References of "Coën, Alain"
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See detailNormalized Risk-Adjusted Performance Measures Revisited: The Performance of FoHFs Before and After the Crisis
Bodson, Laurent ULg; Cavenaile, Laurent; Coën, Alain

in Gregoriou, Greg (Ed.) RECONSIDERING FUNDS OF HEDGE FUNDS: THE FINANCIAL CRISIS AND BEST PRACTICES IN UCITS, TAIL RISK, PERFORMANCE, AND DUE DILIGENCE (2013)

This paper revisits the performance of funds of hedge funds after the crisis using normalized risk-adjusted performance measures based on multi-factor models. First, we develop performance measures able ... [more ▼]

This paper revisits the performance of funds of hedge funds after the crisis using normalized risk-adjusted performance measures based on multi-factor models. First, we develop performance measures able to capture the variety of systematic risk sources. Second, we deal with the impact of smoothing on the risk return properties of FoHF using an adjustment technic for illiquidity. Third, we implement unbiased estimators to correct for the econometric bias induced by errors-in-variables (EIV) in asset pricing models. With these different adjustments, we analyze the persistence and stability of performance measures before and after the crisis for a data base of funds of hedge funds. Our results clearly show that the normalized risk-adjusted performance measures corrected for smoothing effect and EIV outperform the alternatives measures before and after the crisis. [less ▲]

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See detailThe Impact of Illiquidity and Higher Moments of Hedge Fund Returns on Their Risk-Adjusted Performance and Diversification Potential
Cavenaile, Laurent ULg; Coen, Alain; Hübner, Georges ULg

in Journal of Alternative Investments (2011), 13(4),

This paper studies the joint impact of smoothing and fat tails on the risk-return properties of hedge fund strategies. First, we adjust risk and performance measures for illiquidity and the non-Gaussian ... [more ▼]

This paper studies the joint impact of smoothing and fat tails on the risk-return properties of hedge fund strategies. First, we adjust risk and performance measures for illiquidity and the non-Gaussian distribution of hedge funds returns. We use two risk metrics: the Modified Value-at-Risk and a preference-based measure retrieved from the linear-exponential utility function. Second, we revisit the hedge fund diversification effect with these adjustments for illiquidity. Our results report similar fund performance rankings and optimal hedge fund strategy allocations for both adjusted metrics. We also show that the benefits of hedge funds in portfolio diversification are still persistent but tend to weaken after the adjustment for illiquidity. [less ▲]

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See detailHedge fund return specification with errors-in-variables
Coën, Alain; Hübner, Georges ULg; Desfleurs, Aurélie

in Journal of Derivatives and Hedge Funds (2010), 16(1), 22-52

In linear models for hedge fund returns, errors-in-variables may significantly alter the measurement of factor loadings and the estimation of abnormal performance. The higher moment estimator (HME ... [more ▼]

In linear models for hedge fund returns, errors-in-variables may significantly alter the measurement of factor loadings and the estimation of abnormal performance. The higher moment estimator (HME) introduced by Dagenais and Dagenais (1997) effectively deals with these issues. Results on individual funds show that the HME specification does not uncover systematic performance biases, but can modify estimated alphas in most cases and identifies relative persistence for directional funds in bearish market conditions. Overall, the risk premia calculated with HME remain relatively stable when compared to ordinary least squares specifications. [less ▲]

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See detailDynamic Hedge Fund Style Analysis with Errors-in-Variables
Bodson, Laurent ULg; Coën, Alain; Hübner, Georges ULg

in Journal of Financial Research (2010), 33(3), 201-221

We revisit the traditional return-based style analysis in the presence of time varying exposures and errors-in-variables (EIV). We apply a benchmark selection algorithm using the Kalman filter and compute ... [more ▼]

We revisit the traditional return-based style analysis in the presence of time varying exposures and errors-in-variables (EIV). We apply a benchmark selection algorithm using the Kalman filter and compute the estimated EIV of the selected benchmarks. We adjust them by subtracting their EIV from the initial return series to obtain an estimate of the true uncontaminated benchmarks. Finally, we run the Kalman filter on these adjusted regressors. Analyzing EDHEC alternative index styles, we show that this technique improves the factor loadings and allows more precise identification of the return sources of the considered hedge fund strategy. [less ▲]

