Le lien entre le choix d’allocation des fonds mutuels et l’information privée que possède leurs gérants sur des facteurs globaux de risque n’a pas été largement analysé. La littérature manque également d'études concernant l'impact de l’information privée globale sur la performance des fonds mutuels investis en actions. Notre travail vise à apporter de nouveaux éclairages sur ce sujet en montrant que l’information privée sur des facteurs globaux de risque est cruciale pour le choix d’investissements et pour la performance des fonds mutuels lorsqu’ils investissent à l’étranger.Dans le premier papier, nous étudions comment l’information privée sur les facteurs globaux, détenue par les gérants des fonds, impacte leurs performances. Après avoir utilisé plusieurs modèles de performances et plusieurs caractéristiques managériales, nous constatons un impact positif et significatif de l'information globale privée sur la performance des fonds mutuels globaux américains. Nous montrons que l’information globale qui permet de générer de la performance est celle qui concerne les secteurs industriels. Ceci est cohérent avec les résultats d'Albuquerque et al. (2009) et de Hiraki et al. (2015). Nous montrons également que l'utilisation du degré de concentration sectorielle (DSC) est un indicateur bruité de l’avantage informationnel possédé par les gérants. Le degré de concentration sectorielle affecte positivement la performance des fonds durant les périodes de stabilité financière. Cependant, cet impact positif n'est significatif que pour les fonds ayant un fort avantage informationnel sur les facteurs globaux.Dans le deuxième article de cette thèse, nous cherchons à éclaircir les choix d'allocation des fonds globaux et l’évaluation de leurs performances au cours de la récente crise des subprimes. Spécifiquement, nous examinons si c’est l’avantage informationnel de leurs gérants sur des facteurs globaux de risque ou leur familiarité avec certains marchés financiers étrangers qui a guidé leur choix d’investissement et leur a permis d’accroître leur performance durant cette crise. Nous contrôlons nos résultats pour le rôle du degré de transparence des marchés financiers ainsi que le degré de protection des investisseurs. Nous constatons que l’avantage informationnel sur les facteurs globaux (industriels) de risque contribue positivement à la création de la performance des fonds sur toute la période d’étude. La «fuite vers la familiarité» au cours de la période de la récente crise financière est nuisible pour la performance des fonds et peut être considérée comme étant un biais. Les gestionnaires de fonds qui recherchent à investir dans des titres familiers pendant la période de crise financière ne créent pas de valeur pour leurs clients.Dans notre troisième papier, nous examinons les déterminants de la stratégie de rotation des portefeuilles dans différentes industries et l’impact de cette stratégie sur la performance des fonds globaux américains. Nous constatons que les fonds mutuels qui s'engagent dans des stratégies de rotation sectorielle améliorent leur performance. Ce résultat est conforme aux résultats de la littérature qui suggèrent que les fonds gérés activement sont plus performants. De plus, nous constatons que la stratégie de rotation industrielle des fonds est influencée positivement et significativement par l’avantage informationnel des gérants sur les facteurs globaux de risque. Cette étude est en accord avec plusieurs articles de la littérature qui soulignent l'importance croissante de l’information sectorielle pour la gestion d’actifs (Hiraki et al., 2015; Schumacher, 2017). Ce papier confirme également différents arguments selon lesquels la rotation sectorielle pourrait être considérée comme une stratégie optimale pour le choix de portefeuille dans le contexte d’internationalisation des marchés financiers (Weiss, 1998, Cavaglia et al., 2004). / This dissertation responds to a lack within the literature about the impact of private global information on mutual funds portfolio holdings and performance. We conduct three essays that aim to explain different controversial topics about the global funds’ performance and investments choices.In the first paper we examine how the private information on global factors is affecting US global funds’ trading profits. After controlling for different performance benchmark models and for several managerial fund characteristics, we find a positive and significant impact of the private global information on mutual funds’ performance. The fund’s informational advantage on global factors is industry-specific rather than country-specific, consistent with the results of Albuquerque et al. (2009) and Hiraki et al. (2015). We also argue that the use of the degree of sector concentration (DSC) as a proxy for the manager’s informational advantage (as employed in some recent papers) is noisy. The performance of funds is mainly driven by the proxy of private information on industrial factors and not by its degree of sector concentration. DSC affects positively the trading profits of funds in periods of good financial stability. However, this positive impact is only significant for funds with a high informational advantage on global factors.In the second paper, we investigate whether this is the private global information or the familiarity with foreign markets which has driven the performance of global funds during the recent subprime crisis. In fact, it has been shown within the literature that fund managers tend to hold familiar stocks during periods of heightened markets. We find that the private information on global factors of risk is the main driver of funds’ performance for the 2005-2016 period including the subprime crisis period. This result holds when considering different familiarity, market transparency and investor’s protection proxies and when employing different performance benchmark models. On the opposite, the familiarity proxies reverse their effect during the financial crisis period. We show that the “flight to familiarity” within this period is detrimental for funds’ performance and rather can be assessed as a bias. Managers that seek familiarity during periods of financial crisis to be “on the safe side” do not create value for their investors. Our results also suggest that during periods of heightened market uncertainties, fund managers can benefit from processing information on industrial factors, consistent with the findings of Albuquerque et al. (2009) and Hiraki et al. (2015).In our third and last paper, we investigate the determinants of fund’s portfolio rebalancing decisions of foreign holdings that belong to different industries and their relative implication on US global funds’ performance. We find that mutual funds that engage in industrial sector rotation strategies enhance their performance. This result is consistent with the literature view that actively managed funds perform better. Moreover, we find that the fund’s industrial rebalancing activity is positively and significantly affected by its informational advantage on global factors. This study is in line with several papers that highlighted the increasing importance of global industry factors for asset allocation (Hiraki et al., 2015; Schumacher, 2017) and consistent with different arguments stating that industry sector rotation can be optimal for future global investing especially with the increasing integration of capital markets (Weiss, 1998; Cavaglia et al., 2004).

