Dissertations / Theses: 'Hedge Fund'

1

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.

Full text

APA, Harvard, Vancouver, ISO, and other styles

2

Adlersson, Patrik, and Patrik Blomdahl. "Hedge Fund Style Allocation : A Risk Adjusted Fund of Hedge Fund Perspective." Thesis, Linköping University, Department of Production Economics, 2005. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-2758.

Full text

Abstract:

The purpose of the thesis has been to explore the use of hedge fund styles when constructing portfolios of hedge funds (i.e. funds of hedge funds). The central question is if the use of hedge fund styles can significantly explain and improve risk adjusted returns (characterized by Sharpe ratios). The study has been done in collaboration with Optimized Portfolio Management AB who desire further knowledge and evaluation of hedge fund styles for their fund of hedge funds.

To be able to create successful ex ante portfolios we have explored various prediction models for both risk and return. Our findings indicate that return prediction is problematic using simple models such as regression since the risk exposure of the indices appear to change significantly over time. One can however using exponentially weighted moving averages (EWMA) achieve relatively promising estimations of future returns.

Covariance matrix estimation seems to be more straightforward. We have achieved promising results using both traditional EWMA models as well as improved estimators using principal component analysis.Covariance prediction models were evaluated separately using a minimum-variance portfolio optimization technique and provided a significant risk reduction compared to the aggregated hedge fund universe (represented by a naively diversified portfolio). Combinations of risk and return prediction models were evaluated using traditional mean-variance portfolio construction methods, which were optimized for Sharpe ratios. These provided a significant increase in risk adjusted returns relative to the aggregated hedge fund universe. The allocation is however discouraging due to serious instability over time.

Our findings indicate that there indeed is an advantage of taking hedge fund styles into consideration when constructing funds of hedge funds in a risk adjusted perspective. However, further research into return prediction needs to be done in order to stabilize portfolio allocation. An alternative seems to be tactical style allocation on a more fundamental analysis basis.

APA, Harvard, Vancouver, ISO, and other styles

3

Samiev, Sarvar, and Yaqian Wu. "Do hedge fund investment strategies matter in hedge fund performance?" Thesis, Umeå universitet, Handelshögskolan vid Umeå universitet, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-37518.

Full text

Abstract:

Our study aims at analyzing the performance of 1455 live hedge funds in the chosen timeframe from 2004 and 2010. Our work is of great importance both forindividual and institutional investor which finds alternative investments as aninvestment choice. By decomposing hedge funds into different strategies we implementour analysis. To answer to our research question “Do hedge fund investing strategiesmatter in hedge fund performance?” our findings based on single and multipleregression models on risk-adjusted basis, show that different hedge investmentstrategies have different risk and return characteristics.Our multiple regression analysis in which we have included sub-category indices asfactor has provided the high R squared (99%). Managerial skill (alpha) is lower in caseof single regression using benchmarks compared to market (S&P 500), which isreasonable since our benchmark is homogenous funds included and measures theaverage performance of specific hedge fund sub category. The beta values in case ofbenchmark used is higher compared to market due to the same reason. The difference inR squared values is quite fluctuating. For some hedge funds, the explanatory power ofbenchmark is higher while for others is lower. We would like to emphasize that Rsquared values in case of market (S&P 500) are more stable compared to benchmark.H test showed that the differences existed among the performance of hedge fundinvestment strategies. LSD test showed that there are some strategies having significantdifferences on performance among different investment strategies. The multipleregression analysis using dummy variables showed that to some extent hedge fundstrategies matter on hedge fund performance. Risk-adjusted performance measuresshow the highest sharp ratio to PIPES (2,88) and Statistical Arbitrage (1,55).

APA, Harvard, Vancouver, ISO, and other styles

4

Xiao, Li. "Valuing Hedge Fund Fees." Thesis, University of Waterloo, 2006. http://hdl.handle.net/10012/2931.

Full text

Abstract:

This thesis applies a Partial Integral Differential Equation model, along with a Monte Carlo approach to quantitatively analyze the no arbitrage value of hedge fund performance fees. From a no-arbitrage point of view, the investor in a hedge fund is providing a free option to the manager of the hedge fund. The no-arbitrage value of this option can be locked in by the hedge fund manager using a simple hedging strategy. Interpolation methods, grid construction techniques and parallel computation techniques are discussed to improve the performance of the numerical methods for valuing this option.

APA, Harvard, Vancouver, ISO, and other styles

5

MacDonald, Lynn M. (Lynn Marie). "Hedge fund structured products." Thesis, Massachusetts Institute of Technology, 2005. http://hdl.handle.net/1721.1/33556.

Full text

Abstract:

Thesis (S.M.)--Massachusetts Institute of Technology, Sloan School of Management, 2005.
Includes bibliographical references (leaves 58-63).
In the aftermath of the bear market and one of the most volatile periods in recent financial history, individual and institutional investors worldwide are reevaluating their asset allocation strategies. Interest in hedge funds and alternative investment styles is growing as investors realize these investments offer better return potential with relatively low correlation to traditional asset classes. However, returns of hedge funds have been somewhat lackluster recently, on average, and several factors indicate investors should expect similarly muted performance in the future. Hedge funds also expose investors to non-traditional risks, such as lack of transparency, lack of regulatory oversight, and limited liquidity. Structured products mitigate these risks and allow for flexibility in portfolio construction. They can help reduce the risk of an investment in exchange for a reduction in the potential upside. Additionally, they can provide a greater chance of a good return through the use of leverage. Because structured products can be designed to meet a variety of investment objectives they have become an increasingly popular way to gain exposure to and benefit from a variety of hedge fund strategies. The discussion of hedge funds and the ways in which structured products can be utilized to enhance return and mitigate risk is a broad and expansive topic. This paper is a primer on what hedge fund structured products are and how they can be used to enhance the risk/return profile of a portfolio. The focus is on the US market.
by Lynn M. MacDonald.
S.M.

APA, Harvard, Vancouver, ISO, and other styles

6

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

Full text

Abstract:

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.

APA, Harvard, Vancouver, ISO, and other styles

7

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

Full text

Abstract:

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.

APA, Harvard, Vancouver, ISO, and other styles

8

Schaub, Nic. "Persistence of Hedge Fund Performance." St. Gallen, 2008. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/02060515001/$FILE/02060515001.pdf.

Full text

APA, Harvard, Vancouver, ISO, and other styles

9

DeVault, Luke, and Richard Sias. "Hedge fund politics and portfolios." ELSEVIER SCIENCE BV, 2017. http://hdl.handle.net/10150/623039.

Full text

Abstract:

Consistent with the well-documented relation between political orientation and psychological traits, hedge funds' political orientations are related to their portfolio decisions. Relative to politically conservative hedge funds, politically liberal hedge funds exhibit a preference for smaller stocks, less mature companies, volatile stocks, unprofitable companies, non-dividend paying companies, and lottery-type securities. Politically liberal hedge funds are also more likely to enter new positions or fully exit existing positions, and make larger adjustments to their U.S. equity market exposure. Our results suggest that psychological characteristics can influence the portfolio decisions of even those at the very top of the financial sophistication ladder.

APA, Harvard, Vancouver, ISO, and other styles

10

Mattes, Achim [Verfasser]. "Three Essays on Hedge Fund Risk Taking, Hedge Fund Herding, and Audit Experts / Achim Mattes." Konstanz : Bibliothek der Universität Konstanz, 2014. http://d-nb.info/1058825747/34.