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See detailRisk and performance estimation in hedge funds revisited: Evidence from errors in variables
Coën, Alain; Hübner, Georges ULg

in Journal of Empirical Finance (2009), 16(1), 112-125

This paper revisits the performance of hedge funds in the presence of errors in variables. To reduce the bias induced by measurement error, we introduce an estimator based on cross sample moments of ... [more ▼]

This paper revisits the performance of hedge funds in the presence of errors in variables. To reduce the bias induced by measurement error, we introduce an estimator based on cross sample moments of orders three and four. This Higher Moment Estimation (HME) technique has significant consequences on the measure of factor loadings and the estimation of abnormal performance. Large changes in alphas can be attributed to measurement errors at the level of explanatory variables, while we emphasize some shifts in the economic contents of the equity risk premiums by switching from OLS to HME. [less ▲]

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See detailA comparison between Optimal Allocations Based on the Modified VaR and those based on a Utility-Based Risk Measure
Bodson, Laurent ULg; Coën, Alain; Hübner, Georges ULg

in Gregoriou, Greg (Ed.) The VaR Modeling Handbook (2009)

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See detailDynamic Hedge Fund Style Analysis with Errors-in-Variables
Bodson, Laurent ULg; Hübner, Georges ULg; Coën, Alain

Conference (2008, July)

This paper revisits the traditional return-based style analysis (RBSA) in presence of time-varying exposures and errors-in-variables (EIV). We first apply a selection algorithm using the Kalman filter to ... [more ▼]

This paper revisits the traditional return-based style analysis (RBSA) in presence of time-varying exposures and errors-in-variables (EIV). We first apply a selection algorithm using the Kalman filter to identify the more appropriate benchmarks for the analyzed fund return. Then, we compute their corresponding higher moment estimated errors-in-variables, i.e. the measurement error series introducing the (cross) moments of order three and four. We adjust the selected benchmarks by subtracting their higher moments estimated EIV from the initial return series, to obtain an estimate of the true uncontaminated benchmarks. We finally run the Kalman filter on these adjusted regressors. Analyzing EDHEC alternative indexes styles, we show that this technique improves the factor loadings and permits to identify more precisely the return sources of the considered hedge fund strategy. [less ▲]

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See detailDynamic Hedge Fund Style Analysis with Errors-in-Variables
Bodson, Laurent ULg; Hübner, Georges ULg; Coën, Alain

Conference (2008, June)

This paper revisits the traditional return-based style analysis (RBSA) in presence of time-varying exposures and errors-in-variables (EIV). We first apply a selection algorithm using the Kalman filter to ... [more ▼]

This paper revisits the traditional return-based style analysis (RBSA) in presence of time-varying exposures and errors-in-variables (EIV). We first apply a selection algorithm using the Kalman filter to identify the more appropriate benchmarks for the analyzed fund return. Then, we compute their corresponding higher moment estimated errors-in-variables, i.e. the measurement error series introducing the (cross) moments of order three and four. We adjust the selected benchmarks by subtracting their higher moments estimated EIV from the initial return series, to obtain an estimate of the true uncontaminated benchmarks. We finally run the Kalman filter on these adjusted regressors. Analyzing EDHEC alternative indexes styles, we show that this technique improves the factor loadings and permits to identify more precisely the return sources of the considered hedge fund strategy. [less ▲]

Detailed reference viewed: 50 (21 ULg)
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See detailDynamic Hedge Fund Style Analysis with Errors-in-Variables
Bodson, Laurent ULg; Hübner, Georges ULg; Coën, Alain

Conference (2008, April)

This paper revisits the traditional return-based style analysis (RBSA) in presence of time-varying exposures and errors-in-variables (EIV). We first apply a selection algorithm using the Kalman filter to ... [more ▼]

This paper revisits the traditional return-based style analysis (RBSA) in presence of time-varying exposures and errors-in-variables (EIV). We first apply a selection algorithm using the Kalman filter to identify the more appropriate benchmarks for the analyzed fund return. Then, we compute their corresponding higher moment estimated errors-in-variables, i.e. the measurement error series introducing the (cross) moments of order three and four. We adjust the selected benchmarks by subtracting their higher moments estimated EIV from the initial return series, to obtain an estimate of the true uncontaminated benchmarks. We finally run the Kalman filter on these adjusted regressors. Analyzing EDHEC alternative indexes styles, we show that this technique improves the factor loadings and permits to identify more precisely the return sources of the considered hedge fund strategy. [less ▲]

Detailed reference viewed: 51 (16 ULg)