Dissertations / Theses: 'Hedge funds'

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Lee, Hee Soo. "EVALUATION OF FINANCIAL RISK OF HEDGE FUNDS AND FUNDS-OF-HEDGE FUNDS." Thesis, The University of Sydney, 2010. http://hdl.handle.net/2123/7918.

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The primary objective of this thesis is to provide models capable of predicting financial distress in individual hedge funds (HFs) and funds-of-hedge funds (FOHFs). Two approaches were used to build these models. The first approach was based on a cross-sectional model while the second one was on a time-varying model. Using a survival analysis technique known as the Cox Proportional Hazards (CPH) model, the first study not only established a survival/hazard model to determine the factors which contributed most to the survival and failure probabilities, but also provided a forecast of survival probability until a specific failure time for HFs and FOHFs. It focused on the comparison between the financial distress forecasting models of HFs and FOHFs under three alternative risk measures of fund failure. Following the estimation of the model, an out-of-sample forecast for both the HFs and the FOHFs was conducted and the predictive accuracy of the estimated CPH models was tested and compared by using Signal Detection Model, Relative Operating Characteristic (ROC) curve and Area under ROC curve (AUROC). According to the test results of the predictive accuracy of the models, the estimated models exhibited satisfactory accuracy in forecasting the most likely failed funds in an out-of-sample test. The second approach used the CPH model incorporating both time-varying factors and fixed factors. After establishing survival/hazard models with time-varying and fixed covariates under three specifications of CPH model (mixed model, fixed model and time-varying model), the study used the mixed CPH model to predict dynamic changes of survival probabilities over the lifetime of HFs and FOHFs. In an effort to identify the effect that the recent Global Financial Crisis (GFC) has had on the financial distress experienced by hedge funds, modelling and prediction was firstly confined to the pre-GFC period. Further analysis that included data post-GFC, allowed for the evaluation of model stability through the identification of significant predictors that held across both the pre-and post-GFC periods, as distinct from those predictors that were significant in only one of these time periods. A SAS Macro program was developed for generating survival probabilities predicted by the mixed CPH model. Following the generation of survivor curves for all companies during the period that included the GFC, the resulting ROC curves and AUROC statistics confirmed the ability of the dynamic CPH models to provide early warning signals to investors about possible fund failures. The secondary objective of this thesis is to examine whether the available data on HFs and FOHFs can reveal the risk-return trade-off and, if so, to find the best risk measure that captured the cross-sectional variation in HF and FOHF returns. With the “Live Funds” and the “Dead Funds” datasets provided by Hedge Fund Research Inc. (HFR), alternative risk measures such as semi-deviation, value at risk, expected shortfall and tail risk were concentrated and compared with standard deviation in terms of their ability to describe the cross-sectional variation in expected returns of HFs and FOHFs. Firstly, the risk measures were analysed at the portfolio level of HFs and FOHFs by adopting the Fama and French (1992) approach. Secondly, the various estimated risk measures were compared at the individual HF and FOHF levels by using univariate and multivariate cross-sectional regressions. The results showed that the available data on HFs and FOHFs exhibited different risk-return trade-offs. The Cornish-Fisher expected shortfall or Cornish-Fisher tail risk could be an appropriate risk measure for HF return. Although appropriate alternative risk measures for the HFs were found, it was difficult to determine the risk measures that best captured the cross-sectional variation in FOHF returns.

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Palma, Kelly. "Hedge funds and the SEC regulation of Hedge Fund Advisers : /." Staten Island, N.Y. : [s.n.], 2006. http://library.wagner.edu/theses/business/2006/thesis_bus_2006_palma_hedge.pdf.

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3

Börjesson, Oscar, and Sebastian Rezwanul HaQ. "Do hedge funds yield greater risk-adjusted rate of returns than mutual funds?A quantitative study comparing hedge funds to mutual funds and hedge fund strategies." Thesis, KTH, Matematisk statistik, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-146730.

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In recent times, the popularity of hedge funds has undoubtedly increased. There are shared opinions on whether hedge funds generate absolute rates of returns and whether they provide a strong alternative investment to mutual funds. This thesis aims to examine whether hedge funds with different investment strategies create absolute returns and if certain investment strategies outperform others. This thesis compares hedge funds risk-adjusted rate of return towards mutual funds, such as mutual funds, to see if certain investment strategies are more lucrative than the corresponding investments in terms of excess returns to corresponding indices. An econometric approach was applied to search for significant differences in risk-adjusted returns of hedge funds in contrast to mutual funds. Our results show that Swedish hedge funds do not generate as high risk-adjusted returns as Swedish mutual funds. In regard to the best performing hedge fund strategy, the results are inconclusive. Also, we do not find any evidence that hedge funds violate the effective market hypothesis.
Hedgefonder har den senaste tiden ökat i popularitet. Samtidigt finns det delade meningar huruvida hedgefonder genererar absolutavkastning och om de fungerar som bra alternativ till traditionella fonder. Denna uppsats syftar till att undersöka huruvida hedgefonder skapar absolutavkastning samt om det finns investeringsstrategier som presterar bättre än andra. Denna uppsats jämför hedgefonders riskjusterade avkastning med traditionella fonder, för att på sätt se om en viss investeringsstrategi ar mer lukrativ i termer av överavkastning i förhållande till motsvarande index. Vi har använt ekonometriska metoder för att söka efter statistiskt signifikanta skillnader mellan avkastningen för hedgefonder och traditionella fonder. Våra resultat visar att svenska hedgefonder inte genererar högre risk-justerade avkastningar än svenska aktiefonder. Våra resultat visar inga signifikanta skillnader vad gäller avkastning mellan olika strategier. Slutligen finner vi heller inga bevis för att hedgefonder går emot den effektiva marknadshypotesen

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Brecailo, Helizander (Helizander de Oliveira). "Activist hedge funds." Thesis, Massachusetts Institute of Technology, 2008. http://hdl.handle.net/1721.1/44443.

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Thesis (M.B.A.)--Massachusetts Institute of Technology, Sloan School of Management, 2008.
Includes bibliographical references.
Hedge funds have played a significant role in shareholder activism in the U.S. They have appeared quite frequently in the media as the driving force behind changes in firms' management that generate higher returns on their investments. Nonetheless, many wonder whether they really bring long-term value and benefits to firms, stakeholders, or financial markets, or whether hedge funds net returns for their investments only. The purpose of this thesis, which is written as a case study based solely on public information, is to discuss the attributes of activist hedge funds and how they differ from corporate raiders and private equity firms. The case study then maps activists' most common mechanisms for accomplishing their goals. Finally, the restaurant industry-in particular, Wendy's International Inc., which has been highly targeted by activists-offers a platform for studying the outcomes of activists' maneuvers.
by Helizander Brecailo.
M.B.A.

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Werner-Zankl, Simon, Linda Samuelsson, and Emma Jonsson. "Swedish hedge funds : An analysis of the Swedish hedge funds’ investment strategies and risks associated with hedge funds." Thesis, Jönköping University, JIBS, Business Administration, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-1042.

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Background

Out of the different fund categories hedge funds have had the highest development in Sweden since 1994. Swedish investors’ interest in hedge funds doubled from 2005 to 2006. Hedge funds are said to be an investment with a low risk and not being dependent upon business cycle movements. Historically there have been high initial investments, most often over 100 000 SEK, required to invest in hedge funds. This has started to shift towards lower initial investments. This is a reason why hedge funds start to become interesting to private investors and not only to institutional, and wealthy private investors.

Purpose

The purpose of this thesis is to explore what different investment strategies and sub strategies that are used within Swedish hedge funds. Also specific risks and risk measurements, depending on investment strategy, will be investigated and compared.