Full text

APA, Harvard, Vancouver, ISO, and other styles

11

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.

Full text

Abstract:

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.

APA, Harvard, Vancouver, ISO, and other styles

12

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.

Full text

Abstract:

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.

APA, Harvard, Vancouver, ISO, and other styles

13

Bieri, Annett. "Replication of Hedge Fund Investment Returns Risk and return comparison of recent Hedge Fund replication products /." St. Gallen, 2008. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/02601805002/$FILE/02601805002.pdf.

Full text

APA, Harvard, Vancouver, ISO, and other styles

14

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.

Full text

Abstract:

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

APA, Harvard, Vancouver, ISO, and other styles

15

Tolonen, P. (Pekka). "Three essays on hedge fund performance." Doctoral thesis, Oulun yliopisto, 2014. http://urn.fi/urn:isbn:9789526205168.

Full text

Abstract:

Abstract This doctoral thesis aims to contribute to the literature on hedge fund performance in three interrelated essays. The first essay uses a novel database aggregation and a comprehensive analysis of differences between the main commercial databases exploring the effects of different databases on previously documented stylized facts, including the (1) average risk-adjusted performance; (2) the persistence of that performance; (3) and the cross-sectional relation between fund-characteristics and risk-adjusted returns. The main finding is that several previously documented stylized facts about hedge fund performance are sensitive to database selection and associated biases. Differences in conclusions stem from database differences in defunct coverage, survivorship and backfill biases, and the completeness of assets under management information. The second essay examines the effect of frictions on the returns that investors can earn from investing in hedge funds. The study focuses on size and redemption restrictions that are key investment constraints in practice. The size–performance relationship is positive (negative) when past (future) performance is used. The negative size–performance relationship is consistent with theories suggesting a decreasing returns-to-scale in the active management industry. Differences in attrition rates and risk taking as well as the relative importance of management fees and capacity constraints between small and large funds are consistent with an equilibrium in which investors and hedge funds optimally respond to incentives subject to constraints. Performance persistence decreases along with the fund size but concentrated hypothetical Fund-of-Fund portfolios outperform. The third essay examines hedge funds' ability to enhance their performance through leverage. The essay explicitly shows that leverage enhances risk-adjusted performance and risk of investment programs. The main finding is that the average high-leverage fund class underperforms its low-leverage counterpart of the same investment program after their returns are appropriately adjusted to the same level. The finding is consistent with the predictions of leverage aversion theories suggesting that leverage constraints and costs of leverage have a negative impact on risk-adjusted returns
Tiivistelmä Tämä väitöskirja sisältää kolme artikkelia, joissa tutkitaan hedge-rahastojen menestystä. Ensimmäisessä artikkelissa rakennetaan yhdistelmäaineisto päätietokannoista ja tutkitaan tietokantojen eroavaisuuksien vaikutuksia keskeisiin kirjallisuudessa esitettyihin tutkimustuloksiin hedge-rahastojen riskikorjatun tuoton tasosta ja tuoton pysyvyydestä sekä rahastokohtaisten ominaispiirteiden ja riskikorjatun tuoton välisestä relaatiosta. Tutkimuksessa havaitaan että tutkimusaineiston valinta vaikuttaa merkittävästi aikaisemmassa kirjallisuudessa esitettyihin tutkimustuloksiin. Merkittävimmät erot tutkimustuloksissa eri tietokantojen välillä selittyvät tietokantojen eroavaisuuksissa toimintansa lopettaneiden rahastojen kattavuudessa ja näin ollen eloonjäämis- ja backfilling-harhan tasossa sekä rahastojen markkina-arvoa kuvaavan aineiston määrässä ja laadussa. Toinen artikkeli tarkastelee rajoitteita, joita sijoittajat kohtaavat sijoittaessaan hedge-rahastoihin. Päähuomio on koko- ja lunastusrajoitteissa, jotka ovat käytännössä merkittävimmät rajoitteet hedge-rahastosijoittajalle. Rahastojen markkina-arvon ja riskikorjatun tuoton välillä on negatiivinen (positiivinen) relaatio kun tarkastellaan rahastojen tulevaa (historiallista) menestystä. Tulokset tukevat teoreettisia esityksiä, joiden mukaan rahastojen kasvu heijastuu menestykseen negatiivisesti. Markkina-arvoltaan pienissä rahastoissa on huomattavasti enemmän riskiä kuin markkina-arvoltaan suurissa rahastoissa. Korkeampi riski pienissä rahastoissa lisää tuotto-perusteisten palkkioiden merkitystä palkkiorakenteissa kun taas suurilla rahastoilla on kannustimet maksimoida markkina-arvon mukaan määriteltyjä hallinnointipalkkioita. Tulokset tukevat talousteoriaa, jonka mukaan riski ja tuoton taso pienevät rahastojen markkina-arvojen kasvaessa. Tuoton pysyvyys pienenee rahaston markkina-arvon kasvaessa. Kuitenkin hypoteettiset rahastot, jotka on hajautettu aikaisempiin menestyjiin keskeiset sijoittajien rajoitteet huomioiden, menestyvät riskikorjatusti. Kolmannessa artikkelissa tutkitaan hedge-rahastojen kykyä lisätä riskikorjatun tuoton tasoa velkavivun avulla. Velkavivun käyttö kasvattaa sijoitusstrategian tuoton ja riskin tasoa alhaisemman velkatason osuuslajeihin verrattuna. Päätuloksena havaitaan, että tyypillinen sijoitusstrategian korkean velkatason osuuslajin tuoton taso on merkittävästi alhaisempi matalan velkatason osuuslajiin nähden kun molempien osuuslajien tuottoaikasarjat ovat asetettu samalle tasolle. Talousteoriaa ennustaa, että sijoittajien rajoitteet käyttää velkavipua ja velkavivun käyttöön liittyvät kustannukset heijastuvat salkun tuoton tasoon negatiivisesti

APA, Harvard, Vancouver, ISO, and other styles

16

Garvert, Stacie. "Performance of female hedge fund managers." Thesis, Manhattan, Kan. : Kansas State University, 2008. http://hdl.handle.net/2097/548.

Full text

APA, Harvard, Vancouver, ISO, and other styles

17

He, Yazhou. "Institutional investors and hedge fund activism." Thesis, University of Warwick, 2017. http://wrap.warwick.ac.uk/102339/.

