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Article dans une revue Journal of Empirical Finance Année : 2009

L-performance with an application to hedge funds

Résumé

This paper introduces a new parametric fund performance measure, called the L-performance. The L-performance is an alternative to the Sharpe performance, which is commonly used in practice despite its inability to account for skewness and heavy tails of unconditional return distributions. The L-performance improves upon the Sharpe measure in this respect. Technically, it resembles the Sharpe measure in that it is defined as a ratio of the first- and second-order moments, which are the trimmed L-moments instead of the conventional (power) moments. The trimming parameters allow for focusing the L-performance on specific risk levels of interest, according to financial risk criteria. For illustration, a set of L-performances is computed for a variety of hedge funds. The empirical study shows the use of L-performance for fund ranking and return smoothing (manipulation) control.
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Dates et versions

halshs-00677730, version 1 (09-03-2012)

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Serge Darolles, Christian Gourieroux, Joann Jasiak. L-performance with an application to hedge funds. Journal of Empirical Finance, 2009, 16, pp.671-685. ⟨10.1016/j.jempfin.2009.05.003⟩. ⟨halshs-00677730⟩
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