Thesis (doctoral)--Universität, Freiburg, 2007. / Includes bibliographical references and index.

Thesis (Ph. D.)--State University of New York at Binghamton, Department of Economics, 2009. / Includes bibliographical references.

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No. of bitstreams: 1 flaviavitaljanuzzi.pdf: 3423606 bytes, checksum: 57861685b0ccc18a4cb7382012422482 (MD5) Previous issue date: 2017-12-19 / PROQUALI (UFJF) / Um fundo de investimento (FI) é considerado opaco se as informações sobre a volatilidade dos seus retornos são incompreensíveis e inacessíveis para a grande parte dos atuais e potenciais cotistas, conforme Sato (2014). Tal fenômeno se agrava quando o gestor utiliza ativos complexos para estruturar a carteira do fundo. São considerados complexos, segundo Brunnermeier, Oehmke e Jel (2009), aqueles que apresentam estruturas de fluxo de caixa que não podem ser facilmente compreendidas e projetadas pelo investidor, tais como os derivativos, por exemplo. Com base nessa perspectiva, este estudo avaliou se um aumento na opacidade dos fundos multimercados, ocasionado pelo maior posicionamento do seu patrimônio líquido em derivativos, esteve associado a uma variação no nível de risco, no retorno ajustado ao risco e no fluxo de recursos dos fundos multimercado brasileiros, sob três perspectivas, considerando: a) a amostra total (capítulo 4); b) apenas o segmento de FI’s que cobra taxa de performance, o que viabilizou a análise de uma possível ocorrência de conflitos de agência entre gestores e cotistas (capítulo 5), e c) o grupo de fundos alavancados e não alavancados (capítulo 6). No capítulo 4, foi constatada uma associação positiva entre a posição em derivativos e variações no risco e uma relação negativa entre derivativos e desempenho (em termos mensais e anuais). No geral, evidenciou-se que derivativos estiveram relacionados à captação de forma negativa apenas no que se refere ao segmento de investidores qualificados. No entanto, verificou-se que fundos categorizados como do tipo “Estratégia” pela ANBIMA1 (todos admitem alavancagem) atraíram mais recursos financeiros quando direcionados a investidores não qualificados. No que se refere ao capítulo 5, não foi identificado, de forma geral, problemas de agência entre gestores e investidores, no entanto, conflitos de interesses foram observados dentro do segmento de fundos alavancados destinados a cotistas não qualificados. Por fim, no capítulo 6, obtiveram-se resultados condizentes com a teoria de torneio proposta por Brown, Harlow e Starks (1996). Ao incorporar o uso de derivativos, verificou-se que FI’s alavancados perdedores (ou seja aqueles que se situaram nos menores percentis de rentabilidade em pelo menos um semestre), ampliam seu investimento nesses ativos opacos, o que elevou tanto o risco total quanto a exposição do FI a oscilações econômicas (risco sistemático) e a retornos negativos (risco downside). Cabe ressaltar, contudo, que uma contrapartida de maior retorno ajustado não foi necessariamente oferecida pelo gestor ao cotista desse fundo perdedor. / A fund is considered opaque if the information related to its volatility and return is not comprehended and/or available for a considerable number of current and potential unitholders(Sato, 2014). This phenomenon becomes worse when managers use complex assets to structure their fund’s portfolio. Complex assets are defined by Brunnermeier, Oehmke and Jel (2009), as those whose payoffs cannot be understood or even forecasted by investors, such as, derivatives. Considering these ideas, this study analyzed if the increase in hedge fund opacity, caused by the greater position of its net worth in derivatives, was associated with the variation of the risk level, the adjusted return and the flow of resources in Brazilian hedge funds. Three perspectives were investigated: a) the total sample (chapter 4); b) only the segment of hedge funds that charge performance fees which allowed the analysis of potential agency problems between unitholders and managers (chapter 5); c) the group of leveraged and unleveraged funds (chapter 6). In summary, in chapter 4 it was found a positive association between derivatives and the risk variation, and a negative relation between derivatives and performance (in the long and short terms). In general, there is evidence that derivatives were related to inflows in a negative way only in the segment of qualified investors. Nonetheless, it was observed that funds classified as “Strategy” by ANBIMA (i.e. those in which leverage operations are allowed) attracted more financial resources when they were directed to non-qualified investors. With regard to chapter 5, agency problems between mangers and investors were not identified; however, conflicts of interest were identified in the leveraged funds directed to non-qualified unitholders. Finally, specifically for chapter 6, the results were consistent with the tournament theory proposed by Brown, Harlow and Starks (1996). By incorporating the derivative usage in the analysis I verified that loser funds able to leverage, characterized by those that were in the lower percentile of return in some semesters, amplified their investments in opaque assets. It resulted in an increase of the total risk, the economic exposure (systematic risk) and the occurrence of negative returns (downside risk). Yet it is important to highlightthat unitholders of loser funds do not receive higher adjusted return as compensation for the higher risk faced.

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.

