The paper is concerned with a multi-criteria portfolio analysis of hedge fund strategies that are concerned with financial commodities, including the possibility of energy spot, futures and exchange traded funds (ETF). It features a tri-criteria analysis of the Eurekahedge fund data strategy index data. We use nine Eurekahedge equally weighted main strategy indices for the portfolio analysis. The tri-criteria analysis features three objectives: return, risk and dispersion of risk objectives in a Multi-Criteria Optimisation (MCO) portfolio analysis. We vary the MCO return and risk targets, and contrast the results with four more standard portfolio optimisation criteria, namely tangency portfolio (MSR), most diversified portfolio (MDP), global minimum variance portfolio (GMW), and portfolios based on minimising expected shortfall (ERC). Backtests of the chosen portfolios for this hedge fund data set indicate that the use of MCO is accompanied by uncertainty about the a priori choice of optimal parameter settings for the decision criteria. The empirical results do not appear to outperform more standard bi-criteria portfolio analyses in the backtests undertaken on the hedge fund index data.

MCO, Portfolio Analysis, Hedge Fund Strategies, Multi-Criteria Optimisation, Genetic Algorithms, Spot prices, Futures pricees, Exchange Traded Funds (ETF).
International Financial Markets (jel G15), Financial Forecasting (jel G17), Financing Policy; Capital and Ownership Structure (jel G32), Financial Econometrics (jel C58), Financial Markets (jel D53)
hdl.handle.net/1765/112480
Madrid, Instituto Complutense de Análisis Económico - Working Paper nº 1818, June, 2018
Department of Econometrics

Allen, D.E, McAleer, M.J, & Singh, A.K. (2018). A Multi-Criteria Financial and Energy Portfolio Analysis of Hedge Fund Strategies. Retrieved from http://hdl.handle.net/1765/112480