge Funds and Replication Indices Performance Analysis: A Robust Directional Application," Palgrave Macmillan Books, in: Greg N. Gregoriou & Maher Kooli (ed.), Hedge Fund Replication, chapter 7, pages 90-105, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-0-230-35831-7_7
    DOI: 10.1057/9780230358317_7
    as

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