Method

In order to meet the purpose of this thesis a qualitative approach has been used. A questionnaire, with both closed and open-end questions, was sent to 13 hedge fund managers operating in the Swedish hedge fund market. Afterwards, four semi-structured interviews were conducted. Two of the interviewees are hedge fund managers who also answered the questionnaire. The others were with a person who is a hedge fund analyst and a person working at the Swedish Financial Supervisory Authority (SFSA).

Conclusion

Out of the five different investment strategies investigated the two most widely used in Swedish hedge funds are funds of hedge funds and equity hedge. The sub strategies that are used within the Swedish hedge fund market are those with a focus on low risk. Within Swedish hedge funds there are some specific risks and risk measurements that are useful. Sharpe ratio is best used to compare similar funds. Standard deviation is useful to evaluate each specific hedge fund. How much leverage capital that can be used is decided by SFSA. Yet, the risks depend on the hedge fund manager rather than the investment strategy used. This, due to the fact that the hedge fund managers have an own interest in the hedge fund.

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Cui, Wei. "Tail Risk in Funds of Hedge Funds." Thesis, The University of Sydney, 2016. http://hdl.handle.net/2123/17118.

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Funds of hedge funds (FOFs) are portfolios of investment in hedge funds. Marketed to retail investors who are otherwise unable to access hedge fund investments, FOFs are normally depicted as well-diversified investment vehicles that benefit investors with their due-diligence selection process. However, some earlier research has suggested that FOFs work like disaster insurance writers (Stulz, 2007; Agarwal and Naik, 2004). The implication is that they gain stable premium income during normal times but lose dramatically when the insured event occurs. The primary objective of this dissertation is to study the tail risk exposures of FOFs. Compared with hedge funds, which are exposed to tail risk mainly through dynamic trading, large leverage, and holdings of tail-risk-sensitive or illiquid assets (Agarwal et al., 2015), FOFs are obviously exposed to tail risk for different reasons. After conducting a hedge fund tail risk measurement (HFTR), I found that HFTR significantly explains the returns of FOFs. Moreover, HFTR substantially enhances the adjusted R-square of Fung and Hsieh’s (2004a) seven-factor model. Despite FOFs being ostensibly more diversified portfolios, they have even higher exposure to tail risk compared to hedge funds. Moreover, FOFs with short histories, higher management fees and leverage, and shorter lockup periods are more sensitive to tail risk. I further documented a strong return-predictive power in FOFs’ tail risk exposures. In particular, I found that the possible losses to one unit of tail risk exposure in a bearish market are double the possible gains in a bullish market. This non-linear payoff structure is a testimony to the claim that FOFs write crash insurance for hedge funds.

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Enderli, Daniel. "Kreditgeschäft von Hedge Funds." St. Gallen, 2008. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/03604352002/$FILE/03604352002.pdf.

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8

Gerhardt, Markus. "Hedge Funds als Assetklasse /." Hamburg : Diplomica Verl, 2007. http://www.diplom.de/katalog/arbeit/10559.

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Gerhardt, Markus. "Hedge Funds als Assetklasse." Hamburg Diplomica-Verl, 2006. http://d-nb.info/987196537/04.

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10

Mokoma, Kaibe. "Strategic asset selection taxonomy : fund of hedge funds." Master's thesis, University of Cape Town, 2010. http://hdl.handle.net/11427/9037.

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Includes bibliographical references (leaves 68-70).
This thesis develops a logical methodology to be used to assess the hedge fund managers' return time series in comparison with their peers. This enables Fund of Hedge Funds portfolio manager to identify those with required factors to be included in a portfolio. The models that had been used as the industry standard for some time are derived on the assumption of normal distribution. Hence they use only mean and standard deviation to explain all data phenomenal attributes of time series. This study project uses higher order moments and some performance measures to rank order feasible portfolios of different hedge fund strategies based on their calculated metrics. Then determine the significance of t-Statistics, thus to observe the likelihood of achieving a particular return level relative to the downside associated with that target return and also on the behavioral hypothesis that investors prefer more to less. The study proposes and examines an alternative performance measures to facilitate the investment decision making. An indication of how this may be applied across a broad range of problems in hedge funds analysis. Some performance measures capture the higher order moments of the return distributions. This method makes intuitive sense since one of the key mandates of the hedge funds is to seek to capture most upside while protecting against downside.

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11

Gonçalves, Rodrigo Miguel Moutinho. "Hedge funds vs. Mutual funds : estratégias diferentes : retornos diferentes." Master's thesis, Instituto Superior de Economia e Gestão, 2013. http://hdl.handle.net/10400.5/11129.

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Mestrado em Finanças
A crise financeira que abalou profundamente os mercados financeiros veio tornar evidente que algo estava mal. Com ligações profundas ao fenómeno do "subprime" originário do mercado americano e aos movimentos especulativos geradores de constantes subidas dos preços dos ativos transacionados em Bolsa, muitos especialistas relacionaram rapidamente tais movimentos com os "Hedge Funds", identificando-os como os principais agentes responsáveis pela crise que se instalou. Pelo lado regulamentar, as entidades reguladoras dos mercados financeiros assim como os próprios países, foram tomando medidas no sentido de modificar algumas das regras que permitiram que ela acontecesse. Também os Bancos Centrais "ajudaram" a atenuar os seus impactos injetando quantidades maciças de dinheiro, num processo nunca antes visto. Cada qual no seu campo tentou suster os impactos mas sobre as causas, pouco foi feito porque os princípios sobre o qual o sistema financeiro funciona não foram ainda tocados. De qualquer forma a intenção dessas autoridades é a de proporcionar ao mercado uma maior transparência sobre todos os instrumentos financeiros (nomeadamente os produtos derivados) que são transacionados em Bolsa. O objetivo deste trabalho é estudar, a partir dos indicadores conhecidos, os níveis de rendibilidade, risco e performance dos "Hedge Funds" de forma a compreender a sua atratividade. Para isso comparamo-los com os "Mutual Funds". Concluímos que os "Hedge Funds" avaliados à luz dos indicadores tradicionais apesar de serem mais complexos do que os "Mutual Funds", apresentam melhores resultados em todos os aspetos considerados.
The financial crisis that shook financial markets came deeply becomes apparent that something was wrong. With deep connections to the phenomenon of "subprime" originating from the U.S. market and the speculative generators constant rises in asset prices traded on the stock exchange , many experts quickly such movements related to the "Hedge Funds" , identifying them as the main agents responsible by the crisis that has developed . On the regulatory side, the regulators of the financial markets as well as their own countries were taking steps to modify some of the rules that allowed it to happen. Also the central banks "helped" to mitigate its impact by injecting massive amounts of money, a process never before seen. Each in his own field but tried to sustain the impacts on the causes, little has been done because the principles on which the financial system works not yet been touched. Anyway the intention of these authorities is to provide the market with greater transparency on all financial instruments (including derivatives) that are traded on the stock exchange. The objective of this work is to study, from the known indicators, the levels of profitability, risk and performance of the "Hedge Funds" in order to understand its attractiveness. For this we compare them with the "Mutual Funds?. We conclude that the "Hedge Funds" evaluated against the traditional indicators, although more complex than the "Mutual Funds", show the best results in all aspects considered.

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12

Palaro, Helder Parra. "Essays in hedge fund replication, evaluation and synthetic funds." Thesis, City University London, 2007. http://openaccess.city.ac.uk/8541/.

