Dissertations / Theses on the topic 'Hedge funds – Evaluation'
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Qian, Jing. "Evaluation of Hedge Funds Performance." Digital Archive @ GSU, 2006. http://digitalarchive.gsu.edu/math_theses/15.
Full textPalaro, Helder Parra. "Essays in hedge fund replication, evaluation and synthetic funds." Thesis, City University London, 2007. http://openaccess.city.ac.uk/8541/.
Full textMadigele, Loago Thabang wa ga Mmamogapi Banking & Finance Australian School of Business UNSW. "Relative performance of alternative investment vehicles: hedge funds, funds of funds, and CTA funds." Awarded by:University of New South Wales. School of Banking and Finance, 2005. http://handle.unsw.edu.au/1959.4/32313.
Full textChagmani, Saoussen. "La performance des hedge funds et l’évolution des marchés financiers." Thesis, Paris 10, 2013. http://www.theses.fr/2013PA100034.
Full textIn the post-crisis financial environment, the business model of hedge funds seems challenged. The crisis has revealed their inability to générérer absolute return since they are correlated with financial markets. Pretending to be uncorrelated does not in fact, at the beginning of 2010; the hedge fund performance was parallel to that of actions, which rose late 2009. Today the trend is of benefit to the stagnation, like hedge funds. They had difficulty réatblir and release profiles exceptional indépedemment financial conditions. This is why the evaluation and analysis of the performance represent elements of research that examines through this thesis. This research provides investors, risk managers, or regulators to market a response to several interrogations, namely, the assignment of absolute performance in the hedge fund industry is it "true" or it is a marketing phenomenon? What is the relationship between hedge fund returns and financial markets? How to explain the difference in returns of hedge fund strategies?
Brand, Wilhelmine Helena. "Evaluation of US and European hedge funds and associated international markets : a risk-performance measure approach / Wilhelmine Helana Brand." Thesis, North West University, 2014. http://hdl.handle.net/10394/13055.
Full textMCom (Risk Management), North-West University, Vaal Triangle Campus, 2014
Agarwal, Vikas. "Place of hedge funds in a prudent portfolio : risk-return characteristics and performance evaluation." Thesis, London Business School (University of London), 2001. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.368204.
Full textLiberal, Gonçalo Maria Oliveira Dá Mesquita. "Do hedge fund indices enhance portfolio performance?" Master's thesis, Instituto Superior de Economia e Gestão, 2016. http://hdl.handle.net/10400.5/12550.
Full textAs carteiras de investimento tradicionais são focadas apenas em duas classes de ativos: Ações e Obrigações. Nas últimas décadas as carteiras institucionais, e de investidores privados, para perfis de risco equilibrados têm colocado o foco em 60% de ações globais, usualmente através do índice americano S&P500, e em 40% de obrigações através do índice Barclays US Aggregate Bond. A componente de obrigações tende a baixar a volatilidade das ações, resultando numa menor volatilidade destas carteiras. Dadas as atuais baixas taxas de juros, e as baixas yields das obrigações, esta classe de ativos poderá aumentar a sua volatilidade contribuindo para um maior risco destas carteiras. Posto isto, poderá fazer sentido aumentar a exposição a outros instrumentos financeiros por forma a diversificar estas carteiras e diminuir os riscos sistemáticos dos mercados financeiros. Torna-se assim necessário considerar alternativas de investimento, com o objetivo de obter retornos ajustados ao risco na constituição de carteiras de investimento. Os fundos de investimento de retorno absoluto, ou hedge funds, podem constituir alternativas de investimento válidas em períodos de alta volatilidade, e têm ganho visibilidade originando um aumento da procura, ou seja, a um aumento dos ativos sobre gestão. O presente trabalho tem como objetivo estudar a combinação de índices investíveis de Hedge Funds numa carteira tradicional de 60% de ações e 40% de obrigações. Pretende-se determinar a carteira de variância mínima e de Markowitz e os respetivos pesos dos índices de hedge funds na carteira de referência e comparar a sua performance.
