- 1、本文档共41页,可阅读全部内容。
- 2、原创力文档(book118)网站文档一经付费(服务费),不意味着购买了该文档的版权,仅供个人/单位学习、研究之用,不得用于商业用途,未经授权,严禁复制、发行、汇编、翻译或者网络传播等,侵权必究。
- 3、本站所有内容均由合作方或网友上传,本站不对文档的完整性、权威性及其观点立场正确性做任何保证或承诺!文档内容仅供研究参考,付费前请自行鉴别。如您付费,意味着您自己接受本站规则且自行承担风险,本站不退款、不进行额外附加服务;查看《如何避免下载的几个坑》。如果您已付费下载过本站文档,您可以点击 这里二次下载。
- 4、如文档侵犯商业秘密、侵犯著作权、侵犯人身权等,请点击“版权申诉”(推荐),也可以打举报电话:400-050-0827(电话支持时间:9:00-18:30)。
查看更多
AnAnalysisofHedgeFundStrategies-Opalesque
An Analysis
of Hedge Fund Strategies
Daniel P.J. CAPOCCI
HEC-ULG Management School – University of Liège
(Belgium)
PhD Thesis in Management
1
An Analysis of Hedge Fund Strategies – Table of Contents
Acknowledgements 1
An Analysis of Hedge Fund Strategies - Abstract 3
Preface 3
Introduction and Purpose 4
An Analysis of Hedge Fund Performance 43
Hedge Fund Performance and Persistence in Bull and Bear Markets 118
The Sustainability of Hedge Fund Performance: New Insights 188
The Neutrality of Market Neutral Funds 271
Diversifying using Hedge Funds: A Utility-Based Approach 336
General Conclusion 401
A
2
An Analysis of Hedge Fund Strategies - Abstract
This PhD thesis analyses hedge fund strategies in detail by decomposing hedge
fund performance figures. Our aim is to present hedge funds, to understand what
managers expect to do and to understand how they make or destroy value over time. In
order to achieve this objective, we develop a multi-factor performance analysis model,
use it over several time periods and improve it over time. This model aims to determine
both whether hedge funds create pure alpha over time (alpha over classical markets) and
whether there is persistence in hedge fund returns over time. Following this, I analyse
another specific aspect of hedge funds, their neutrality relative to equity markets in order
to validate hedge fund managers’ claims that they are market neutral. Finally, we
develop new efficient frontier measures, which not only include returns and volatility, but
also skewness and kurtosis in order to determine whether hedge funds are really
beneficial to investors.
您可能关注的文档
- 5-9AcousticImpedance.pdf
- 450-CLOSEDSESSION-TransbayCenter.doc
- 45°LockMiterBitsInstructions45°LockMiterBits.pdf
- 533DAnimationPhysics-UBCComputerScience.ppt
- 533DAnimationPhysics.ppt
- 52ndHatfieldMemorialLectureLargechunksofverystrongsteel.pdf
- 5thGradeSupplyList-Schoolwires.doc
- 5thGradeSupplyList.doc
- 3MReliablePartner.ppt
- 6.857ComputerandNetworkSecurityNovember5,2002Lecture.pdf
文档评论(0)