Abstract

http://ssrn.com/abstract=943785
 
 

References (54)



 
 

Citations (4)



 


 



Performance Measurement of Hedge Funds Using Data Envelopment Analysis


Martin Eling


University of St. Gallen - Institute of Insurance Economics; University of Saint Gallen - School of Finance (SoF)


Financial Markets and Portfolio Management, Vol. 20, No. 4, 2006

Abstract:     
Data envelopment analysis (DEA) is a nonparametric method from the area of operations research that measures the relationship of produced outputs to assigned inputs and determines an efficiency score. This efficiency score can be interpreted as a performance measure in investment analysis. Recent literature contains intensive discussion of using DEA to measure the performance of hedge funds, as this approach yields some advantages compared to classic performance measures. This paper extends the current discussion in three aspects. First, we present different DEA models and analyze their suitability for hedge fund performance measurement. Second, we systematize possible inputs and outputs for DEA and again examine their suitability for hedge fund performance measurement. Third, two rules are developed to select inputs and outputs in DEA of hedge funds. Using this framework, we find a completely new ranking of hedge funds compared to classic performance measures and compared to previously proposed DEA applications. Thus, we propose that classic performance measures should be supplemented with DEA based on the suggested rules to fully capture hedge fund risk and return characteristics.

Number of Pages in PDF File: 29

Keywords: Data Envelopment Analysis, Performance Measurement, Hedge Funds

JEL Classification: G10, G11, G23

Accepted Paper Series


Download This Paper

Date posted: November 10, 2006  

Suggested Citation

Eling, Martin, Performance Measurement of Hedge Funds Using Data Envelopment Analysis. Available at SSRN: http://ssrn.com/abstract=943785

Contact Information

Martin Eling (Contact Author)
University of St. Gallen - Institute of Insurance Economics ( email )
Kirchlistrasse 2
St. Gallen, 9010
Switzerland
University of Saint Gallen - School of Finance (SoF) ( email )
Rosenbergstrasse 52
St.Gallen, CH-9000
Switzerland

Feedback to SSRN


Paper statistics
Abstract Views: 2,160
Downloads: 674
Download Rank: 20,380
References:  54
Citations:  4

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo3 in 0.328 seconds