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In this thesis it is developed and demonstrated the workings of a copula-based technique that allows the derivation of dynamic trading strategies, which generate returns with statistical properties similar to hedge funds. It is shown that this technique is not only capable of replicating fund of funds returns, but is equally well suited for the replication of individual hedge fund returns. Since replication is accomplished by trading futures on traditional assets only, it avoids the usual drawbacks surrounding hedge fund investments, including the need for extensive due diligence, liquidity, capacity, transparency and style drift problems, as well as excessive management fees. This replication technique is also used to evaluate the net-of-fee performance of 875 funds of hedge funds and 2073 individual hedge funds, up to an including November 2006. Comparing fund returns with the returns on dynamic futures trading strategies with the same risk and dependence characteristics, no more than 18.6% of the funds of funds and 22.5% of the individual hedge funds in the data sample convincingly beat the benclunark. Besides the replication and evaluation of funds which already exist in the market, this technology can also be used to create new funds with previously unavailable return characteristics, the so-called `synthetic funds'. In a set of four out-ofsample tests over the period January 1998 - February 2007, it is shown that the replication-based strategies are indeed capable of accurately generating returns with a variety of properties, including negative correlation with stocks and bonds and high positive skewness. The synthetic funds also produce impressive average excess returns. Disappointing performance is leading hedge fund investors to look for cheaper alternatives to invest, such as indices of hedge funds. Unfortunately, investable hedge fund indices are nothing more than funds of funds in disguise, with performance similar or even worse than real funds of funds. The replication technology generates returns with statistical properties very similar to those of hedge fund indices, and a higher average return for most hedge fund categories, but without actually investing in hedge funds.

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13

Austová, Lucia. "Analysis and classification of hedge funds and hedge strategies." Master's thesis, Vysoká škola ekonomická v Praze, 2008. http://www.nusl.cz/ntk/nusl-9268.

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An objective of my graduation thesis is an analysis of hedge funds and hedge strategies while reflecting the distribution of the investments to right portfolio taking into account the risk. The main aim is to provide clear and consistent classification of whole variety of different hedge styles and strategies. There are plenty of different investment and trading strategies of hedge funds and their classification differs from analyst to analyst and from database to database. The work focuses on finding an alternative consistent classification of hedge funds which will lead to improvement of investment decisions of financial market participants, to effective distribution of the investment portfolio and therefore to elimination of undiversified risks. For the practical analysis I use real data of hedge fund returns of particular relevant time period. I focus on research and description of possible methods of hedge fund classification mentioning their pluses and minuses. After passionate evaluation of each method I have chosen two methods according to which I classify the hedge funds datasets and finally I compare the results of both. The theoretical part of work focuses on definition of hedge funds, hedge styles and strategies, pluses and minuses as well as risk accompanying particular strategy.

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Gysi, Davide. "Style-Analysis von Hedge Funds." St. Gallen, 2005. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/01650548001/$FILE/01650548001.pdf.

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15

Qian, Jing. "Evaluation of Hedge Funds Performance." Digital Archive @ GSU, 2006. http://digitalarchive.gsu.edu/math_theses/15.

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Hedge funds are private investment funds characterized by unconventional strategies. This thesis employed multi-factor CAPM to evaluate the performance, or manager skill of hedge funds investment segments by using CSFB/Tremont Hedge Fund Indices from January 1994 to September 2005. The performance evaluation is based on the concept of ¡°Jansen¡¯s alpha¡±, which is estimated by applying Generalized Method of Moment. The finding is that hedge funds industry in general displayed the ability to outperform market proxy. Global Macro shows the strongest manager skill, followed by Event Driven, Equity Market Neutral and Long/Short Equity. This thesis also investigates the consistency of hedge funds performance over market environment. It was discovered that the hedge funds industry in general and all the sub-category investment segments except Convertibly Arbitrage, Emerging Market and Fix income Arbitrage displayed the ability to cushion the impact of financial shocks.

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Nhogue, Wabo Blanche Nadege. "Hedge Funds and Survival Analysis." Thèse, Université d'Ottawa / University of Ottawa, 2013. http://hdl.handle.net/10393/26257.

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Using data from Hedge Fund Research, Inc. (HFR), this study adapts and expands on existing methods in survival analysis in an attempt to investigate whether hedge funds mortality can be predicted on the basis of certain hedge funds characteristics. The main idea is to determine the characteristics which contribute the most to the survival and failure probabilities of hedge funds and interpret them. We establish hazard models with time-independent covariates, as well as time-varying covariates to interpret the selected hedge funds characteristics. Our results show that size, age, performance, strategy, annual audit, fund offshore and fund denomination are the characteristics that best explain hedge fund failure. We find that 1% increase in performance decreases the hazard by 3.3%, the small size and the less than 5 years old hedge funds are the most likely to die and the event-driven strategy is the best to use as compare to others. The risk of death is 0.668 times lower for funds who indicated that an annual audit is performed as compared to the funds who did not indicated that an annual audit is performed. The risk of death for the offshore hedge funds is 1.059 times higher than the non-offshore hedge funds.

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Lu, Sa. "Portfolio diversification with hedge funds." Thesis, University of Reading, 2005. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.442422.

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Khanniche, Sabrina. "Les risques des hedge funds." Thesis, Paris 10, 2010. http://www.theses.fr/2010PA100159.

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Les hedge funds ont fait leur place dans le paysage financier. Ils se sont fermement imposés au cours de cette décennie. La perspective de rendements décorrélés a trouvé écho auprès des investisseurs, secoués après la crise de la bulle internet et partis à la recherche de rendements nouveaux. Afin de répondre à leur objectif, ils s’exposent à l’ensemble des marchés du globe, mais prennent part également à la vie des entreprises. Ils ont recours à une large palette d’instruments financiers. Les sources de risque sont donc hétérogènes, multiples et parfois interconnectées. Ces risques sont par ailleurs amplifiés du levier. Ainsi dans une situation normale, les hedge funds ont des performances supérieures, puisqu’ils exhibent des rendements bien plus attrayants, que ceux des classes d’actifs traditionnelles. Cependant, les hedge fund sont soumis à des risques de pertes extrêmes lorsque des chocs défavorables se produisent sur les marchés. Il est donc nécessaire de rendre compte de manière plus adéquate du risque des hedge funds. A ce titre, la Value at Risk est une alternative intéressante, lorsque le modèle de volatilité est plus sophistiqué que la mesure standard de la volatilité et le quantile retenu pour son estimation dépasse le cadre de la loi normale. L’analyse dynamique des hedge funds met en évidence l’existence d’un régime extrême vers lequel tendent les hedge funds dans le cas d’un retournement de marché
Hedge funds are getting more and more importance. Fuelled by the prospect of returns disconnected from global markets, a wide range of investors have sought exposure to hedge funds, especially after the losses caused by the dot com bubble. They invest in a wide range of markets as well as in companies. The underlying risks are heterogeneous, varied and sometimes interconnected. Furthermore, those risks are magnified by leverage hedge funds undertake. When markets are normal, hedge funds are able to generate returns more attractive than those provided by traditional assets. However, they exhibit an extreme losses risk when markets go suddenly down. Thus, it is important to have an idea of those risks and think about a more accurate measure of hedge fund risks. We thus take into account Value at Risk for which volatility is evaluated in a better manner and quantile retained is different from the normal law. The dynamic analysis of hedge funds suggest that their returns are exposed to an extreme regime when markets go down

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Leppänen, M. (Mikael). "Performance of emerging hedge funds." Master's thesis, University of Oulu, 2018. http://urn.fi/URN:NBN:fi:oulu-201809052708.

