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The Dynamics of Hedge Fund Performance

Author

Listed:
  • Serge Darolles

    (DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique)

  • Christian Gouriéroux
  • Jérôme Teiletche

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-adjusted measure 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.

Suggested Citation

  • Serge Darolles & Christian Gouriéroux & Jérôme Teiletche, 2015. "The Dynamics of Hedge Fund Performance," Post-Print hal-01632878, HAL.
    • Handle: RePEc:hal:journl:hal-01632878
    DOI: 10.1007/978-3-319-13449-9_7
    as

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