Full text

Abstract:

This thesis studies the institutional investor background in order to understand the working of hedge fund activism: how institutional investors affect hedge fund activists target selection and how activists share information and build alliances through social connections to achieve their goals. Chapter 2 utilizes a rich literature on institutional investors' governance roles and develops simple measures of institutional discontent expressed through holding, trading and voice channels, to predict hedge fund activism target selection. Discontent expressed through all three channels leads to subsequent targeting. Medium sized dissatisfied owners and sellers seem to be the main driving force, and institutions' discretionary disagreements on management compensation and governance related proposals have the highest explanatory power among other voice channels. Activists are more likely to gain higher announcement returns and threaten to take hostile actions against management with more discontented institutional investors in the target companies. Discontented institutions are more likely to vote pro-activist in the subsequent annual meetings after campaigns. Chapter 3 uses a social network framework to study information dissemination during activist campaigns. Actively managed funds whose managers are socially connected to the lead activist are more likely to increase their ownership in the target firms around the activist disclosure. In the cross sectional analysis, we find that the effect is stronger if the activists have better track records and if the ties are established via club membership, charity works, and other small circles. Connected institutions also earn significantly higher announcement returns relative to non-connected funds. The presence of connected institutions contributes to the activist's campaign success. Additional tests are performed to rule out alternative explanations such as fund manager ability or similarity in portfolio choices. Chapter 4 goes one step further to study alliance building among activist investors and institutional investors during the campaign period. A socially connected institution is 1.1 percentage points more likely to increase its ownership in the target firm during the campaign period, compared to funds that are not socially connected to the activist. We use a subsample that includes all institutions subject to M&As before activism events to identify plausibly exogenous shocks to social connections and find similar results. Furthermore, connected institutions also perform significantly better on their investments than non-connected institutions and they are more likely to vote pro-activist in routine proposals, especially director election proposals. The effect is stronger if connected institutions also purchase target stocks during a campaign. The thesis contributes to the literature by developing measures of revealed institutional governance preference based on theoretical and survey evidence in the literature. It also uncovers a channel through which hedge fund activists share information and build alliances and push for corporate changes facilitated by mutual benefits amongst their fellow institutional allies.

APA, Harvard, Vancouver, ISO, and other styles

18

Goodwin, Shane. "Corporate governance and hedge fund activism." Thesis, Oklahoma State University, 2016. http://pqdtopen.proquest.com/#viewpdf?dispub=10140676.

Full text

Abstract:

Over the past two decades, hedge fund activism has emerged as a new mechanism of corporate governance that brings about operational, financial and governance reforms to a corporation. Many prominent business executives and legal scholars are convinced that the American economy will suffer unless hedge fund activism with its perceived short-termism agenda is significantly restricted. Shareholder activists and their proponents claim they function as a disciplinary mechanism to monitor management and are instrumental in mitigating the agency conflict between managers and shareholders. I find statistically meaningful empirical evidence to reject the anecdotal conventional wisdom that hedge fund activism is detrimental to the long term interests of companies and their long term shareholders. Moreover, my findings suggest that hedge funds generate substantial long term value for target firms and its long term shareholders when they function as a shareholder advocate to monitor management through active board engagement.

APA, Harvard, Vancouver, ISO, and other styles

19

Stoll-Davey, Camille. "Global comparison of hedge fund regulations." Thesis, University of Oxford, 2008. http://ora.ox.ac.uk/objects/uuid:d08de3ea-6818-46cf-96b1-1bbb785a7504.

Full text

Abstract:

The regulation of hedge funds has been at the centre of a global policy debate for much of the past decade. Several factors feature in this debate including the magnitude of current global investments in hedge funds and the potential of hedge funds to both generate wealth and destabilise financial markets. The first part of the thesis describes the nature of hedge funds and locates the work in relation to four elements in existing theory including regulatory competition theory, the concept of differential mobility as identified by Musgrave, Kane’s concept of the regulatory dialectic between regulators and regulatees, and the concept of unique sets of trust and confidence factors that individual jurisdictions convey to the market. It also identifies a series of questions that de-limit the scope of the present work. These include whether there is evidence that regulatory competition occurs in the context of the provision of domicile for hedge funds, what are the factors which account for the current global distribution of hedge fund domicile, what latitude for regulatory competition is available to jurisdictions competing to provide the domicile for hedge funds, how is such latitude shaped by factors intrinsic and extrinsic to the competing jurisdictions, and why do the more powerful onshore jurisdictions competing to provide the domicile for hedge funds not shut down their smaller and weaker competitors? The second part of the thesis examines the regulatory environment for hedge funds in three so-called offshore jurisdictions, specifically the Cayman Islands, Bermuda and the British Virgin Islands, as well as two onshore jurisdictions, specifically the United Kingdom and the United States. The final section presents a series of conclusions and their implications for both regulatory competition theory and policy.

APA, Harvard, Vancouver, ISO, and other styles

20

Candreia, Robin Joël. "Analysis of hedge fund replication products." reponame:Repositório Institucional do FGV, 2016. http://hdl.handle.net/10438/17286.

Full text

Abstract:

Submitted by Robin Joël Candreia (robincandreia@hotmail.com) on 2016-10-09T11:36:55Z No. of bitstreams: 1 EESP - Analysis of HF Replication Products.pdf: 1357816 bytes, checksum: 6f8cc53a8c46b361a07188306396d0d7 (MD5)
Rejected by Ana Luiza Holme (ana.holme@fgv.br), reason: Dear Robin, Your Thesis is complete different from the structure that should be. In the email that I send there is a model of thesis. please follow the instructions that I send. All work must be done using the standards defined by ABNT or APA (American Psychology Association): http://bibliotecadigital.fgv.br/site/bkab/normalizacao. I wil send you again the model. Don't forget to ask for the Ficha catalográfica. Best. Ana Luiza Holme 37993492 on 2016-10-10T12:32:21Z (GMT)
Submitted by Robin Joël Candreia (robincandreia@hotmail.com) on 2016-10-17T18:34:06Z No. of bitstreams: 1 EESP Dissertation Robin Candreia.pdf: 1421318 bytes, checksum: a87439a38f564feee0905e7798b4d441 (MD5)
Rejected by Ana Luiza Holme (ana.holme@fgv.br), reason: Dear Robin, The numbers of the pages are missing, remember that the number of the pages count from the cover but only appear in the introduction. Best. Ana Luiza Holme 37993492 on 2016-10-17T18:48:35Z (GMT)
Submitted by Robin Joël Candreia (robincandreia@hotmail.com) on 2016-10-17T20:18:52Z No. of bitstreams: 1 EESP Dissertation Robin Candreia.pdf: 1424345 bytes, checksum: 81b1d6017b1eaac36e10addc679df407 (MD5)
Rejected by Ana Luiza Holme (ana.holme@fgv.br), reason: Dear Robin, The numbers of the pages should appear only in the introduction. Please remove the number of the pages 8 and 9. Best. Ana Luiza Holme 37993492 on 2016-10-18T11:19:23Z (GMT)
Submitted by Robin Joël Candreia (robincandreia@hotmail.com) on 2016-10-18T19:13:16Z No. of bitstreams: 1 EESP Dissertation Robin Candreia.pdf: 1423280 bytes, checksum: 478f76d228a12fef8d50ed7aa8eab318 (MD5)
Approved for entry into archive by Ana Luiza Holme (ana.holme@fgv.br) on 2016-10-18T19:19:53Z (GMT) No. of bitstreams: 1 EESP Dissertation Robin Candreia.pdf: 1423280 bytes, checksum: 478f76d228a12fef8d50ed7aa8eab318 (MD5)
Made available in DSpace on 2016-10-18T19:55:48Z (GMT). No. of bitstreams: 1 EESP Dissertation Robin Candreia.pdf: 1423280 bytes, checksum: 478f76d228a12fef8d50ed7aa8eab318 (MD5) Previous issue date: 2016-09-26
Hedge fund replication has generated significant academic interest and received increased attention from a broad base of investors. This is mainly driven by its competitive after-fee returns along with its superior liquidity, transparency and lower due diligence costs. The purpose of this dissertation is therefore to provide a detailed critical analysis of available hedge fund replication products. The results show that the performance of replication products can vary widely, and replication approaches are still a work in progress. However, they offer an attractive way to enhance the returns of a portfolio while simultaneously diversifying risk because they show a low correlation to traditional asset classes.
Replicação de fundos de hedge gerou interesse acadêmico significativo e recebido maior atenção a partir de uma ampla base de investidores. Este é impulsionado principalmente pelas suas competitivos retornos pós-taxa, juntamente com a sua liquidez superior, transparência e custos de diligência menor devido. O objetivo deste trabalho é, portanto, fornecer uma análise crítica detalhada dos disponível de hedge produtos de replicação de fundo. Os resultados mostram que o desempenho dos produtos de replicação podem variar amplamente, e abordagens de replicação são ainda um trabalho em curso. No entanto, eles oferecem uma maneira atraente de aumentar os retornos de uma carteira e simultaneamente a diversificação do risco, porque eles mostram uma baixa correlação com as classes de ativos tradicionais.