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The aim of this master’s thesis is to provide further evidence on the performance of emerging hedge funds and on the differences, they may have compared with the older and larger hedge funds. We study the style-adjusted alphas of emerging hedge funds relative to similar hedge funds that employ the same strategies. We also inspect the associated performance persistence, size effects and strategy differences within our emerging hedge fund population. The prior literature on the performance of emerging hedge fund suggests that emerging funds are able to provide significant alpha during their early operational life’s when compared with the more established hedge funds. Existing literature has associated emerging hedge funds with characteristics of being nimbler in their investment strategies and fee structures. In this thesis, we have collected our data from two commercial hedge fund databases. These databases were Lipper TASS and HFR, where we collected all the fund related data from 1996 until 2011 in TASS and from 1996 until 2017 in HFR. Based on these two databases we have formed a combined data sample, where we have all the unique funds from both databases. The main analysis of the thesis is based on style-adjusted alphas and we employ two types of time alignment methods, where the first one is based on the event time and the second one is based on cohorts formed by the calendar years. Our first evidence suggests that findings of prior literature on performance of emerging hedge funds have deteriorated in magnitude. We find that style-adjusted performance of emerging funds is substantially lower than previous literature has suggested. In our cohort analysis, we noticed that emerging hedge funds are subject to over time deteriorating performance and they were only able to provide positive style-adjusted alpha during the first year of their operations. In our data, the mid-sized funds performed the best during the launch instead of the larger funds that usually have been seen to perform the best during the initial launch. Our second finding indicates that the emerging hedge funds have not been able to provide a positive style-adjusted alpha after the financial crisis of 2008. Thirdly, we find evidence that when dividing emerging hedge funds into broad strategy classifications, the directional traders classification was the only strategy classification among emerging hedge funds that were able to deliver positive average alpha during our time series. This finding suggests that the positive style-adjusted performance that we saw for our whole emerging hedge fund return series is driven to a great extent by this sub-sample of emerging hedge funds and do not represent the whole industry of emerging funds. Based on the findings of this thesis, investors who allocate capital towards emerging funds and managers, would be able to achieve higher relative returns and diversification benefits compared with the more established hedge funds, if they focus on investing in emerging hedge funds that belong to directional traders broad strategy classification, as the whole emerging hedge funds industry has not been able to deliver relative alpha. Therefore, allocating capital broadly towards emerging hedge funds is not a valid investment strategy to diversify existing hedge fund portfolio unlike prior literature may have suggested.

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Hossain, Mahzabeen Natasha. "Hedge fund of funds investment process : a South African perspective." Master's thesis, University of Cape Town, 2014. http://hdl.handle.net/11427/8528.

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Includes bibliographical references.
The objective of this dissertation is to develop and test an investment process for hedge fund of funds (HFoFs) in South Africa. The dissertation proposes a three tiered process, adapted from the works of Lo (2008). Step one of the proccess involves the categorisation of hedge funds into broadly defined groups based on predefined factors. Two classification methodologies are examined herein to determine optimal category definitions. These are 1) an adaption of the classification developed by Schneeweis and Spurgin (2000), based on the correlation of hedge funds to an appropriate benchmark and the returns offered by these hedge funds, and 2) classification by cluster analysis. Once a finite set of classification is defined, step two of the process uses a minimum variance optimisation, based on forward-looking parameter estimates of return and co-variance to compute the optimal capital allocation to these categories. The final stage of the process employs a mixture of quantitative and qualitative analysis to allocate capital within categories to individual hedge funds.

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Madigele, Loago Thabang wa ga Mmamogapi Banking &amp 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.

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This thesis examines the degree to which alternative funds deviate from their style-benchmark and how this is related to past performance and fund size, and how it impacts future risk and returns. Additionally the thesis examines how security selection and market timing skills differ across varying degrees of deviation from the benchmark. The thesis uses data for hedge funds, funds of funds, and CTA funds from the Center for International Securities and Derivatives Markets and employs fund???s tracking error relative to their style-benchmark to estimate the level of drift. The style-benchmarks used are the median return for all reporting funds that follow a particular style and funds are assigned a benchmark based on their self-reported style. First, this thesis documents statistically significant differences in the tracking errors of portfolios of funds with the highest tracking error versus funds with the lowest tracking error, implying that some managers drift from their self-reported style-benchmarks. Second, funds??? benchmark-inconsistency is less severe in the case of funds that have a regulatory obligation to disclose their performance, suggesting that the absence of regulation fosters an environment where managers can be more flexible with their investment approach. Third, the tendency to drift from the benchmark is most prevalent amongst funds with superior past performance as well as small funds. Fourth, future total portfolio risk increases as funds display more benchmarkinconsistency, suggesting that managers adopt riskier strategies as they attempt to enhance returns. Fifth, the thesis demonstrates that CTA funds that display drift from their benchmark produce higher absolute and relative returns in subsequent periods regardless of the direction of the general market. In contrast, the findings show for hedge funds and funds of funds, benchmark-inconsistent funds are likely to outperform in bull markets and underperform in bear markets. Finally, this thesis shows that more benchmark-consistent managers have better security selection skill. The main contribution of this thesis is in identifying the group of hedge funds, funds of funds, and CTA funds that are likely to deviate from their self-reported style-benchmark and the risk-return consequences of such deviations. The findings have implications for investors and regulators.

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Fri, Samuel, and Joakim Nilsson. "Risk management in Swedish hedge funds." Thesis, Högskolan i Jönköping, Internationella Handelshögskolan, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-15235.

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Background: Risk management has always been a complex topic, especially when it comes to hedge funds. Since hedge funds are able to utilize many kinds of financial instruments it is difficult to find a risk management strategy that goes well with them. Not much research regarding the Swedish hedge fund industry and its risk management has been done; hence we find it an interesting topic to focus this thesis on. Purpose: The purpose of this thesis is to increase the knowledge of how Swedish hedge fund managers perceive and manage different types of risk and how they construct their portfolios with regards to risk management. We also want to investigate how risk measurements are used when it comes to risk management and how valid they are when applied to hedge funds. Method: In this thesis a combination of exploratory and descriptive research strategies are used. The research method used is the inductive method. A qualitative study is performed as well as a semi-structured interview technique. Conclusion: We conclude that the definitions of risk are ambiguous and differed greatly between the hedge fund managers. The risk in the hedge funds is managed differently depending on manager’s opinion regarding the nature and controllability of risk. We found that all managers agree on that risk is controllable to some degree but that there are always limits and that an uncertainty aspect is at all times present in a portfolio. The fund managers have to use their experience and knowledge in conjunction with an active risk management to run an efficient hedge fund. We conclude that all managers realize the importance of risk management, not only as a tool to achieve superior returns but also as an incentive for investors to choose their hedge fund over others. We conclude that hedge fund managers believe that there is a need for restrictions and limits within their funds. It can be argued that by enforcing and following restrictions and limits the fund has established a foundation to build its risk management and investment philosophy upon. The larger hedge funds relied on strict enforcement of their rules and guidelines and had a high degree of hierarchy; the managers of the smaller hedge funds seemed to have a higher degree of freedom and a less complicated investment process. We also find that the smaller a firm is the less enthusiasm is expressed regarding the usage of the different risk variables in their risk management and it is expressed to be more of a demand from different stakeholders. We conclude also that even though the risk measurements are used mostly in the larger firms one is still aware that they are not able to capture all the risks. Their validity is questioned by all sizes of firms.

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Dewaele, Benoît. "On the performance of hedge funds." Doctoral thesis, Universite Libre de Bruxelles, 2013. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/209487.

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This thesis investigates the performance of hedge funds, funds of hedge funds and alternative Ucits together with the determinants of this performance by using new or well-suited econometric techniques. As such, it lies at the frontier of finance and financial econometrics and contributes to both fields. For the sake of clarity, we summarize the main contributions to each field separately.

The contribution of this thesis to the field of financial econometrics is the time-varying style analysis developed in the second chapter. This statistical tool combines the Sharpe analysis with a time-varying coefficient method; thereby, it is taking the best of both worlds.

Sharpe (1992) has developed the idea of “style analysis”, building on the conclusion that a regression taking into account the constraints faced by mutual funds should give a better picture of their holdings. To get an estimate of their holdings, he incorporates, in a standard regression, typical constraints related to the regulation of mutual funds, such as no short-selling and value preservation. He argues that this gives a more realistic picture of their investments and consequently better estimations of their future expected returns.