Traditional investment portfolios are focused only on two asset classes: Stocks and Bonds. In recent decades institutional portfolios and private investors have, for balanced risk profiles, focused on 60% of global stock usually through the US S&P500 and 40% bonds through the Barclays US Aggregate Bond Index. Therefore, it is necessary to increase exposure to other financial instruments in order to diversify these portfolios and reduce systemic risks in financial markets. If so, investors should consider adding alternatives to their traditional investments as a way to potentially reduce their portfolios sensitivity to financial markets. It is therefore necessary to consider investment alternatives, in order to get adjusted returns to risk in setting up investment portfolios. Absolute return funds or hedge funds, may present a valid alternative investment in times of high volatility, and have gained visibility in periods of bear markets compared to stock index funds, consequently leading to an increase in demand, i.e., an increase of assets under management for these assets. This study aims to analyze the combination of investable indices of hedge funds in a traditional portfolio of 60% stocks and 40% bonds. It is intended to determine the minimum variance portfolio and Markowitz and the respective weights of hedge fund indices in the reference portfolio and compare their performance considering time windows of two, five and ten years.
Rocha, Matheus Quinete. "Medidas de desempenho para hedge funds no Brasil com destaque para a medida Ômega." reponame:Repositório Institucional do FGV, 2006. http://hdl.handle.net/10438/2247.
Full textMutual funds performance evaluation is, traditionally, made using Sharpe Ratio that considers only the first and the second moments of the return distribution (mean and variance), but it requires assumptions on the normality of the returns distribution and on the investor’s utility function as quadratic. However, it is well known that a quadratic utility function is inconsistent with investor behavior and some funds, like hedge funds, have returns distributions far from a normal distribution Keating and Shadwick (2002a, 2002b) proposed a new measure called Omega that incorporates all the moments of the distribution, and has the advantage of requiring no assumptions on the returns distribution or on the utility function of a risk averse investor. The purpose of this work is to verify if this measure has a greater forecast power than other performance measures, like Sharpe and Sortino Ratios. The empiric study indicated that Omega measure makes a ranking, most of the time, different from the other measures. Despite the portfolios constructed with Omega have had an average return greater than the average return of the portfolios constructed using the other measures, in almost all the tests, this difference of averages of returns was significant only in some cases. In spite of this, there is a light indication that Omega measure is the most appropriate for the use of investors when is made the performance evaluation of mutual funds.
A avaliação de desempenho de fundos de investimentos é, tradicionalmente, realizada utilizando-se o Índice de Sharpe, que leva em consideração apenas os dois primeiros momentos da distribuição de retornos (média e variância), assumindo as premissas de normalidade da distribuição de retornos e função quadrática de utilidade do investidor. Entretanto, é sabido que uma função de utilidade quadrática é inconsistente com o comportamento do investidor e que as distribuições de retornos de determinados fundos, como os hedge funds, estão longe de serem uma distribuição normal. Keating e Shadwick (2002a, 2002b) introduziram uma nova medida denominada Ômega que incorpora todos os momentos da distribuição, e tem a vantagem de não ser necessário fazer premissas sobre a distribuição dos retornos nem da função de utilidade de um investidor avesso ao risco. O objetivo deste trabalho é verificar se esta medida Ômega tem um poder de previsibilidade maior que outras medidas de avaliação de desempenho, como o Índice de Sharpe e o Índice de Sortino. O estudo empírico indicou que a medida Ômega gera um ranqueamento, na maioria das vezes, relativamente diferente das outras medidas testadas. Apesar das carteiras formadas com base na medida Ômega terem gerado um retorno médio maior que o retorno médio das carteiras formadas pelas outras medidas em praticamente todos os testes, esta diferença entre as médias dos retornos só foi significativa em alguns casos. Mesmo assim, há uma leve indicação de que a medida Ômega é a mais apropriada para utilização do investidor ao fazer a avaliação de desempenho dos fundos de investimentos.