APA, Harvard, Vancouver, ISO, and other styles

21

DONGMO, GUEFACK ERIC. "Hedge Fund Industry: Performance Measurement, Statistical Properties and Fund Characteristics." Doctoral thesis, Università Cattolica del Sacro Cuore, 2011. http://hdl.handle.net/10280/981.

Full text

Abstract:

In questa tesi, l’analisi verte su risk-adjusted performance, proprietà statistiche e caratteristiche dei fondi hedge (FH). Nel primo articolo, i risultati relativi al survivorship bias e backfill bias indicano che l’impatto delle distorsioni è diverso a seconda delle strategie. Utilizzando il modello multifattoriale di Fung and Hsieh (2004), l’analisi della performance indica che il 42% dei FH ha ottenuto un rendimento superiore al mercato. Infine, utilizzando dei metodi parametrici e non parametrici, l’analisi della persistenza indica differenti livelli di persistenza a seconda della strategia. Nel secondo articolo, vengono analizzati i fondi di fondi hedge (FOHFs). I risultati sono particolarmente interessanti. In primo luogo, i FOHFs e le sotto strategie hanno generato un excess return positivo; inoltre l’alfa ottenuto attraverso il modello a 7 fattori di Fung and Hsieh (2004) risulta elevato. In secondo luogo, i FOHFs e le sotto strategie hanno un rendimento inferiore a quello dell’indice dei FH. In terzo luogo, le correlazioni tra gli indici dei FOHFs e l’indice azionario sono inferiori rispetto alle correlazioni tra l’indice dei FH e gli indici azionari. Infine, l’indice dei FH e quelli dei FOHFs sono positivamente correlati con l’indice azionario quando il mercato tende al ribasso, ma risultano non correlati con l’indice azionario quando il mercato tende al rialzo. Rispetto all’indice dei FH, gli indici dei FOHFs hanno una correlazione minore con gli indici azionari in entrambe le fasi del mercato, suggerendo che i FOHFs forniscono benefici maggiori in termini di diversificazione rispetto ai fondi hedge puri.
In this thesis, I examine the risk-adjusted performance, statistical properties and fund characteristics of hedge fund investments. In Essay One, results of survivorship bias and backfill bias by investment styles indicate that biases are different across styles. Using a multi-factor model of Fung and Hsieh (2004), the analysis of performance indicates that 42% of the hedge funds significantly outperformed the market. Finally, using parametric and non-parametric methods, the analysis of persistence indicates different degree of persistence depending on the hedge fund strategy. In Essay Two, I analyse fund of hedge funds (FOHFs). I find several interesting results. First, FOHFs and the sub-strategies earn positive excess returns and a high Fung and Hsieh 7-factor alpha. Second, FOHFs and the sub-strategies underperform the hedge fund index (HFI). Third, the correlations between FOHF indices and equity index are lower than correlations between HFI and equity indices. Finally, hedge funds and FOHFs are positively correlated with the equity index in the bear markets but uncorrelated with the equity index in the bull markets. Compared to HFI, FOHF indices have lower correlation with equity index in both bull and bear markets, indicating that FOHFs provide better diversification benefits than individual hedge funds.

APA, Harvard, Vancouver, ISO, and other styles

22

DONGMO, GUEFACK ERIC. "Hedge Fund Industry: Performance Measurement, Statistical Properties and Fund Characteristics." Doctoral thesis, Università Cattolica del Sacro Cuore, 2011. http://hdl.handle.net/10280/981.

Full text

Abstract:

In questa tesi, l’analisi verte su risk-adjusted performance, proprietà statistiche e caratteristiche dei fondi hedge (FH). Nel primo articolo, i risultati relativi al survivorship bias e backfill bias indicano che l’impatto delle distorsioni è diverso a seconda delle strategie. Utilizzando il modello multifattoriale di Fung and Hsieh (2004), l’analisi della performance indica che il 42% dei FH ha ottenuto un rendimento superiore al mercato. Infine, utilizzando dei metodi parametrici e non parametrici, l’analisi della persistenza indica differenti livelli di persistenza a seconda della strategia. Nel secondo articolo, vengono analizzati i fondi di fondi hedge (FOHFs). I risultati sono particolarmente interessanti. In primo luogo, i FOHFs e le sotto strategie hanno generato un excess return positivo; inoltre l’alfa ottenuto attraverso il modello a 7 fattori di Fung and Hsieh (2004) risulta elevato. In secondo luogo, i FOHFs e le sotto strategie hanno un rendimento inferiore a quello dell’indice dei FH. In terzo luogo, le correlazioni tra gli indici dei FOHFs e l’indice azionario sono inferiori rispetto alle correlazioni tra l’indice dei FH e gli indici azionari. Infine, l’indice dei FH e quelli dei FOHFs sono positivamente correlati con l’indice azionario quando il mercato tende al ribasso, ma risultano non correlati con l’indice azionario quando il mercato tende al rialzo. Rispetto all’indice dei FH, gli indici dei FOHFs hanno una correlazione minore con gli indici azionari in entrambe le fasi del mercato, suggerendo che i FOHFs forniscono benefici maggiori in termini di diversificazione rispetto ai fondi hedge puri.
In this thesis, I examine the risk-adjusted performance, statistical properties and fund characteristics of hedge fund investments. In Essay One, results of survivorship bias and backfill bias by investment styles indicate that biases are different across styles. Using a multi-factor model of Fung and Hsieh (2004), the analysis of performance indicates that 42% of the hedge funds significantly outperformed the market. Finally, using parametric and non-parametric methods, the analysis of persistence indicates different degree of persistence depending on the hedge fund strategy. In Essay Two, I analyse fund of hedge funds (FOHFs). I find several interesting results. First, FOHFs and the sub-strategies earn positive excess returns and a high Fung and Hsieh 7-factor alpha. Second, FOHFs and the sub-strategies underperform the hedge fund index (HFI). Third, the correlations between FOHF indices and equity index are lower than correlations between HFI and equity indices. Finally, hedge funds and FOHFs are positively correlated with the equity index in the bear markets but uncorrelated with the equity index in the bull markets. Compared to HFI, FOHF indices have lower correlation with equity index in both bull and bear markets, indicating that FOHFs provide better diversification benefits than individual hedge funds.

APA, Harvard, Vancouver, ISO, and other styles

23

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.

Full text

Abstract:

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.

APA, Harvard, Vancouver, ISO, and other styles

24

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.

Full text

Abstract:

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.

APA, Harvard, Vancouver, ISO, and other styles

25

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

Full text

Abstract:

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.