Unfortunately, in the style analysis, the weights are constrained to be constant. Even if, for funds of hedge funds the weights should also sum up to 1, given their dynamic nature, the constant weights seem more restrictive than for mutual funds. Hence, the econometric literature was lacking a method incorporating the constraints and the possibility for the weights to vary. Motivated by this gap, we develop a method that allows the weights to vary while being constrained to sum up to 1 by combining the Sharpe analysis with a time-varying coefficient model. As the style analysis has proven to be a valuable tool for mutual fund analysis, we believe our approach offers many potential fields of application both for funds of hedge funds and mutual funds.

The contributions of our thesis to the field of finance are numerous.

Firstly, we are the first to offer a comprehensive and exhaustive assessment of the world of FoHFs. Using both a bootstrap analysis and a method that allows dealing with multiple hypothesis tests straightforwardly, we show that after fees, the majority of FoHFs do not channel alpha from single-manager hedge funds and that only very few FoHFs deliver after-fee alpha per se, i.e. on top of the alpha of the hedge fund indices. We conclude that the added value of the vast majority of FoHFs should thus not be expected to come from the selection of the best HFs but from the risk management-monitoring skills and the easy access they provide to the HF universe.

Secondly, despite that the leverage is one of the key features of funds of hedge funds, there was a gap in the understanding of the impact it might have on the investor’s alpha. This was likely due to the quasi-absence of data about leverage and to the fact that literature was lacking a proper tool to implicitly estimate this leverage.

We fill this gap by proposing a theoretical model of fund of hedge fund leverage and alpha where the cost of borrowing is increasing with leverage. In the literature, this is the first model which integrates the rising cost of borrowing in the leverage decision of FoHFs. We use this model to determine the conditions under which the leverage has a negative or a positive impact on investor’s alpha and show that the manager has an incentive to take a leverage that hurts the investor’s alpha. Next, using estimates of the leverages of a sample of FoHFs obtained through the time-varying style analysis, we show that leverage has indeed a negative impact on alphas and appraisal ratios. We argue that this effect may be an explanation for the disappointing alphas delivered by funds of hedge funds and can be interpreted as a potential explanation for the “capacity constraints ” effect. To the best of our knowledge, we are the first to report and explain this negative relationship between alpha and leverage in the industry.

Thirdly, we show the interest of the time-varying coefficient model in hedge fund performance assessment and selection. Since the literature underlines that manager skills are varying with macro-economic conditions, the alpha should be dynamic. Unfortunately, using ordinary least-squares regressions forces the estimate of the alpha to be constant over the estimation period. The alpha of an OLS regression is thus static whereas the alpha generation process is by nature varying. On the other hand, we argue that the time-varying alpha captures this dynamic behaviour.

As the literature shows that abnormal-return persistence is essentially short-term, we claim that using the quasi-instantaneous detection ability of the time-varying model to determine the abnormal-return should lead to outperforming portfolios. Using a persistence analysis, we check this conjecture and show that contrary to top performers in terms of OLS alpha, the top performers in terms of past time-varying alpha generate superior and significant ex-post performance. Additionally, we contribute to the literature on the topic by showing that persistence exists and can be as long as 3 years. Finally, we use the time-varying analysis to obtain estimates of the expected returns of hedge funds and show that using those estimates in a mean-variance framework leads to better ex-post performance. Therefore, we conclude that in terms of hedge fund performance detection, the time-varying model is superior to the OLS analysis.

Lastly, we investigate the funds that have chosen to adopt the “Alternative UCITS” framework. Contrary to the previous frameworks that were designed for mutual fund managers, this new set of European Union directives can be suited to hedge fund-like strategies. We show that for Ucits funds there is some evidence, although weak, of the added value of offshore experience. On the other hand, we find no evidence of added value in the case of non-offshore experienced managers. Motivated to further refine our results, we separate Ucits with offshore experienced managers into two groups: those with equivalent offshore hedge funds (replicas) and those without (new funds). This time, Ucits with no offshore equivalents show low volatility and a strongly positive alpha. Ucits with offshore equivalents on the other hand bring no added value and, not surprisingly, bear no substantial differences in their risk profile with their paired funds offshore. Therefore, we conclude that offshore experience plays a significant role in creating positive alpha, as long as it translates into real innovations. If the fund is a pure replica, the additional costs brought by the Ucits structure represent a handicap that is hardly compensated. As “Alternative Ucits” have only been scarcely investigated, this paper represents a contribution to the better understanding of those funds.

In summary, this thesis improves the knowledge of the distribution, detection and determinants of the performance in the industry of hedge funds. It also shows that a specific field such as the hedge fund industry can still tell us more about the sources of its performance as long as we can use methodologies in adequacy with their behaviour, uses, constraints and habits. We believe that both our results and the methods we use pave the way for future research questions in this field, and are of the greatest interest for professionals of the industry as well.

Doctorat en Sciences économiques et de gestion
info:eu-repo/semantics/nonPublished

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Strömqvist, Maria. "Hedge funds and international capital flows /." Stockholm : Economic Research Institute, Stockholm School of Economics (EFI), 2008. http://www2.hhs.se/efi/summary/743.htm.

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Strömqvist, Maria. "Hedge funds and international capital flows." Doctoral thesis, Handelshögskolan i Stockholm, Finansiell Ekonomi (FI), 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-465.

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This thesis consists of four chapters that investigate the performance and capital flows of hedge funds. The first two chapters of the thesis focus on hedge funds that have a pure emerging market strategy. Hedge funds should be well equipped to take advantage of opportunities in emerging markets due to their flexibility in investment strategy and lockup periods. However, the results show that, at the strategy level, emerging market hedge funds have only generated risk-adjusted returns in the most recent years of the sample period. Although emerging market hedge funds have performed poorly in the past, an important finding is the upward trend over time in performance. Given that other hedge fund strategies have a declining trend in alpha during the same period, the emerging market strategy may be where future alpha can be found. The third chapter investigates if there are capacity constraints in hedge fund strategies. The idea is that the alpha opportunities in the markets are limited. Thus, the more capital coming in to hedge funds, the higher competition for the investment opportunities. The findings reveal that mainly strategies that rely on liquidity in their underlying market show evidence of capacity constraints. That is, high past capital flows have a negative effect on current risk-adjusted returns. The last chapter investigates the out-of-sample performance of five allocation models relative to an equally weighted portfolio, when optimizing over hedge fund strategies. The findings show that for hedge fund investors the naive allocation model (1/N) with equal weights in each asset is not an efficient allocation. The risk-adjusted performance can be improved by using an optimal sample-based allocation model. Moreover, significant improvement in out-of-sample alpha can be made if the investor optimizes over non-systematic returns instead of total returns, which is an important results for investors seeking alpha.

Diss. Stockholm : Handelshögskolan, 2008

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Ramirez, Jaime Hugo. "Optimal decisions in illiquid hedge funds." Thesis, University of Manchester, 2016. https://www.research.manchester.ac.uk/portal/en/theses/optimal-decisions-in-illiquid-hedge-funds(2147e116-7ac6-4a56-afe1-e45f482aa329).html.