Hirota, Ronaldo Sueo. "A influ??ncia dos ??ndices de desempenho nos rankings dos fundos de investimento multimercado no Brasil." FECAP - Faculdade Escola de Com??rcio ??lvares Penteado, 2015. http://132.0.0.61:8080/tede/handle/tede/392.
Full textThis study aims to analyze the influence of performance measure in the rankings of multimarket funds in Brazil. The specific objectives sought to understand the concepts and application of the parameters in the evaluation of investment funds performance, present the similarities and differences of performance measures of investment funds, verify the performance of mutual funds in the period of 6 years and applying the Spearman correlation coefficient to describe and measure the relationship between the rankings produced by different levels of performance. The main contribution of this work is to identify if the indicators create different rankings for the individual or corporate investor can decide how to evaluate these funds. It attempted to separate 385 multimarket investment funds which are not exclusive with returns that represent a normal distribution (309 funds) and non-normal distribution (76 funds), in the period of January 2008 to December 2013 to analyze the correlation of rankings between the indexes. The relevance of correlation between the performance measures is if these indexes impact directly in the rankings of multimarket investment funds. Existing high rank correlations, it s clear that it s up to the investor to decide which index to use evaluating the multimarket funds. In the period analyzed, there was a high correlation between the rates of Modigliani, Sharpe and Sortino. The Treynor index was the only one where it was found a low correlation with the others
O presente trabalho tem como principal objetivo analisar a influ??ncia dos ??ndices de desempenho nos rankings dos fundos multimercado no Brasil. Como objetivos espec??ficos, buscou-se compreender os conceitos e aplica????o dos ??ndices na avalia????o de desempenho de fundos de investimento, apresentar as semelhan??as e diferen??as dos ??ndices de desempenho de fundos de investimento, verificar o desempenho dos fundos de investimento no per??odo de 6 anos e aplicar o ??ndice de correla????o de Spearman para descrever e mensurar a rela????o entre os rankings produzidos por diferentes ??ndices de desempenho. A principal contribui????o desse trabalho ?? identificar se os indicadores de desempenho produzem rankings diferentes para que o investidor individual ou corporativo possa decidir como avaliar esses fundos. Buscou-se separar 385 fundos de investimento multimercado n??o exclusivos com retornos mensais que representam uma distribui????o normal (309 fundos) e distribui????o n??o normal (76 fundos), do per??odo de Janeiro de 2008 a Dezembro de 2013 para analisar a correla????o dos rankings entre os ??ndices. A relev??ncia da correla????o entre os ??ndices ?? analisar se a escolha dessas medidas impactam diretamente nos rankings dos fundos multimercado. Existindo alta correla????o, ?? poss??vel afirmar que fica a crit??rio do investidor qual ??ndice utilizar para a avalia????o de fundos. No per??odo analisado, houve alta correla????o entre os ??ndices de Modigliani, Sharpe e Sortino. O ??ndice de Treynor foi o ??nico em que foi constatada baixa correla????o com os demais.
Al, Wakil Anmar. "Modélisation de la Volatilité Implicite, Primes de Risque d’Assurance, et Stratégies d’Arbitrage de Volatilité." Thesis, Paris Sciences et Lettres (ComUE), 2017. http://www.theses.fr/2017PSLED047/document.