APA, Harvard, Vancouver, ISO, and other styles

26

Joenväärä, J. (Juha). "Essays on hedge fund performance and risk." Doctoral thesis, University of Oulu, 2010. http://urn.fi/urn:isbn:9789514263033.

Full text

Abstract:

Abstract This doctoral thesis aims to contribute to the literature on hedge fund performance and risk by conducting four interrelated essays. The first two essays measure and predict hedge fund performance using novel methodologies based on recent development in portfolio choice techniques. This new way to evaluate fund performance relies on economic theory and robust econometric principles. The first essay exploits hedge fund characteristics in order to pick right funds into a portfolio, whereas the second essay predicts hedge fund performance using conditional information that is contained in macroeconomic variables. The empirical analysis shows that the proposed conditional real-time portfolio strategies deliver significant outperformance over the unconditional benchmark strategy which does not utilize conditional information. The third essay investigates whether a particular hedge fund with specific fund characteristics contributes to systemic risk and how hedge funds with a high systemic risk contribution perform during the times of financial distress. The findings suggest that the fund’s capital structure is related to its systemic risk contribution, and, furthermore, that hedge funds with a high systemic risk contribution tend to deliver extremely poor performance during the times of financial distress. The fourth essay examines the impact of share restrictions on hedge fund performance and risk-taking. The essay finds that hedge funds with a lockup period tend to take excess risk that is not compensated when performance is measured as a unit of risk taken by the hedge fund. In addition, the length of notice periods increases along with the illiquidity level of fund investments. Finally, hedge funds with a long notice period seem to be able to earn an illiquidity premium.

APA, Harvard, Vancouver, ISO, and other styles

27

Robotti, Paola Giovanna. "The political economy of hedge fund regulation." Thesis, University of Warwick, 2003. http://wrap.warwick.ac.uk/1261/.

Full text

Abstract:

The currency crises and episodes of market unrest of the 1990s sparked a series of regulatory initiatives to reform the Global Financial Architecture. One of these initiatives tackled the activities of hedge funds, a type of investment vehicle that was frequently cited as one of the causes of these crises. The key research question of this thesis is why efforts to regulate an apparently destabilising aspect of financial markets failed, despite the setting up of an ad hoc forum at the international level (the Financial Stability Forum) and various domestic initiatives in the US, the country where most hedge funds operate. The thesis develops a theoretical framework that examines this regulatory inaction through three explanatory models. The first model draws upon mainstream economic accounts and argues that the empirical evidence did not justify more interventionist public regulation of hedge funds. The second model assumes that a form of relational power has been exercised at the regulatory table: those actors with an interest in leaving hedge funds unregulated prevailed over those that favoured a more mandatory approach. The third model argues that it was not just relational power that determined outcomes, but mainly the power of the structure of meaning within which discussions took place and problems were framed. This structure of meaning led to a particular formulation of the problem at stake, which excluded other concerns and actors from the regulatory agenda. Each model is analysed for its policy implications. The first model leads to regulatory solutions that rely upon private actors' due diligence and self-assessment of risk. The second model leads to policy options that favour a greater inclusion of developing countries and other stakeholder groups in decision-making processes in global finance. The third model leads to a rethinking of the very tenets of financial market regulation and of the financial theories used to explain and govern the market. The thesis argues that the third model is better able to grasp the complexity of power beyond the seemingly technical nature of financial regulation. For this reason, it is deemed more suitable to provide policy solutions that challenge the current neo-liberal framework of regulation.

APA, Harvard, Vancouver, ISO, and other styles

28

Liberal, 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 text

Abstract:

Mestrado em Finanças
As 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.

APA, Harvard, Vancouver, ISO, and other styles

29

Kauppila, M. (Mikko). "Hedge fund tail risk:performance and hedging mechanisms." Master's thesis, University of Oulu, 2014. http://urn.fi/URN:NBN:fi:oulu-201412042095.

Full text

Abstract:

The goal of this master’s thesis is to understand the performance implications of hedge fund’s tail risk, and the mechanisms of how some funds achieve lower tail risk. The current evidence on the performance implications is mixed, with most empirical hedge fund studies suggesting higher returns to higher risk. This is not obvious since the goal of skillful hedge fund managers is to deliver positive risk-adjusted returns, and indeed a few studies do report higher returns to lower risk. The issue is further complicated by the evidence of asset-level low-risk anomalies, which could create a low-skill alternative for managers to achieving higher returns with lower risk. Using a consolidation of commercial hedge fund databases, we decompose hedge fund tail risk, conditional on market distress, into two components: Systematic Conditional Tail Risk (SCTR) arising predictably via equity market exposure, and Idiosyncratic Conditional Tail Risk (ICTR) arising from unpredictable, proprietary alpha investment technology. First, using a subset of large, 13F-HR matched hedge funds from March 2000 to June 2013, we show that especially low-ICTR hedge funds deliver superior future risk-adjusted returns. In contrast to existing hedge fund literature our results support the broader view in asset-pricing literature that low risk is associated with higher risk-adjusted returns. The results are robust to the inclusion of additional risk factors, including a low-risk factor, suggesting that the better performance could be due to skillful hedging rather than harvesting of low-risk anomalies. This skill hypothesis is further supported by the finding that low-risk funds charge higher incentive fees, consistent with economic theory. To further resolve the puzzle of whether low-risk funds outperform high-risk funds, using a large set of funds from January 1994 to June 2013, we run a comprehensive “horse race” between our risk measures and a replication of a large array of existing risk measures. Our results show that for many existing risk measures, the purported risk premium largely diminishes when controlling fund size, suggesting that existing results may be somewhat driven by the inclusion of smaller funds. Our measures SCTR and ICTR consistently show low-risk funds outperforming high-risk funds. Second, using 13F-HR option holdings data from March 1999 to June 2013, we investigate the underlying hedging mechanism implemented by low tail risk hedge funds. We demonstrate that low-SCTR funds allocate a high fraction of their wealth — consistently over time — to protective option strategies, while low-ICTR funds use costly protective strategies only during the financial crisis. Funds with low ICTR also employ more stock, but not index, options, which fits the idiosyncratic nature of the measure. After the financial crisis, volatility-linked Exchange Traded Products (ETPs) have emerged as a potential alternative to hedging tail risk. We show that, from April 2009 to June 2013, the use of such volatility-linked ETPs is associated with lower SCTR but not ICTR, consistent with the option result, and indeed suggesting a complementary hedging mechanism.

APA, Harvard, Vancouver, ISO, and other styles

30

Santos, Eduardo Alonso Marza dos. "Tail risk in the hedge fund industry." reponame:Repositório Institucional do FGV, 2015. http://hdl.handle.net/10438/13797.