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During the work of this research project we were interested in mathematical techniques that give us an insight to the following questions: How do we understand the trading decisions made by a manager of a hedge fund and what influences these decisions? In what way does an illiquid market affect these decisions and the performance of the fund? And how does the payment scheme affect the investor's decisions? Based on existing work on hedge fund management, we start with a fund that can be modelled with one risky investment and one riskless investment. Next, subject to the hedge fund special reward scheme we maximise the expected utility of wealth of the manager, by controlling the percentage invested in the risky investment, namely the portfolio. We use stochastic control techniques to derive a partial differential equation (PDE) and numerically obtain its corresponding viscosity solution, which provides a weak notion of solutions to these PDEs. This is then taken to a liquidity constrained scenario, to compare the behaviour of the two scenarios. Using the same approach as before we notice that due to the liquidity restriction we cannot use a simple model to combine the risky and riskless investments as a total amount, and hence the PDE is one order higher than before. We then model an investor who is investing in the hedge fund subject to the manager's optimal portfolio decisions, with similar mathematical tools as before. Comparisons between the investor's expected utility of wealth and the utility of having the money invested in the risk-free investment suggests that, in some cases, the investor is paying more to the manager than the return he is receiving for having invested in the hedge fund, compared to a risk-free investment. For that reason we propose a strategic game where the manager's action is to allocate the money between the two assets and the investor's action is to add money to the fund when he expects profit. The result is that the investor profits from the option to reinvest in the fund, although in some extreme cases the actions of the manager make the investor receive a negative value for having the option.

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Jain, Sameer 1967. "An empirical study of hedge funds." Thesis, Massachusetts Institute of Technology, 2003. http://hdl.handle.net/1721.1/8009.

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Thesis (M.B.A.)--Massachusetts Institute of Technology, Sloan School of Management, 2003.
Includes bibliographical references (p. 77-79).
Hedge Funds are one of the fastest growing, yet least understood, category of alternate investment vehicles. They are pooled investment vehicles that use leverage, short-selling, dynamic hedging and derivatives to implement investment strategies significantly different from the non-leveraged, long-only approach traditionally followed by investors. This Thesis explores and validates characteristics, attributes and behavior of the generic category of Hedge Funds by researching academic and empirical studies available in the public domain. It traces the dramatic growth of the Hedge Fund industry in recent times as well as the regulatory environment governing the industry. The findings of this study assess a variety of Hedging styles and strategies that have proliferated in recent years by building on practitioner and academic research. We further examine the risk return profile of Hedge Funds, effective diversification and portfolio allocation decisions. The results of our study offer a thorough explanation of issues essential to Hedge Fund investment and their usefulness as an alternative asset class in both institutional and private portfolios.
by Sameer Jain.
M.B.A.

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Gong, Yuhui. "Hedge Funds' Performance Fees and Investments." Digital WPI, 2017. https://digitalcommons.wpi.edu/etd-theses/410.

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The high-water mark provision in hedge fund managers' compensation raises concerns of investors, because they are worried about that fund managers would take unnecessarily high risk in the fund investment. In this paper, we theoretically analyze the optimal strategies for hedge fund managers who choose to maximize the expected power utility from fees in both discrete-time and continuous- time models. The results show that when approaching the fee payment date, hedge fund managers would take as much risk as they are allowed to in the fund investment. However, if hedge fund managers are given more time, they tend to be more conservative. In the continuous-time model, the optimal allocation of the fund in the risky asset depends on market conditions, which are measured by the state price density.

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Luo, Ji. "Liquidity timing skills for hedge funds." Thesis, Loughborough University, 2015. https://dspace.lboro.ac.uk/2134/18999.

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In the thesis, we investigate whether hedge fund managers have liquidity timing skills in the fixed income market, foreign exchange market and commodity market, respectively. Managers with the liquidity timing skills can strategically adjust hedge funds exposure to the target financial market based on their forecasts about the future changes in market liquidity. We find empirical evidence that hedge funds in certain categories have the skills to time the liquidity levels in the fixed income market, foreign exchange market and commodity market. We conduct a range of robustness tests, which show that hedge funds still exhibit liquidity timing skills after controlling for the factors that may affect timing ability. In particular, our findings are robust to the usage of leverage, funding constraints, investor redemption restrictions, hedge funds trades on market liquidity, financial crisis, hedge fund data biases, market return and volatility timing, liquidity risk factor, systematic stale pricing and option factors. We also conduct bootstrap analysis to ensure the results are not dependent on the normality assumption. Our investigation is helpful to understand the importance of market liquidity to hedge funds professional portfolio management.

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Ling, Yun. "The Size Effects of Hedge Funds." Thesis, The University of Sydney, 2019. https://hdl.handle.net/2123/21414.

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The thesis consists of three studies that address issues surrounding the scale-return relationship, risk-shifting behaviour of hedge fund managers, the evaluation of managerial skill and the agency problem in the hedge fund industry. Specifically, the first study examines the relationship between the performance and size of hedge funds and documents strong evidence of diseconomies of scale in the hedge fund industry. The first study also investigates the risk-shifting behaviour of hedge fund managers. It finds that managers are risk-averse when the incentive fee is in the money, risk-loving when the incentive fee is near the money, and managers tend to gamble when their funds are close to liquidation. The impact of the moneyness of the incentive fee is more profound for managers of small funds whose total compensation highly depends on the incentive fee. The second study investigates the managerial skill of hedge funds. It evaluates managerial skill based on the value-added skill metric, which considers both the return and size of hedge funds. This study discusses the limitations of the value-added skill metric and proposes a generalised model that overcomes these limitations. The study also documents strong evidence of managerial skill in the industry. The third study addresses the agency problem in the hedge fund industry by investigating the impact of altruism in choosing the optimal size of hedge funds. It shows that investors are better off with an altruistic hedge fund manager. Furthermore, the study finds that the compensation structure works better to motivate managers to deliver returns to investors if the fund is managed by an altruistic manager. The findings of the thesis not only contribute to the academic literature on the issue of diseconomies of scale in managed funds, but also highlight some important implications for both regulators and the investment community.

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Bianchi, Robert John. "Hedge funds : data biases and style." Thesis, Queensland University of Technology, 2003.

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Salikhova, Alsu <1982&gt. "Stochastic Volatility Analysis for Hedge Funds." Master's Degree Thesis, Università Ca' Foscari Venezia, 2013. http://hdl.handle.net/10579/3351.

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Streatfield, Michael P. "Hedge funds : fees, return revisions, and asset disclosure." Thesis, University of Oxford, 2012. http://ora.ox.ac.uk/objects/uuid:62ce2e64-820b-4d0a-b914-676c958a540f.

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This thesis is a collection of three essays on hedge funds with contributions to the empirical understanding of their fees, and their voluntary disclosure of returns and assets under management, using a large consolidation of widely-employed publicly available hedge fund databases. First, time-series variation in reported fees is analysed using fund launches within hedge fund management companies, and conditioning fees at launch on fund family characteristics. Larger and better performing fund families launch high fee funds. Funds with high management fees at launch do not perform any differently from low fee funds, though funds with high incentive fees marginally outperform. An interval regression technique is proposed to overcome the discrete nature of reported fees. Secondly, the reliability of voluntary disclosures of financial information is analysed with a different measure of time-variation --- tracking changes to statements of historical performance recorded at different points in time. This uncovers evidence that historical returns are routinely revised. These revisions are not merely random or corrections of earlier mistakes; they are partly forecastable by fund characteristics. Moreover, funds that revise their performance histories, significantly and predictably underperform those that have never revised. Finally, the availability, and timing, of the selective disclosure of assets under management by funds is examined. More than a third of funds have asset records falling short of returns published. There is evidence of strategic disclosure by funds --- asset reporting drying up after times of fund stress, such as poor performance or outflows. Furthermore, investors should take heed of the greater propensity for shortfall funds to trigger fraud performance flags. These results suggest that unreliable disclosures: constitute a valuable source of information for current and potential investors; have implications for researchers; and, exhort market regulators to include assets, not just returns, in the debate around mandatory disclosure by financial institutions.

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Eichenberger, Benedikt. "Strukturierung und Performance von Funds of Hedge Funds im Schweizer Markt." St. Gallen, 2004. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/01649755001/$FILE/01649755001.pdf.