O ato de investir recursos vem se tornando uma tarefa que exige cada vez mais atenção por parte dos investidores. As alternativas de investimento vêm aumentando, oferecendo aos investidores muitas opções em termos de risco, retorno e liquidez. Uma dessas alternativas é o fundo de investimento, uma indústria cujo patrimônio tem crescido muito ao longo do tempo. Atualmente, há mais de R$ 200 bilhões aplicados nas diversas modalidades de fundos oferecidos pelas instituições administradoras de recursos. Escolher qual fundo investir não é tarefa simples, nem mesmo para grandes investidores. As alternativas são inúmeras e as informações nem sempre estão facilmente disponíveis. Oferecer um método que possibilite avaliar e classificar fundos de investimento é o objetivo maior deste trabalho. Busca-se, aqui, um método que contemple, além de variáveis quantitativas, variáveis qualitativas, bem como aspectos relacionados à instituição administradora do fundo. Para alcançar tal objetivo, desenvolveu-se a pesquisa em duas etapas. Na primeira, foram levantadas e agrupadas, através de pesquisa bibliográfica, as variáveis que poderiam vir a fazer parte do método. A segunda etapa foi dedicada à obtenção da ponderação que cada variável e grupo de variável deveria ter no método. Para tanto, foi realizada uma pesquisa de campo junto a determinados grupos de investidores e consultores. O resultado permite que um avaliador dê notas às variáveis e, seguindo o método, obtenha uma nota final para o fundo de investimento analisado. Por fim, sugere-se um modo de classificação de fundos de investimento que procura ser de fácil entendimento, mesmo para aqueles investidores que não são especialistas em mercado financeiro. / Investing money has becoming a task that demands always more attention by investors. Investment alternatives has been growing, offering investors many options in terms of risk, return and liquidity. One of these alternatives is mutual fund, an industry whose assets have been growing a lot during the last years. Nowadays, there are more than R$ 200 billions invested in mutual funds, offered by asset managers. Choosing a fund to invest is not a simple task, even for main investors. There are many alternatives and information is not easily available. Offering a method that permits evaluate and rate mutual funds is the main purpose of this research. This method includes quantitative and qualitative variables, as well as aspects related to its asset manager. To attain this objective, this research was developed in two steps. Firstly, it was selected variables that could be part of the method, by bibliographic search. Secondly, it was obtained weights for both the variables and their group. This goal was achieved through a questionnaire sent to specific investors and consultants. The final result permits an analyst to give a grade to each variable and, using the method, to obtain a final classification for the analyzed fund. This dissertation suggests also a method for ranking mutual funds which intents to be easily comprehended, even to those investors that are not specialized in investment market.

Die vorliegende Dissertation ist in drei Themenblöcke unterteilt. Im Mittelpunkt des ersten Themenblocks steht die vergleichende Analyse der Fondsregulierung in den USA und Deutschland/der EU in Bezug auf Derivate und Verschuldung vor, während und nach der Finanzkrise 2007-2009. Ziel ist es, anhand der Darstellung der geltenden Regulierung und ihrer Anwendbarkeit auf die hypothetische Nutzung von Credit Default Swaps (CDS) durch Anleihefonds, aufzuzeigen, wie viel Flexibilität Fonds in beiden Ländern haben. Insgesamt ist der aus der Fondsregulierung erwachsende Spielraum im Hinblick auf den Einsatz von Derivaten und Verschuldung für Fonds in beiden Ländern hoch, so dass Fonds unbeobachtet ihre Zusammensetzung in Richtung risikoreicherer Kapitalanlagen lenken könnten. Der zweite Themenblock beschäftigt sich empirisch mit der Frage, in wie weit Fonds ihre Flexibilität tatsächlich ausnutzen. Als Erstes wird dabei untersucht, wie hoch das Verlustpotential der größten Fonds in den USA und Deutschland aus CDS ist. Ferner wird analysiert, ob Fondskommentare in Jahres- und Halbjahresberichten bezogen auf deren Nutzung von CDS mit den tatsächlichen CDS-Beständen konsistent sind. Basierend auf den Resultaten ist es zu empfehlen, nicht nur bestehende Regeln im Hinblick auf die spekulative Anwendung von Derivaten angemessen zu verschärfen, sondern auch die Publizitätspflichten in beiden Ländern weiter zu standardisieren. Unter Heranziehung umfangreicher Fondscharakteristika, insbesondere Managercharakteristika, untersucht der dritte Themenblock, was die Entscheidung der US Anleihefonds CDS zu benutzen, deren Nutzung zu erweitern sowie die Nutzungsweise beeinflusst. Ferner werden die exakten Typen von CDS, die von Anleihefonds gehalten werden, wie z. B. long oder short CDS, die sich auf Einzelnamen oder Gruppen von Titeln beziehen, aufgezeigt. / The thesis consists of three parts. The first part analyzes the regulation at the time surrounding the 2007-2009 financial crisis and after with respect to leverage and derivative holdings for mutual funds in the U.S. and Germany/the EU. After presenting