Full text

Abstract:

Submitted by Eduardo Alonso Marza dos Santos (eduardo.marza.santos@gmail.com) on 2015-06-21T10:30:55Z No. of bitstreams: 1 Eduardo_A_M_Santos.pdf: 646820 bytes, checksum: aaba122a576d7c75ad0e5803539c25d4 (MD5)
Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2015-06-22T11:46:18Z (GMT) No. of bitstreams: 1 Eduardo_A_M_Santos.pdf: 646820 bytes, checksum: aaba122a576d7c75ad0e5803539c25d4 (MD5)
Made available in DSpace on 2015-06-22T11:56:18Z (GMT). No. of bitstreams: 1 Eduardo_A_M_Santos.pdf: 646820 bytes, checksum: aaba122a576d7c75ad0e5803539c25d4 (MD5) Previous issue date: 2015-05-28
The dissertation goal is to quantify the tail risk premium embedded into hedge funds' returns. Tail risk is the probability of extreme large losses. Although it is a rare event, asset pricing theory suggests that investors demand compensation for holding assets sensitive to extreme market downturns. By de nition, such events have a small likelihood to be represented in the sample, what poses a challenge to estimate the e ects of tail risk by means of traditional approaches such as VaR. The results show that it is not su cient to account for the tail risk stemming from equities markets. Active portfolio management employed by hedge funds demand a speci c measure to estimate and control tail risk. Our proposed factor lls that void inasmuch it presents explanatory power both over the time series as well as the cross-section of funds' returns.
O objetivo do trabalho é quanti car o prêmio de risco de cauda presente nos retornos de fundos de investimento americanos. Risco de cauda é o risco de perdas excepcionalmente elevadas. Apesar de ser um evento raro, a teoria de apreçamento de ativos sugere que os investidores exigem um prêmio de risco para reter ativos expostos a eventos negativos extremos (eventos de cauda). Por de nição, observações extremas têm baixa probabilidade de estarem presentes na amostra, o que di culta a estimação dos impactos de risco de cauda sobre os retornos e reduz o poder de técnicas tradicionais como VaR. Os resultados indicam que não é su ciente controlar somente para o risco de cauda do mercado de capitais. A gestão ativa de portfólio por parte dos gestores de fundos requer uma medida própria para estimação e o controle de risco de cauda. O fator de risco de cauda que propomos cumpre este papel ao apresentar poder explicativo tanto na série temporal dos retornos quanto no corte transversal.

APA, Harvard, Vancouver, ISO, and other styles

31

Huang, Qiping. "ESSAYS ON HEDGE FUND TRADING AND PERFORMANCE." UKnowledge, 2018. https://uknowledge.uky.edu/finance_etds/8.

Full text

Abstract:

In the first essay, I create a hedge fund informed trading measure (ITM) that separates information related trades from liquidity driven trades. The results indicate that ITM predicts future stock returns at the trade level, thus is associated with information. By aggregating the most informed trades at the stock level, I find that stocks heavily purchased by informed hedge funds earn a significant alpha. The results indicate that the ITM performs better than some previously documented measures and is robust to two different versions of the measure. The second essay exploits the expiring nature of hedge fund lockups to create a new, within-fund proxy of funding liquidity risk. When funds have lower funding liquidity risk, risk-adjusted performance improves and exposure to tail risk increases. We use fund fixed-effect, a placebo approach, and a regression discontinuity design to establish a link between funding liquidity risk and the ability of funds to capitalize on risky mispricing. The third essay explores hedge fund managers ability to identify and trade on stock mispricing opportunity. We refer to the amount of capital that are is locked up and refrained from redemption as the stable capital, and study how it affects stock mispricing. We find that when funds have more lockup capital, they are more likely to take mispricing risks. Taking all funds together, more stable capital in the industry is driving the reduction or even correction of market-wide stock mispricing. Underpriced stocks benefit more than overpriced stock from hedge funds stable capital.

APA, Harvard, Vancouver, ISO, and other styles

32

MORELLI, STEFANO. "Gli Hedge Fund sintetici: un’analisi del mercato." Doctoral thesis, Università degli Studi di Roma "Tor Vergata", 2010. http://hdl.handle.net/2108/1319.

Full text

Abstract:

La tesi vuole analizzare le caratteristiche degli hedge funds sintetici, sottolineandone le similitudini e le differenze rispetto a soluzioni tradizionali quali fondi comuni e, soprattutto, hedge fund. Dopo un’analisi della letteratura volta a confrontare le diverse soluzioni di investimento, ci si soffermerà su un’analisi delle performance di mercato, arrivando ad analizzare le problematiche di gestione che caratterizzano gli hedge funds sintetici.
This work wants to analyze the features of hedge funds “clones” and in particular the differences and the similarities with traditional investment solutions, as mutual funds and hedge funds above all. After a literature’s review aimed at the comparison of the different investment solutions, this work will focus on the market performance of hedge funds clones and will analyze the typical problems of these instruments.

APA, Harvard, Vancouver, ISO, and other styles

33

Watson, Justin. "Hedge fund activism, innovation and firm value." Thesis, Queensland University of Technology, 2020. https://eprints.qut.edu.au/205534/1/Justin_Watson_Thesis.pdf.

Full text

Abstract:

Using an endogenous growth framework, this thesis models and tests whether hedge fund activists add value by correcting inefficient R&D investment at their targets. While activists are more likely to target firms over-investing in R&D, I find no evidence that suggests they correct inefficient R&D investment despite decreasing R&D expenditure at target firms. Further robustness highlights the negative impact of hedge fund activism on value creation after controlling for the activist’s stated objectives and reputation, quantile treatment effects, and superior stock selection ability. Overall, my research offers new insights into the governance role and value implications of hedge fund activism.

APA, Harvard, Vancouver, ISO, and other styles

34

Sgorlon, Eleonora <1986&gt. "La misurazione della performance degli hedge fund." Master's Degree Thesis, Università Ca' Foscari Venezia, 2012. http://hdl.handle.net/10579/2053.

Full text

Abstract:

Gli hedge fund costituiscono una categoria di fondi d'investimento per la quale non esiste una definizione universale, la traduzione della denominazione stessa "fondo di copertura" è fuorviante, in quanto non tutti gli hedge fund effettuano operazioni di copertura nel generare i rendimenti.Essi costituiscono una forma d'investimento molto peculiare, hanno la possibilità d'investire il proprio capitale in qualsiasi tipo di attività finanziaria e reale e possono essere considerati dei "veicoli di gestione del risparmio in monte".

APA, Harvard, Vancouver, ISO, and other styles

35

Eling, Martin. "Hedgefonds-Strategien und ihre Performance /." Lohmar [u.a.] : Eul, 2006. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=014709552&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.

Full text

APA, Harvard, Vancouver, ISO, and other styles

36

Huber, Michael. "Transparenz in der Hedge Fund-Industrie - Marktentwicklung, Rahmenbedingungen, Kosten/Nutzen-Analyse /." St. Gallen, 2008. http://aleph.unisg.ch/hsgscan/hm00240541.pdf.

Full text

APA, Harvard, Vancouver, ISO, and other styles

37

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.

Full text

APA, Harvard, Vancouver, ISO, and other styles

38

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

Full text

APA, Harvard, Vancouver, ISO, and other styles

39

Rutkis, Andre. "Hedge-Fonds als alternative Investments : Stilrichtungen, Risiken, Performance /." Frankfurt am Main : BankakademieVerlag, 2002. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=009998909&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.

Full text

APA, Harvard, Vancouver, ISO, and other styles

40

Schoehl, Georg Ludwig. "Performance Persistence von Hedge-Fonds." St. Gallen, 2007. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/03605615002/$FILE/03605615002.pdf.

Full text

APA, Harvard, Vancouver, ISO, and other styles

41

Siepman, Marvin. "Two essays on hedge fund risks and returns." Thesis, London School of Economics and Political Science (University of London), 2011. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.551331.

