Name
Abstract | ||
|---|---|---|
In this paper we apply data envelopment analysis (DEA) to evaluate the performance of hedge fund classifications. The purpose of alternative investment strategies such as hedge funds is to offer absolute returns, so using passive benchmarks to measure their performance could be ineffective. With the increasing number of hedge funds available, institutional investors, pension funds, and high net worth individuals urgently need a trustworthy efficiency appraisal method. DEA can achieve this. An important benefit of the DEA measure is that benchmarks are not required, thereby alleviating the problem of using traditional benchmarks to examine non-normal distribution of hedge fund returns. We suggest that DEA be used as a complimentary technique (or method) for the selection of efficient hedge funds and funds of hedge funds for investors. Using DEA can shed light and further validate hedge fund manager selection with other methodologies. |
Year | DOI | Venue |
|---|---|---|
2005 | 10.1016/j.ejor.2003.12.019 | European Journal of Operational Research |
Keywords | Field | DocType |
Data envelopment analysis (DEA),Efficiency,Hedge fund,Performance | Alternative investment,Hedge fund,Actuarial science,Passive management,Alternative beta,Absolute return,Institutional investor,Hedge accounting,Returns-based style analysis,Finance,Mathematics | Journal |
Volume | Issue | ISSN |
164 | 2 | 0377-2217 |
Citations | PageRank | References |
20 | 1.50 | 2 |
Authors | ||
3 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Greg N. Gregoriou | 1 | 36 | 4.04 |
| Komlan Sedzro | 2 | 20 | 1.50 |
| Joe Zhu | 3 | 1762 | 167.31 |