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Lee, Dong-Joon. "Persistence of performance of the hedge funds : an empirical study from 1994 to 2007 /." abstract and full text PDF (UNR users only), 2007. http://0-gateway.proquest.com.innopac.library.unr.edu/openurl?url_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&res_dat=xri:pqdiss&rft_dat=xri:pqdiss:1451075.

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Thesis (M.S.)--University of Nevada, Reno, 2007.
"December, 2007." Includes bibliographical references (leaves 29-30). Library also has microfilm. Ann Arbor, Mich. : ProQuest Information and Learning Company, [2008]. 1 microfilm reel ; 35 mm. Online version available on the World Wide Web.

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Svensson, Jonas, and Magnus Gustafson. "Hedge Fund Strategies : Guideline for the Swedish Market." Thesis, Jönköping University, JIBS, Business Administration, 2006. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-292.

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Background:

Hedge funds have its origin in 1949 when Alfred W Jones constructed a fund that used a new technique where he took long positions and hedged them with short positions. This fund got a large publicity when it was proved that it had outperformed any other fund by 87 percent during a ten year period. Though, it was not until the early 1990’s hedge funds became popular for the general public. The goal for hedge funds in general is to yield an absolute return and there are many different strategies for reaching this goal. This has lead to the following three research questions:

Have Hedge funds been able to reach its goal for an absolute return in both bullish and bearish times?

Which strategy has shown the best performance in markets on the rise and in declining markets and is it possible to place the different strategies in order of precedence?

Is it possible to come up with a guideline for investing in hedge funds on the Swedish market?

Purpose:

The purpose with this thesis is to study the returns on a large number of hedge funds in the American fund market based upon their investment strategy, both when the market is gaining and when it is declining.

Method:

In this thesis we have investigated twelve different strategies in the American market. By using secondary data from HFRI’s hedge fund database we have conducted a quantitative research by calculating key statistics for the strategies. We have also plotted performance diagrams were the strategies are compared with S&P 500. To be able to answer our research questions we constructed a table containing a summary of the risk and return for the strategies in bullish and bearish market times.

Results:

Our research showed that there were two strategies that were capable of delivering an absolute return for the entire period. However, when looking deeper into the yearly returns we found that there were another eight strategies that presented a negative return for just one out of the total eleven years. To conclude the research we have placed the strategies in order of precedence that works as a guideline for investing in the Swedish market in bull and bear markets.

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Sundqvist, Daniel. "Hedge Funds in a Traditional Portfolio : A Quantitative Case Study Made on the Swedish Hedge Fund Market." Thesis, Umeå University, Umeå School of Business, 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-23363.

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Hedge funds are a debated subject in today’s financial industry. During 2008, despite hedge funds absolute return target, the global hedge fund industry showed a negative performance whilst the Swedish hedge fund market performed relatively well in comparison. Many studies have been made investigating the effect on incorporating hedge funds in a traditional portfolio though none focused separately on the Swedish market. In a global perspective it is quite easy to invest in hedge fund portfolios due to the existence of investable indices. To invest on the Swedish market is a more complex matter. SIX Harcourt HFXS Index is a Swedish hedge fund index representing the Swedish hedge fund market though it is not investable. Hence it would be interesting to see if it is possible to create an investable version of SIX Harcourt HFXS. When creating an investable index, several administrative costs will arise and in order to cover these costs it would be interesting to see whether or not it possible to optimize SIX Harcourt HFXS Index in purpose of achieving a outperformance which could cover any administrative costs for setting up the investable version. Also, since the optimized version must replicate the standard SIX Harcourt HFXS Index it must maintain a certain level of correlation.

This thesis, which is based on a positivistic epistemology, is built upon a quantitative case study where SIX Harcourt HFXS Index is optimized in purpose of achieving an outperformance in terms of the risk-adjusted return. The optimization uses an adjusted mean-variance methodology and is limited to a maintained correlation above 0,9 towards the standard SIX Harcourt HFXS Index. The optimization is created through the use of an Excel application created by Harcourt Investment Consulting.

Also, based on the outperformance by Swedish hedge funds compared to global hedge funds, this study aims to show the effect of incorporating Swedish hedge funds in a traditional portfolio consisting of equities and bonds. This effect is analyzed by the use of several performance-and risk measures.

The study shows that it is possible to optimize SIX Harcourt HFXS Index and produce an outperformance of approximately 1,5% per annum with a maintained correlation above 0,9. It also shows that the effect of incorporating Swedish hedge funds to a traditional portfolio is positive in regards to both risk and return.

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Dimitriu, Anca. "Revisiting optimal investments in equity portfolios and funds of hedge funds." Thesis, University of Reading, 2004. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.408334.

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Manser, Samuel. "Performance of Long/Short Equity Hedge Funds." St. Gallen, 2008. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/03602745002/$FILE/03602745002.pdf.

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Germann, Daniel. "Hedge Funds sources of return and replication /." St. Gallen, 2008. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/05608195001/$FILE/05608195001.pdf.

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Zumbühl, Daniel. "Performance-Analysis of Distressed Securities Hedge Funds." St. Gallen, 2008. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/01655554002/$FILE/01655554002.pdf.

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Slavutskaya, Anna [Verfasser]. "Three Essays on Hedge Funds / Anna Slavutskaya." Konstanz : Bibliothek der Universität Konstanz, 2014. http://d-nb.info/1058825739/34.

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Gerritzen, Marc [Verfasser]. "Three Essays on Hedge Funds / Marc Gerritzen." Konstanz : Bibliothek der Universität Konstanz, 2016. http://d-nb.info/1113110155/34.

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Botha, Marius. "Risk management in hedge funds / Marius Botha." Thesis, North-West University, 2005. http://hdl.handle.net/10394/814.

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Investing in hedge funds has become very popular in recent years. Previously, their main focus was on the high net-worth investors. These individuals perform their own risk management and they are, according to law, allowed to invest in any asset or product they desire, whilst ordinary citizens and institutions cannot. The focus is now changing as more pension funds are exploring new ways to invest. Hedge funds are realizing this and are currently adapting to accommodate the institutional investors, and they now have to adjust to more regular reporting and more strenuous risk management. This move of hedge funds to institutional investors also requires more risk management to convince the regulators to allow more investors. Regulators still have the event of Long Term Capital Management (a hedge fund that collapsed in 1998, and caused a worldwide market collapse) on their minds. Very strict risk management is required to convince the regulators that pension funds may invest more money in these more sophisticated investment vehicles. Regulators exist to protect the ordinary citizen against optimistic marketing by institutions that will essentially gamble with the not-so-sophisticated investor's money i.e. the man in the street. In this new era of hedge funds, more and better risk management is needed and it is the aim of this dissertation to address these issues. In particular, an improved measure of exponentially weighted moving average volatility, a detailed analysis and solution of the differential scaling in time of risk and return and an empirically-tested enhancement of the incorporation of endogenous liquidity risk into value at risk are presented.
Thesis (M.Com. (Economics))--North-West University, Potchefstroom Campus, 2005.

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Bergh, G. "Hedge funds and higher moment portfolio selection." Master's thesis, University of Cape Town, 2005. http://hdl.handle.net/11427/5881.

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Includes bibliographical references.
This study confirms the findings of Davies, Kat and Lu (2003) and Feldman, Chen and Goda (2002) that Global Macro and Equity Market-Neutral strategies are crucial constituents in a fund of hedge funds portfolio. When comparing optimised multi-asset class portfolios including an allocation to hedge funds, the results show that meanvariance optimisation overallocates to the hedge fund class on the basis of its high reward to volatility ratio.

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Vilhena, Adriana Marques. "Hedge Funds como Potencializadores de Ataques Especulativos." reponame:Repositório Institucional do FGV, 2003. http://hdl.handle.net/10438/3896.