Full text

Abstract:

A frequently asked questions in the hedge fund literature is 'What are the systematic risk factors in hedge fund returns?". Existing efforts can be classified as 'bottom-up' or 'top-down', i.e. analysing specific styles of funds or taking a portfolio approach, respectively. In my first essay, I take a 'bottom-up' approach and analyse convertible arbitrage (CA) returns. The magnitudes of their reported returns suggest that there are severe inefficiencies in the pricing of convertible bonds. Alternatively, CA excess returns may be compensation for exposure to extraordinary events, i.e. market crashes, and may be related to systematic risk in a nonlinear way. To overcome database biases, statistical issues, the dynamic use of leverage, etc., I replicate three core CA strategies and show that these adequately represent real investor experiences. Panel regressions show that the replicated strategies have risk exposures that can be related to their construction. To overcome the limitations of a linear framework, I show that once crash risk is hedged with options while maintaining the same ex-ante exposure to crashes, excess returns are statistically indistinguishable from zero. CA therefore partly or fully represents compensation for systematic risk. In the second essay we take a 'top-down' approach and analyse whether accounting for nonlinear relationships between hedge funds and the market in the construction of a portfolio is beneficial for a myopic investor. We expand the classic mean-variance framework and dynamically optimise a portfolio based on time varying moments. Nonlinear relationships enter by allowing for different correlations conditional on market movement. We show that an investor is indeed better off in terms of risk and return if he accounts for correlation asymmetries. His portfolio returns are less negatively skewed, less kurtosed and have a lower turnover. The driving factor appears to be that less capital is allocated to non-directional, arbitrage-style hedge funds.

APA, Harvard, Vancouver, ISO, and other styles

42

Motson, Nick. "Essays on hedge fund risk, return and incentives." Thesis, City University London, 2009. http://openaccess.city.ac.uk/12086/.

Full text

Abstract:

There is no legal or regulatory of what constitutes a hedge fund, though the generally accepted definition is that they are unregulated pools that invest in any asset class as well as derivative securities and use long and short positions, as well as leverage where the manager is compensated with a proportion of the returns. Hedge funds are not new, Alfred Winslow Jones in generally credited with the formation of the first hedge fund in 1949, however the industry remained small and relatively unnoticed for many years. In 1990, there were just 610 hedge funds managing approximately $39bn of capital, however by the end of 2007 the industry had grown to over 10,000 funds managing almost $2trn of capital. The credit crisis of 2008 which has caused hedge funds to suffer both investment losses and investor redemption means that as of the end of 2008 the industry has contracted with over 1,000 funds closing and the capital being reduced to $1.5btrn.

APA, Harvard, Vancouver, ISO, and other styles

43

Fang, Ding. "Survival risk and liquidity risk involving hedge fund." Thesis, University of Strathclyde, 2018. http://digitool.lib.strath.ac.uk:80/R/?func=dbin-jump-full&object_id=29512.

Full text

Abstract:

The purpose of this thesis is to examine the predictability of hedge fund performance by using survival risk and liquidity risk analyses. Institutional investors are interested in long-run investments in the hedge fund industry and the high liquidation rate in the hedge fund industry brings significant risk to their investors. This research not only estimates the relationship between hedge fund characteristics and failure risk, but also examines the relationship between hedge fund survival risk, liquidity risk and their relative performance. This thesis is relevant to both researchers and practitioners in exploring a tangible analysis of hedge fund performance. The sample of this study derives from the TASS database from January 1984 to July 2014. The sampling time period covers the Asian crisis in 1997, the Russian crisis in 1998, the collapse of the sub-prime mortgage crisis in the US in 2007 and the subsequent credit crunch. The original database contains 14,031 hedge funds for this period, of which 6,505 are live funds and 7,526 are liquidated funds. The first empirical chapter estimates the predictability of hedge fund performance by use of a semi-parametric procedure. The results suggest that hedge fund monthly returns are predictable with proper identification of fund failure. The identification of fund failure can extract funds that are liquidated because of poor performance. The empirical evidence suggests that fund failure risk has strong explanatory power regarding hedge fund performance The second empirical chapter estimates the predictability of hedge fund performance by using investor-induced liquidity. It suggests that hedge fund liquidity risk derived from investors is an important factor of hedge fund performance analysis. The result also confirms that investor-induced liquidity in the more recent past has more explanatory power regarding its post-performance. Moreover, incubation bias could influence the predictability of hedge fund performance significantly. The result from fund performance shows that the fire sale problem was more significant in the recent financial crisis period but not significant in a normal period. The last empirical chapter investigates the predictability of hedge fund performance by using a combined prediction model. The result indicates that a model combining survival risk and liquidity risk exhibits more detail and performs better than using a prediction model with a single dimension. The result also indicates that incubation bias influences the predictability of hedge fund performance. Moreover, more recent data influences the predictability of hedge fund performance more significantly. On the other hand, long distance past data can provide a more significant result in estimation of covariates by using the Cox proportional hazard model. It is helpful to investigate the interactions between the risk of hedge fund characteristics and their performance practically.

APA, Harvard, Vancouver, ISO, and other styles

44

Thayalakumar, Sinnathurai. "Smart distributed processing technologies for hedge fund management." Thesis, University of Hertfordshire, 2017. http://hdl.handle.net/2299/19622.

Full text

Abstract:

Distributed processing cluster design using commodity hardware and software has proven to be a technological breakthrough in the field of parallel and distributed computing. The research presented herein is the original investigation on distributed processing using hybrid processing clusters to improve the calculation efficiency of the compute-intensive applications. This has opened a new frontier in affordable supercomputing that can be utilised by businesses and industries at various levels. Distributed processing that uses commodity computer clusters has become extremely popular over recent years, particularly among university research groups and research organisations. The research work discussed herein addresses a bespoke-oriented design and implementation of highly specific and different types of distributed processing clusters with applied load balancing techniques that are well suited for particular business requirements. The research was performed in four phases, which are cohesively interconnected, to find a suitable solution using a new type of distributed processing approaches. The first phase is an implementation of a bespoke-type distributed processing cluster using an existing network of workstations as a calculation cluster based on a loosely coupled distributed process system design that has improved calculation efficiency of certain legacy applications. This approach has demonstrated how to design an innovative, cost-effective, and efficient way to utilise a workstation cluster for distributed processing. The second phase is to improve the calculation efficiency of the distributed processing system; a new type of load balancing system is designed to incorporate multiple processing devices. The load balancing system incorporates hardware, software and application related parameters to assigned calculation tasks to each processing devices accordingly. Three types of load balancing methods are tested, static, dynamic and hybrid, which each of them has their own advantages, and all three of them have further improved the calculation efficiency of the distributed processing system. The third phase is to facilitate the company to improve the batch processing application calculation time, and two separate dedicated calculation clusters are built using small form factor (SFF) computers and PCs as separate peer-to-peer (P2P) network based calculation clusters. Multiple batch processing applications were tested on theses clusters, and the results have shown consistent calculation time improvement across all the applications tested. In addition, dedicated clusters are built using SFF computers with reduced power consumption, small cluster size, and comparatively low cost to suit particular business needs. The fourth phase incorporates all the processing devices available in the company as a hybrid calculation cluster utilises various type of servers, workstations, and SFF computers to form a high-throughput distributed processing system that consolidates multiple calculations clusters. These clusters can be utilised as multiple mutually exclusive multiple clusters or combined as a single cluster depending on the applications used. The test results show considerable calculation time improvements by using consolidated calculation cluster in conjunction with rule-based load balancing techniques. The main design concept of the system is based on the original design that uses first principle methods and utilises existing LAN and separate P2P network infrastructures, hardware, and software. Tests and investigations conducted show promising results where the company's legacy applications can be modified and implemented with different types of distributed processing clusters to achieve calculation and processing efficiency for various applications within the company. The test results have confirmed the expected calculation time improvements in controlled environments and show that it is feasible to design and develop a bespoke-type dedicated distributed processing cluster using existing hardware, software, and low-cost SFF computers. Furthermore, a combination of bespoke distributed processing system with appropriate load balancing algorithms has shown considerable calculation time improvements for various legacy and bespoke applications. Hence, the bespoke design is better suited to provide a solution for the calculation of time improvements for critical problems currently faced by the sponsoring company.