Full textVolatility strategies have flourished since the Great Financial Crisis in 2008. Nevertheless, the recent catastrophic performance of such exchange-traded products has put into question their contributions for portfolio hedging and diversification. My thesis work aims to rethink and reinvent the philosophy of volatility strategies.From a preliminary empirical study based on the expected utility theory, Chapter 1 makes a diagnostic of traditional volatility strategies, based on buy-and-hold investments and passive replication of implied volatility. It exhibits that, although such portfolio hedging significantly outperforms traditional hedging, it appears strongly inappropriate for risk-loving investors.Chapter 2 paves the way for a new generation of volatility strategies, active, option-based and factor-based investing. Indeed, our both analytical and empirical decomposition of implied volatility smiles into a combination of implied risk premia, distinct and tradeable, enables to harvest actively the compensation for bearing higher-order risks. These insurance risk premia measure the pricing discrepanciesbetween the risk-neutral and the physical probability distributions.Finally, Chapter 3 compares our factor-based investing approach to the strategies usually employed in the hedge fund universe. Our essay clearly evidences that our tail risk premia strategies are incremental determinants in the hedge fund performance, in both the time-series and the cross-section of returns. Hence, we exhibit to what extent hedge fund alpha actually arises from selling crash insurance strategies against tail risks
Mandl, Jochen. "Quantitative Ansätze zur Evaluation von Hedgefonds-Investments /." Lohmar ; Köln : Eul, 2008. http://d-nb.info/990259242/04.
Full textTsimikalis, Markos. "Evaluation of Convertible Bond Arbitrage Strategies." St. Gallen, 2005. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/03608254001/$FILE/03608254001.pdf.
Full textPersson, Martin, Henrik Carlsson, and Sofie Eliasson. "The Swedish Hedge Fund Industry : An Evaluation of Strategies, Risks and Returns." Thesis, Jönköping University, JIBS, Accounting and Finance, 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-8040.
Full textThe purpose of this study is to analyze Swedish hedge funds in terms of pursued investment strategies, risks and returns.
The study deals with a large number of quantitative data and delimitations were used to obtain a sample that better fulfills the purpose of this paper. The time frame chosen for increas-ing validity and reliability was almost four years. Furthermore, the study uses secondary data due to difficulties and costs as-sociated with obtaining primary data though this is not consi-dered as lowering the quality of the study.
The theory section starts by presenting the differences between hedge funds and mutual funds and then focusing on different hedge fund strategies, risks associated with hedge funds and fi-nally risk and return measurements. This section provides an overview for the empirical findings and analysis.
In the empirical findings and analysis, statistical calculations of and Analysis the risk measurements standard deviation, Sharpe ratio, track-ing error and correlation are conducted for the sample. The re-sults are related to the hedge funds strategies. Later on the strategies are weighted against each other. Finally, all strategies are compared to OMXS to find the investors‟ most appropriate investment structure.
After categorizing the different hedge funds with respect to pursued strategies, the result shows how there are clear dispari-ties in risk and returns for the different strategies. We found indications of a significant relationship between high return and high risk as well as between low return and low risk.
Tavares, Filipe Calixto. "Hedge funds and the financial crisis : evaluation of risk patterns." Master's thesis, 2016. http://hdl.handle.net/10400.14/21434.
Full textThis dissertation aims to explore the impact of the financial crisis of 2007-08 on the equity holdings of U.S. hedge funds in terms of risk, analyzing its evolution from early 2000 until late 2015. I register the expected positive reaction of the equity portfolio risk of the U.S. hedge funds to the crisis. This is in part fueled by both the acquisition of risky stocks and the sale of safer ones. From the Fama-MacBeth regression I obtain several relations with respect to the equity portfolio volatility, in particular, that investing relatively more in growth stocks, diversifying more your portfolio, and having a relatively higher equity portfolio valuation lead, individually, to a reduction on risk, on average. On the other hand, investing relatively more in small cap stocks, most likely, increases volatility, on average. Finally, hedge funds that invest more in stocks with relatively lower capital expenditures are expected to score a higher level of volatility, on average, however, this relation reverses as the crisis hits and remains that way in the post-crisis period.
Gupta, Bhaswar. "Conditional performance evaluation and style analysis: The case of hedge funds and managed futures." 2005. https://scholarworks.umass.edu/dissertations/AAI3179879.
