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L'évaluation du risque et de la performance des Hedge Funds

Abstract : This research paper offers some original tools to better take into account the specific features of hedge funds in the evaluation of their risk and performance. At first, we expose the interest of the developments based on Extreme Value Theory to analyse and quantify the extreme risk of hedge funds. A backtesting procedure proves that the Value-at-Risk, estimated from Generalised Pareto Distribution fitting to extreme loses (VaREVT), is more accurate than usual risk measures. Then, we suggest a new performance indicator, called Extreme Sharpe ratio, which makes it possible to consider the non-normality of hedge funds return distributions and the investor's minimum acceptable return rate. At last, four models were set up to detect the main factors explaining the daily return evolution of alternative strategies. This last point enables to emphasize the advantages of Partial Least Squares regression to identify significant factors. This research provides not only, some interesting results to improve understanding of hedge funds world but also, new perspectives for risk and performance evaluation of other financial assets with a fat-tailed and skewed return distribution.
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Contributor : Emmanuelle Fromont <>
Submitted on : Wednesday, March 28, 2007 - 5:04:23 PM
Last modification on : Sunday, July 25, 2021 - 4:25:11 PM
Long-term archiving on: : Wednesday, April 7, 2010 - 3:07:07 AM


  • HAL Id : tel-00139012, version 1


Emmanuelle Fromont. L'évaluation du risque et de la performance des Hedge Funds. Gestion et management. Université Rennes 1, 2006. Français. ⟨tel-00139012⟩



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