DEA-based Performance Measurement

DEA-based Performance Measurement

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时间:2019-05-24

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1、FinMktsPortfolioMgmt(2006)20:442471DOI10.1007/s11408-006-0032-4PerformancemeasurementofhedgefundsusingdataenvelopmentanalysisMartinElingPublishedonline:15December2006©SwissSocietyforFinancialMarketResearch2006AbstractDataenvelopmentanalysis(DEA)isanonparametri

2、cmethodfromtheareaofoperationsresearchthatmeasurestherelationshipofproducedout-putstoassignedinputsanddeterminesanefficiencyscore.Thisefficiencyscorecanbeinterpretedasaperformancemeasureininvestmentanalysis.RecentliteraturecontainsintensivediscussionofusingDEAto

3、measuretheperfor-manceofhedgefunds,asthisapproachyieldssomeadvantagescomparedtoclassicperformancemeasures.Thispaperextendsthecurrentdiscussioninthreeaspects.First,wepresentdifferentDEAmodelsandanalyzetheirsuitabilityforhedgefundperformancemeasurement.Second,we

4、systematizepossibleinputsandoutputsforDEAandagainexaminetheirsuitabilityforhedgefundperformancemeasurement.Third,tworulesaredevelopedtoselectinputsandoutputsinDEAofhedgefunds.Usingthisframework,wefindacompletelynewrankingofhedgefundscomparedtoclassicperformance

5、measuresandcomparedtopreviouslyproposedDEAapplications.Thus,weproposethatclassicperformancemeasuresshouldbesupplementedwithDEAbasedonthesuggestedrulestofullycapturehedgefundriskandreturncharacteristics.KeywordsDataenvelopmentanalysis·Performancemeasurement·Hed

6、gefundsJELClassificationG10·G11·G23M.Eling(B)UniversityofSt.Gallen,InstituteofInsuranceEconomics,Kirchlistrasse2,9010St.Gallen,Switzerlande-mail:martin.eling@unisg.chPerformancemeasurementofhedgefunds4431IntroductionAsanalternativetotraditionalinvestmentsinstoc

7、ksorbonds,hedgefundshavebecomeverypopularandhavebeenthesubjectofcontroversialdiscus-sioninscienceaswellasinpracticeinthelastyears(FavreandGaléano2001;BanzanddePlanta2002).Hedgefundperformanceisoftenevaluatedbyclas-sicperformancemeasuressuchastheSharperatio,und

8、erwhichhedgefundsappeartobeveryattractiveinvestments.However,recentresearchhaspointedoutsomespecialqualitiesofhedgefundreturns,thusmakingthesuitabilityofclassicmeasurestoassesshedg

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