Full textLiu, Chun-Lien, and 柳春蓮. "The evaluation of the hedge fund performance." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/22413942664526891097.
Full text國立中央大學
財務金融學系碩士在職專班
94
For common investors, a reasonable return would be their main concerns. That is, the evaluation of the fund performance would rely on the rate of return. However, the rate of return often highly relates to the degree of risks. Accordingly, when one uses the rate of return to assess the fund performance, the risks that investors may assume should be considered for a justifiable comparing basis. The major difference between hedge funds and mutual funds would be that: the former pursues absolute return while the latter seeks relative return. This implies that hedge funds seek to yield a positive return to investors. Mutual funds, with the rate of return might be negative,aim at beating the market . In this study, a hedge fund of funds exchange platform in Hong Kong was taken as the sample. Taiwan Stocks weighted price index and MSCI World Index are chosee as the market portfolio. Three indicators: Sharpe ratio, Jensen’s Alpha index and Treynro ratio are chosee to analyze the fund performance of the target hedge fund when it is compared with the portfolio performance. The empirical finding, most importantly, indicates that the fund performance of the hedge fund depends on the fund managers’ professional expertise and experiences rather on operating strategies ascribed to the hedge fund.
Amaral, Francisco Maria Morais David Everard do. "Hedge Fund evaluation: mean variance vs performance ratios." Master's thesis, 2015. http://hdl.handle.net/10071/11206.
Full textCombining the Mean Variance Utility function with the overall metrics that evaluate portfolios’ performance, this project aims to study the correlations of equal weighted portfolios based on the top 10 hedge funds of the studied sample, that maximize the expected utility of an investor and the performance measures; and to understand the overall results of the correlations between those portfolios. Hedge funds are instruments that can represent different strategies, and in order to have an approximation to the different risk profiles, the correlations between the final ranks based on the different risk aversion coefficients in the Mean Variance Utility Function were studied. Constructing equal weighted portfolios with the top ten hedge funds that maximize the different levels of risk aversion, as well as the different performance metrics, the correlation between those portfolios will provide the final conclusion of the project. These correlations proved that, since there are different types of investors that have different preferences, the process of evaluation of the portfolios cannot have the same methodology. Preferences should be taken in consideration, and there are metrics that are more correlated to the objectives of the final investor, than others.
Ao agrupar a função de utilidade média e variância com as mais conhecidas métricas que são utilizadas na avaliação de performance de portefólios, este projeto tem como objetivo estudar as correlações entre os portefólios, que maximizam as equações de utilidade média e variância, e os que maximizam as métricas de performance, tentado assim possibilitar uma conclusão sobre quais métricas que deverão ser utilizadas, ou que melhor representam as preferências de investidores com variados perfis de risco. Os hedge funds são instrumentos que representam diferentes estratégias, e de forma a aproximar os diferentes perfis de risco, as correlações dos rankings que têm por base a maximização dos diferentes patamares de aversão ao risco na função de Média e Variância, foram estudadas. Ao construir portefólios com base nos primeiros dez hedge funds, ponderados igualmente, que maximização as diferentes equações de Média Variância, traduzindo os diferentes perfis de risco, bem como os portefólios que maximizam as diferentes métricas que são utilizadas na avaliação de performance, o estudo das correlações destes portefólios irá proporcionar a conclusão final do projeto. Estas correlações provam que, visto que existem diferentes tipos de investidores com diferentes preferências e objetivos, o processo de avaliação das diferentes performances não pode ter as mesmas metodologias. Estas preferências devem ser tidas em consideração, visto que existem métricas que são mais correlacionadas, do que outras, com os objetivos dos diferentes investidores.
Van, Dyk Francois. "Evaluating novel hedge fund performance measures under different economic conditions / Francois van Dyk." Thesis, 2014. http://hdl.handle.net/10394/13443.
Full textPhD (Risk Management), North-West University, Potchefstroom Campus, 2014