On The Performance and Resilience of Hedge Funds

When you think about hedge funds, you probably think of many terms such as short-selling, speculation, arbitrage, etc. All these terms have raised passionate debate since the early years of the hedge fund industry. These debates have mainly focused on the added value of hedge funds as a new alternative asset class, the analysis of their performance, and the role played by hedge funds in the global financial system. The conclusions drawn from these discussions are so mixed that it is difficult today, if not even impossible, to provide a clear definition of what constitute a hedge fund and what role they play in the global financial system. This dissertation attempts to contribute to those discussions by investigating the factors behind hedge fund performance and resilience. The dissertation is intended to be innovative thanks to the novel statistical methods and the sophisticated data that we used to conduct our analyses.The first research project contributes to the existing debate on the assessment of hedge fund performance as compared to the performance of traditional assets. By applying an innovative statistical approach – the Data Envelopment Analysis – we show that the answer to the question of whether hedge funds outperform or not traditional assets depends on the setting used to gauge this performance. More precisely, we have shown that under the mean-variance setting hedge funds appear to significantly outperform equities. However, this outperformance fades away when we take into account higher moments (i.e. the skewness and kurtosis) of the return distributions. The second research project examines hedge fund performance through the prism of managerial education. Our empirical analysis is based on hand-collected data on the academic background of hedge fund managers, which has allowed us to classify them into quants (managers with a quantitative academic background) and non-quants. By focusing on three hedge fund categories, we show that part of the cross-se
Doctorat en Sciences économiques et de gestion
info:eu-repo/semantics/nonPublished