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Made available in DSpace on 2009-11-18T19:01:15Z (GMT). No. of bitstreams: 0 Previous issue date: 2003
Esta dissertação tem por objetivo investigar a hipótese de que os Hedge Funds, com sua maneira agressiva de operar e de se alavancar nos mercados financeiros, seriam capazes de potencializar os ataques especulativQs so.fIidos por diversos países nos últimos anos. Como referencial teórico, foram apresentados os modelos maIS discutidos de CrIses cambiais de pnmeIra, segunda e terceira geração. Ainda para sustentar a conclusão de que os Hedge Funds potencializam os ataques especulativos, apresentamos o papel desempenhado pelos Hedge Funds nas recentes cnses cambiais como referencial prático. Esta dissertação está estruturada em três seções, além da Introdução, da Conclusão e da Bibliografia. A primeira apresenta a Indústria dos Hedge Funds e seus principais conceitos; a segunda apresenta alguns dos modelos de crises cambiais mais discutidos na literatura e os modelos de Calvo de 1999 e Corsetti et aI. (2000); e a terceira fala sobre as crises cambiais recentes e o papel desempenhado pelos Hedge Funds nestas crises.
The main goal of this dissertation is to investiga te the hypothesis that the Hedge Funds, with their aggressive way of trading and of leverage themselves, would be capable to increase some of the speculative attacks that happened at several countries in the last few years. We will present the most famous models that explain the crisis and some real examp}es O'f the Hedge Funds roles in some recent crisis. We conc/ude that they are capable to increase the speculative attacks. This dissertation has three sections, beúdes the introduction, the conc/usion and the bibliography. The first section presents the Hedge Fund industry and its characteristics; the second presents some crisis models and the Calvo (1999) models and Cm'seU et aI. (2000); and the third section analyses some of the recent crisis and the role played by the Hedge Funds into them.

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LIBERATORI, FRANCESCO. "Gli hedge funds azionisti di società quotate." Doctoral thesis, Luiss Guido Carli, 2016. http://hdl.handle.net/11385/201093.

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The thesis «Gli hedge funds azionisti di società quotate» discusses the role of activist hedge funds (“activists”). These are funds, the legal nature of which is rather complex, that acquire minority interests in listed companies (“targets”) and try to exert an influence over the target’s insiders through requests for governance, financial and strategic changes in the policies of the target so as to gain a profit therefrom. To be sure, hedge funds’ activism matters from an economic and financial standpoint. The most recent available estimates indicates that activist hedge funds, although they represent no more than 4% of the aggregate number of hedge funds worldwide, have assets under management (“a.u.m.”) approximately equal to $ 100 billion. In the cover story of its issue of February 7, 2015, The Economist depicted activist hedge funds as «Capitalism’s unlikely heroes», arguing «Why activist investors are good for the public company». In the last decade the number of activists’ interventions increased at a remarkable pace, often triggering long and contentious campaigns, in the United States as well as in Italy (although proportionally to the size of their capital markets). Similarly, hedge funds’ activism matters from a legal standpoint. Activism triggers a number of complex legal issues across multiple fields of the law, including financial regulation, corporate and securities laws. The relatively recent emergence of hedge funds’ activism, coupled with a lack of legal precedents and studies, renders the analysis even more troublesome. The thesis tackles the matter along a research path structured in three phases, each of which approximately represents a separate goal of the research (and a chapter of the thesis). The first goal of the research, discussed in the first chapter, deals with the legal qualification and nature of hedge funds. The complex legal features of hedge funds, the intricacies associated with their underlying economics and the lack of a single, readily available legal regime applicable to them suggest to carry out a preliminary analysis on hedge funds. This analysis should clarify what a hedge fund is (and, within the hedge funds’ family, what an activist hedge fund is); what an activist hedge fund does, and how it exerts influence over the target’s insiders; and what the economic consequences, and side-effects, of hedge funds’ activism are. This should also allow to identify and describe the legal regime applicable to hedge funds. The second goal of the research, discussed in the second chapter, deals with the possible correlation between the degree of activism of hedge funds and the regulatory regime applicable to them in an environment, such as Italy, where the ownership of listed companies is largely concentrated.5 In this context I will first identify and discuss the regulatory factors that, potentially, are capable of sustaining the emergence of activists. I will then assess whether, and to which extent, the reforms of Italian corporate law adopted in the 2004-2014 period had an impact (and, if so, of what sort) on hedge funds’ activism. Hardly is this the first time that a legal scholar attempts to assess the impact of such reforms. It is however the first time, at least to my knowledge, that a similar task is performed in the context and through the methodology I decided to follow. Notably, I will assess the impact of these reforms: (i) in relation to the possible, either supportive or depressing, effects they had on the emergence of hedge funds’ activism in Italy; and (ii) based on data, and not only on qualitative legal analysis, that I partly hand-collected and largely obtained courtesy of the authors, to whom I am deeply grateful, of a number of empirical studies on the Italian securities market supported by Georgeson/LUISS Ceradi/Fondazione Bruno Visentini. The third goal of the research is to touch upon the legal consequences of hedge funds’ activism on the target companies they select. On the one hand, I will discuss whether hedge funds’ activism needs to be halted (assuming this is legally doable) or otherwise curbed by newly-approved statutes. On the other hand, I will delve into Italian corporate law to understand whether targets may use any existing corporate tools or devices to fend off activists. The aim of this analysis is, ultimately, to understand whether hedge funds activism might prove to be harmful or beneficial for the corporate governance of companies with a highly concentrated ownership structure.

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Serafin, Stefano <1988&gt. "L'abilità di generare 'alfa' degli hedge funds." Master's Degree Thesis, Università Ca' Foscari Venezia, 2012. http://hdl.handle.net/10579/2144.

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Gli hedge funds sono forme di investimento alternativo che hanno l'obiettivo principale di garantire agli investitori rendimenti assoluti, non correlati con l'andamento dei mercati finanziari. L'abilità di generare 'alfa', attraverso l'implementazione di strategie dinamiche con l'ampio uso della leva e delle vendite allo scoperto, rappresenta un aspetto fondamentale nella valutazione delle performance di questi fondi alternativi. In questo lavoro viene estratta la componente alfa dai rendimenti di un ampio campione di hedge funds attraverso la definizione di un modello di tipo asset-based style factor. Successivamente viene implementato un modello a cambiamento di regime per definire la probabilità dinamica di ottenere un certo valore dell'alfa in relazione al regime che lo ha generato. Infine viene studiato l'impatto di un set di variabili quantitative e qualitative sulla probabilità di ottenere un alfa positivo nel tempo.

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Vaccher, Stefano <1993&gt. "Regime-switching betas for hedge funds returns." Master's Degree Thesis, Università Ca' Foscari Venezia, 2018. http://hdl.handle.net/10579/12251.

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From the lately 1990s hedge funds have been object of intense academical research. After the financial crisis of 2008 and the disappearance of many funds, the interest has gradually faded. This work aims to review the current state of the hedge fund industry. In the introductory section, different statistical and regression analysis are performed on hedge fund indices and show the persistency of biases (i.e. selection and survivorship). A seven-factors ABS model is then applied to give further evidence. However, risk exposures of hedge funds to various risk factors are not constant in time. Therefore, the central part of this work is devoted to the implementation of the regime-switching beta model proposed by Billio et al. in 2010. The model allows to study the dynamic risk exposures of hedge funds in different regimes of the market (up, down, and tranquil). Investors and regulators can gain insightful information on where hedge funds are putting their bets to react accordingly.

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TASSINARI, Gian Luca. "Pricing equity and debt tranches of collateralized fund of hedge funds obligations." Doctoral thesis, Università degli studi di Bergamo, 2009. http://hdl.handle.net/10446/64.

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Dissertations / Theses on the topic 'Hedge funds'

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