APA, Harvard, Vancouver, ISO, and other styles

45

Yadipur, M. (Mahdi). "Hedge fund performance due to skill or luck?" Master's thesis, University of Oulu, 2014. http://urn.fi/URN:NBN:fi:oulu-201404241298.

Full text

Abstract:

In this study we examine the proportion of false discovery rate exists amongst the individual funds in Hedge Fund Research (HFR) database. Applying the Fung and Hsieh (2004) seven-factor model in a time series regression along with a statistical false discovery rate methodology construct the main framework of this study. False discovery rate helps to measure the proportion of lucky funds among hedge funds that have statistically significant alphas and explains how many percentages of funds with significant alphas would be achieved due to luck compared to skill. Even after adjusting for the backfill bias, the proportion of false discovery rate states that the hedge funds outperform due to skill compared to luck and underperforms due to be unlucky compared to be unskilled. Results for strategies demonstrate that the proportion of false discovery rate in Event Driven, Relative Value, and Multi Strategy is very low in the right tail respectively and the manager has skill compared to luck. In contrast, strategies such as CTA, Relative Value, and Short Bias have the lowest proportion of false discovery rate in the left tail respectively which implies the manager is more unskilled compared to be unlucky in his performance. The proportion of false discovery rate for small funds is greater than large funds in the right tail of the distribution and it implies that for small funds the manager outperforms mostly by luck compared to skill. Contrarily, the proportion of false discovery rate for large funds is greater than small funds in the left tail of the distribution and it implies that for large funds the manager is more unlucky compared to be unskilled to outperform in the market.

APA, Harvard, Vancouver, ISO, and other styles

46

Bladh, Josefin, and Holm Greta. "Considering Tail Events in Hedge Fund Portfolio Optimization." Thesis, Linköpings universitet, Produktionsekonomi, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-177375.

Full text

Abstract:

The Fourth Swedish National Pension Fund (AP4), as well as many other large investors, has noted deficiencies the Mean-Variance framework for portfolio management of asset with non-normal characteristics. The main problem apparent in the Mean-Variance framework, when investing in alternative assets such as hedge funds, is the lacking systematic control of the balance between the measurements of risk due normal variation and tail-risk. Hedge funds constitute an asset class distinguished by non-normal characteristics such as negative skewness and heavy excess kurtosis, which suggests normality should not be assumed when optimizing a portfolio of hedge funds. Certain hedge fund strategies aim to be uncorrelated to other hedge funds and the major asset markets and are thus expected to have the capacity to hedge against extreme market events. Hedge fund performance during historically volatile market periods, including heavy losses and liquidations, has however proved this untrue. Outcomes in the tail of hedge fund distributions rather appear to occur in conjunction with increased correlation toward external indicators such as the equity stock market. With the aim to consider tail events in a portfolio of hedge funds and index futures, an optimization model intending to capture the asymmetric covariance between hedge fund assets and the equity market is developed and evaluated. The theory of copulas is applied to estimate the multivariate distribution by separating assumptions regarding univariate characteristics and dependence between assets. The estimated multivariate distribution is thereafter utilized in a scenario-based optimization model applying the Conditional Value at Risk (CVaR) measure as a risk measure, to capture events in the left tail of the portfolio distribution. The proposed GARCH-C-Vine-Mean-CVaR model is presented and evaluated against two reference models, a GARCH-C-Vine-Mean-Variance model, and a model assuming a multivariate normal distribution, EWMA-Mean-Variance. The ability to capture realized outcomes is analyzed for all three models, where the proposed GARCH-C-Vine-Mean-CVaR as well as the GARCH-C-Vine-Mean-Variance model show to capture realized outcomes to a further extent than the model assuming a multivariate normal distribution. Further, applying the risk measure CVaR has in this study shown to capture the realized outcomes to the same extent as applying variance as the risk measure. In conclusion, the proposed model manages to capture tail-events in the data analyzed in this study, to a further extent than if assuming multivariate normality. The lack of regulations and bias that denote hedge fund reporting, does however prevent a conclusion on whether the proposed model captures actual realized tail-events of hedge fund returns.

APA, Harvard, Vancouver, ISO, and other styles

47

Burigo, Marco <1988&gt. "Hedge Fund: Impact of Alpha for different parameter." Master's Degree Thesis, Università Ca' Foscari Venezia, 2013. http://hdl.handle.net/10579/2530.

Full text

APA, Harvard, Vancouver, ISO, and other styles

48

Bortoletto, Emanuele <1994&gt. "ESG a new boundary for hedge fund investing." Master's Degree Thesis, Università Ca' Foscari Venezia, 2020. http://hdl.handle.net/10579/17174.

Full text

Abstract:

In questo lavoro viene analizzata una tematica che ormai dal 2010 ha un ruolo fondamentale e sempre più importante nel mercato: gli investimenti ESG (Environmental, Society and Governance). Oggi non è più abbastanza soffermarsi sull’ analizzare la mera performance finanziaria di un investimento, ma è altresì necessario valutare il suo impatto sociale e le esternalità che genera. È opinione diffusa che l’integrazione dei criteri ESG può migliorare il profilo rischio/rendimento dei portafogli. L’ attenzione viene focalizzata sugli investitori istituzionali più rilevanti, in particolare sugli Hedge Funds, che si servono delle loro abilità finanziarie avanzate per trarre i vantaggi più ampi da questi strumenti. La prassi conferma che i caratteri ESG sono sfruttabili dalle imprese per rendere qualitativamente meglio nel lungo periodo, riuscendo a sviluppare una maggiore resilienza alle crisi grazie a rendimenti nella media superiori ai concorrenti. Le strategie di investimento sostenibili presentano un rischio di tracking error più alto, se gestite con riferimento ai benchmark tradizionali, ovvero non conformi ai criteri ESG. Nella parte finale vengono analizzati due fondi d’ investimento che operano su aree geografiche diverse, per poi farne un confronto sulla base dei dati analizzati con i principali indicatori di performance economica.

APA, Harvard, Vancouver, ISO, and other styles

49

Berg, Bernd. "Die Welt der Hedgefonds : Chancen und Risiken der umstrittenen Anlageklasse /." Saarbrücken : VDM, Müller, 2006. http://deposit.d-nb.de/cgi-bin/dokserv?id=2883139&prov=M&dok_var=1&dok_ext=htm.

Full text

APA, Harvard, Vancouver, ISO, and other styles

50

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.

Full text

APA, Harvard, Vancouver, ISO, and other styles

Dissertations / Theses on the topic 'Hedge Fund'

Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles