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Cliquez pour modifier le style du titre du masque,Cliquez pour modifier les styles du texte du masque,Deuxime niveau,Troisime niveau,Quatrime niveau,Cinquime niveau,Lionel Martellini,Risk and Asset Management Research Center,EDHEC Graduate School of Business,lionel.martelliniedhec.edu,Confrence Gestion Alternative,2 Avril 2019,The Alpha and Omega of Hedge Fund Performance Evaluation,Joint work with Nol Amenc(EDHEC)and Susan Curtis(USC),Lionel MartelliniConfrence Ge,1,Outline,Introduction,Standard CAPM Model,Adjusting CAPM for the Presence of Stale Prices,Payoff Distribution Model,Multi-Factor Models,Implicit Factor Model,Explicit Factor Model,Explicit Index Model,Peer Benchmarking,Comparative Performance Analysis,Impact on Attributes on Funds Performance,Conclusion,Outline Introduction,2,Introduction,Papers on MF and HF Performance,There is ample evidence that portfolio managers following traditional active strategies on average under-perform passive investment strategies,Examples are:Jensen(1968),Sharpe(1966),Treynor(1966),Grinblatt and Titman(1992),Hendricks,Patel and Zeckhauser(1993),Elton,Gruber,Das and Hlavka(1993),Brown and Goeztman(2019),Malkiel(2019),Elton,Gruber and Blake(2019),or Carhart(2019),among many others,Recently,many papers have focused on hedge fund performance evaluation,Examples are:Ackermann,McEnally,and Ravenscraft(2019),Amin and Kat(2019),Agarwal and Naik(2000a,2000b),Brown,Goetzmann and Ibbotson(2019),Edwards and Caglayan(2019),Fung and Hsieh(2019,2019a,2019b),Gatev,Goetzmann and Rouwenhorst(2019),Liang(2000),Lhabitant(2019),Lo(2019),Mitchell and Pulvino(2019),Schneeweis and Spurgin(2019,2000),IntroductionPapers on MF and,3,Because these studies are based on a variety of models for risk-adjustment,and also differ in terms of data used and time period under consideration,they yield very contrasted results,The present paper can be viewed as an attempt to provide an unified picture of hedge fund managers to generate superior performance,To alleviate the concern of model risk on the results of performance measurement,we consider an almost exhaustive set of pricing models that can be used for assessing the risk-adjusted performance of hedge fund managers.,Introduction,Models,Because these studies are base,4,While we find significantly positive alphas for a sub-set of hedge funds across all possible models,our main finding is perhaps that the dispersion of alphas across models is very large,Hedge funds appear to have significantly positive alphas on average when normal returns are measured by an explicit factor model,even when multiple factors serving as proxies for credit or liquidity risks are accounted for,However,hedge funds on average do not have significantly positive alphas once the entire distribution is considered or implicit factors are included,On the other hand,all pairs of models have probabilities of agreement greater than.50,In other words,while different models strongly disagree on the absolute risk-adjusted performance of hedge funds,they largely agree on their relative performance in the sense that they tend to rank order the funds in the same way,Introduction,Preview of the Results,While we find significantly po,5,Our analysis is conducted on a proprietary data base of 1,500 individual hedge fund managers(MAR-CISDM data base),We use the 581 hedge funds in the MAR database that have performance data as early as January 2019,The data base contains monthly returns and also,Fund size(asset under management),Fund type(MAR classification system),Fund age(defined as the length of time in operation prior to the beginning of our study),Location(US versus non US),Incentive fees,Management fees,Minimum purchase amount,Introduction,Data,Our analysis is conducted on a,6,Standard CAPM Model,Normal and Abnormal Returns,Factor models allow us to decompose managers (excess)returns into,Normal returns(risk premium),Abnormal returns(investment opportunity),Statistical noise(illusion),Normal returns are generated as a fair reward for the risk(s)taken by fund managers,Abnormal returns are generated managers unique ability to“beat the market”in a risk-adjusted sense,generated through superior access to information or better ability to process commonly available information,Need some model to understand what a“normal”return is;benchmark model is the CAPM(Sharpe(1964),Standard CAPM ModelNormal and,7,Standard CAPM Model,Results,The average alpha across all funds is significantly positive,The majority of hedge funds have positive alphas,and about a third are statistically significant,Very few funds have significantly negative alphas,Standard CAPM Model ResultsTh,8,Standard CAPM Model,Distribution of CAPM Alphas,Standard CAPM Model Distribut,9,Standard CAPM Model,Distribution of CAPM Betas,Standard CAPM Model Distribut,10,Adjusting CAPM for Stale Prices,The Presence of Stale Prices,It has been documented(Asness,Krail and Liew(2019)that a fair number of hedge funds hold illiquid securities,For mon
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