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.

Today fund matching is a natural part of Swedes finance and is a popular form of savings that includes a large number of investors in the Swedish fund market. This in turn generates an increased interest in how portfolio managers should locate and acquire knowledge in portfolio selection. This gives a greater interest in how different investment strategies can be affected and generate an investors wealth to an increased level within the stock market, which gives an increased focus to be able to generate as high risk-adjusted return as possible. The study partly presents traditional theory and background on modern portfolio theory and the efficient market hypothesis. Empirical studies also present within the financial market that demonstrate the differences of opinion between how actively versus passively managed funds have performed and which investment strategy is most beneficial for investment.  The purpose of the study is to compare realized return on active versus passive funds during long term, short term and specific time periods that had a lot of economic fluctuations, like bear markets. Within the study 10 actively managed funds and two index measures are selected to be studied and compared based on their respective performance, both within its rise and fall in the Swedish fund market. The performance measures will then be applied to be able to produce the results of the study and to be able to answer whether the active fund’s have any statistically significant over- and underperformance. After conducting single index models and t-test on the 10 active funds, the result of the study shows that despite using two benchmarks index, ten different active funds, long time period, short time period or specific time periods defined by market imbalance , we still resulted in many P-values that was not statistically significant. Active funds failed to overperform against passive funds, but passive funds also failed to outperform our selection of active funds.