An alternative form of investing that has grown steadily during turbulent economic conditions is the decision to invest in Hedge funds. Hedge funds differ from mutual funds by achieving absolute returns, meaning that the funds use complex investment strategies in order to achieve positive returns regardless of the performance of the stock market. The hedge fund market has grown significantly since the mid-1990s in the Nordic countries. Sweden has dominated the hedge fund scene in terms of pure numbers and is also in a dominant position in terms of hedge fund assets under management. Despite this growth, Swedish investors generally have a lack of knowledge about hedge funds as an alternative form of investment, which makes it difficult to assess its advantages and drawbacks. The purpose of the report is to study what hedge fund strategies on the Swedish market are able to generate absolute return over a given period. The purpose is also to compare the performance of the hedge fund strategies with the performance of the Swedish stock market over the given period. The strategies have been compared with the Swedish Stock Market Index SIXRX which reflects the performance of the Stockholm Stock Exchange, adjusted for dividends. The results show that all the hedge fund strategies had a lower volatility and generated a higher return relative to risk compared to the Stockholm Stock Exchange, over the given period. However, only three out of five hedge fund strategies managed to generate absolute return over the total period. / Ett investeringsalternativ som har vuxit sig starkare under turbulenta ekonomiska förhållanden är möjligheten att investera i hedgefonder. Hedgefonder skiljer sig från traditionellt förvaltade fonder genom möjligheten att utvinna s.k. absolut avkastning. Detta innebär att fonden använder komplexa investeringsstrategier i syfte att generera en positiv avkastning oberoende av aktiemarknadens utveckling. Hedgefonder har sedan mitten av 1990- talet vuxit sig allt starkare bland nordiska länder och Sverige är idag det land i Norden som dominerar avseende både antalet hedgefonder och förvaltat hedgefondkapital. Trots denna tillväxt har svenska investerare generellt sett låg kännedom om hedgefonder som placeringsalternativ, vilket gör det svårt att bedöma dess för- och nackdelar. Rapportens syfte är att undersöka vilka hedgefondstrategier på den svenska marknaden som klarar att generera absolut avkastning över en bestämd tidsperiod. Syftet är även att under samma period jämföra hedgefondstrategiernas utveckling med den svenska aktiemarknadens utveckling som helhet. Jämförelsen har gjorts med det svenska aktieindexet SIXRX som speglar Stockholmsbörsens utveckling, justerat för aktieutdelningar. Slutresultatet visar att samtliga hedgefondstrategier hade en lägre volatilitet samt genererade en högre avkastning i förhållande till risk jämfört med Stockholmsbörsen som helhet, under vald tidsperiod. Endast tre av fem strategier klarade dock att generera en absolut avkastning under tidsperiodens samtliga år.

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Hedge funds feature special compensation structure compared to traditional investments. Previous studies mainly focus on the provisions and incentive structure of hedge fund contract, such as 2/20, hurdle rates, and high-water mark. The first essay develops an algorithm to empirically estimate the monthly fees, fund flows and gross asset values of individual hedge funds. We find that management fee is a major component in the dollar amount of hedge fund total fees, and fund flow is more important in determining the change in fund size compared to net returns, especially when fund is shrinking in size. We also find that best paid hedge funds concentrate in the largest hedge fund quintile. Large funds tend to perform better, earn more, and rely less on management fee for their managers' compensation. Further, we find that fund flow is an important determinant of hedge fund managerial incentives. Together with the "visible" hands of hedge fund management, i.e. the provisions of hedge fund incentive contracts, the "invisible" hands -- fund flows enable investors to effectively impact hedge fund managerial compensation and incentives. The second essay studies the relation between return smoothing and managerial incentives of hedge funds. We use gross returns to estimate both unconditional and conditional return smoothing models. While unconditional return smoothing is a proxy of illiquidity, conditional return smoothing is related to intentional return smoothing and may be used as a first screen for hedge fund fraud. We find that return smoothing is significantly underestimated using net returns, especially for the graveyard funds. We also find that managerial incentives are positively associated with both types of return smoothing. While managers of more illiquid funds tend to earn more incentive fees, funds featuring conditional return smoothing under-perform other funds and do not earn more incentive fees on average. Finally, we find that failed hedge funds feature more illiquidity and conditional return smoothing. The third essay explores the difference between the gross-of-fee and net-of-fee hedge fund performance, by investigating the difference in distribution, factor exposures and alphas between gross returns and net returns. We find that gross returns are distributed significantly differently from net returns. The gross-of-fee alphas are higher than the net-of-fee alphas by about 4% per year on average. We also find positive relation between hedge fund performance and fund size, fund flows, and managerial incentives, which holds for both gross-of-fee performance and net-of-fee performance. Our findings suggest that it is necessary to examine the gross-of-fee performance of hedge funds separately from the net-of-fee performance, which may give us a clearer picture of the risk structure and performance of hedge fund portfolios.

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No / Based on a reduced-form model of credit risk, we explore statistical arbitrage opportunities in the CDS spreads of North American companies. Specifically, we develop a trading strategy using the model to trade market-neutral portfolios while controlling for realistic transaction costs. Empirical results show that our arbitrage strategy is of significant economic value, and also cast doubt on the efficiency of the CDS market. The aggregate returns of the trading strategy are positively related to the square of market-wide credit and liquidity risks, indicating that the market is less efficient when it is more volatile.