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Faut-il corriger les rentabilités des hedge funds?

Author

Listed:
  • Huyen Nguyen-Thi-Thanh

    (LEO - Laboratoire d'économie d'Orleans [2008-2011] - UO - Université d'Orléans - CNRS - Centre National de la Recherche Scientifique)

  • Georges Gallais-Hamonno

    (LEO - Laboratoire d'économie d'Orleans [2008-2011] - UO - Université d'Orléans - CNRS - Centre National de la Recherche Scientifique)

  • Thi H.V. Hoang

    (LOG - Laboratoire Orléanais de Gestion (1998-2011) - UO - Université d'Orléans)

Abstract

In this paper, we study two principal mechanisms suggested in the literature to correct the serial correlation in hedge fund returns and the impact of this correction on the distributional characteristics of fund returns as well as on fund performance. Our results indicate that the unsmoothing significantly modifiesthe distribution of returns, i.e. increases the standard-deviation, increases or decrease the skewness and the kurtosis. Nevertheless, the mean return remains unchanged. This implies a substantial modification of funds' risk profile after the unsmoothing. Regarding fund's performance measured by the Sharpe ratio and the Omega index, we find that fund rankings relative to market indices remain more or less unchanged. Despitehigh correlations between rankings before and after theunsmoothing, some significant changes are observed in fund rankings. In addition, the choice of the unsmoothing mechanisms has an important impact on the results.

Suggested Citation

  • Huyen Nguyen-Thi-Thanh & Georges Gallais-Hamonno & Thi H.V. Hoang, 2008. "Faut-il corriger les rentabilités des hedge funds?," Post-Print halshs-00106400, HAL.
    • Handle: RePEc:hal:journl:halshs-00106400
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00106400
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    References listed on IDEAS

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    1. Getmansky, Mila & Lo, Andrew W. & Makarov, Igor, 2004. "An econometric model of serial correlation and illiquidity in hedge fund returns," Journal of Financial Economics, Elsevier, vol. 74(3), pages 529-609, December.
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    Cited by:

    1. Benoît Dewaele, 2013. "Leverage and Alpha: The Case of Funds of Hedge Funds," Working Papers CEB 13-033, ULB -- Universite Libre de Bruxelles.
    2. Benoît Dewaele, 2013. "Portfolio Optimization for Hedge Funds through Time-Varying Coefficients," Working Papers CEB 13-032, ULB -- Universite Libre de Bruxelles.

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