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On the Use of Data Envelopment Analysis in Hedge Fund performance Appraisal

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  • Huyen N'Guyen-Thi-Thanh

Abstract

Previous studies have documented that Data Envelopment Analysis could be a good tool to evaluate fund performance, especially in the hedge fund context as it can incorporate multiple risk-return attributs characterizing hedge fund's non normal return distribution into an unique performance score. In this paper, I first revisited the use of DEA in hedge fund performance appraisal in response to Gregoriou et al. (2005) and Kooli et al. (2005). Then I addressed the consequences of the choice of risk, return parameters and DEA models on fund ranking

Suggested Citation

  • Huyen N'Guyen-Thi-Thanh, 2005. "On the Use of Data Envelopment Analysis in Hedge Fund performance Appraisal," Post-Print halshs-00007634, HAL.
    • Handle: RePEc:hal:journl:halshs-00007634
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