Travail de recherche/Working paper
| Résumé : | In light of the debate surrounding the question of the additional contribution of hedge funds to a portfolio of traditional assets, this paper uses the directional data envelopment analysis (DEA) in an attempt to provide an answer to this question. Because of its non-parametric aspect and its ability to handle multiple variables, the DEA technic is of particular interest when it comes to assessing the performance of hedge funds. Using a sample of hedge funds and equities covering the period of January 1999 – December 2013, we apply a directional DEA model to appraise the relative performance of hedge funds both under a mean-variance framework and under a multi-dimensional framework. Empirical findings from this study demonstrate the importance of considering the skewness and the excess kurtosis when assessing the performance of hedge funds. Under a mean-variance framework, hedge funds appear to significantly improve the efficiency frontier when added to the portfolio of equities. However, when the skewness and kurtosis are added into the analysis, this improvement is no more significant. |