a detailed overview of U.S. and German/European regulations, this study thoroughly compares the levels of flexibility funds have in both countries. All analyses reveal that under existing derivative and leverage regulation, funds in both countries are able to increase risk by using derivatives up to the point at which it is possible for them to default solely due to investments in derivatives. This makes the issue of regulation highly relevant for the public and regulators. The second part builds upon the first and empirically investigates the level of credit derivatives use by funds together with their communication toward investors. Firstly, the loss potential arising from investments into CDS for a sample of large U.S. and German mutual funds is analyzed. Secondly, it is investigated whether comments on CDS use contained in periodic fund reports are consistent with the disclosed CDS holdings. Based on the results, it seems advisable that regulators in both countries tighten rules restricting the speculative use of derivatives by funds to a reasonable level, as well as implement more standardized disclosure policies. The third part analyzes what determines whether U.S. corporate bond funds decide to use CDS in a particular period between mid-2004 to 2010, to which extent they use them and how, by relying on various fund characteristics including an extended set of manager variables. In addition, the types of various credit derivatives that funds use (e.g. long and short CDS on single-name or multi-name underlying positions) are presented. The results suggest that the characteristics of fund managers affect a fund’s risk taking via derivatives, in addition to fund fundamentals.

Made available in DSpace on 2015-12-03T18:33:10Z (GMT). No. of bitstreams: 1 Daniel_Scolese.pdf: 741904 bytes, checksum: 72e559eedf1f1c365555a4d3ec62ee60 (MD5) Previous issue date: 2014-06-25 / The investments through Real Estate Funds provided access to the little investors to put money in the Real Estate segment. The hike of investors in this type of investment is increasingly perceived, what encourages the market to increase the supply of new products to attend this demand. In this sense, it presents results regarding the risks and factors that may influence the profitability of these investments, taking into account the limited information available to retail investors. This paper explores the return of Real Estate Funds, seeking to measure the sensitivity of its return comparing to indexes of financial market indexes of fixed income, equities and Real Estate. The methodology adopted in this study was the regression, arranged through panel data, being the returns of the funds the variable to be explained. As explanatory variables it was tested indexes of the financial market on fixed income, equities and Real Estate. The study concluded that the investment in Real Estate Funds had its return linked to the housing/Real Estate, the fixed income and equities markets / Os Fundos Imobili??rios possibilitam o acesso de pequenos poupadores ao investimento no segmento imobili??rio. Cada vez mais se percebe o aumento de investidores nesse tipo de aplica????o, o que incentiva o mercado a aumentar a oferta de novos produtos para atender essa demanda. Nesse sentido, s??o apresentados os resultados em rela????o aos riscos e fatores que podem influenciar a rentabilidade desses investimentos, levando em considera????o a pouca informa????o dispon??vel aos pequenos investidores. Este trabalho explora o retorno dos fundos de investimentos imobili??rios, buscando medir a sensibilidade de seu retorno frente a ??ndices do mercado financeiro do segmento de renda fixa, de renda vari??vel e do segmento imobili??rio. A metodologia adotada neste estudo foi a da regress??o m??ltipla, sendo o retorno dos fundos selecionados a vari??vel a ser explicada. Como vari??veis explicativas foram testados os ??ndices do mercado financeiro dos segmentos de renda fixa, renda vari??vel e do segmento imobili??rio. O estudo concluiu que o investimento em Fundo Imobili??rio n??o tem seu retorno associado somente ao mercado imobili??rio, mas, traz consigo, componentes da varia????o do segmento de renda fixa e da renda vari??vel

Le marché français, caractérisé en particulier par une forte segmentation, d’une faible sophistication des investisseurs et une domination des banques, serait peu compétitif. Sur le plan théorique, nous cherchons à illustrer, à l’aide des deux modèles simples, les effets d’une absence relative de compétition entre les fonds. Le premier met en évidence le rôle de la compétition dans la création des incitations implicites. Le second tente d’illustrer le fait que cette absence de compétition (liée à la domination des banques sur le marché français) conduirait à une performance plus faible pour les fonds. Sur le plan empirique, nous vérifions, d’une part, l’existence de ce manque de compétition du marché français. D’autre part, nous mettons en évidence l’existence d’un conflit d’intérêt direct entre les investisseurs et les fonds, résultant direct du manque de compétition du marché. Au niveau de la rentabilité des fonds, le manque de compétition du marché reflète dans le fait que les investisseurs ne réagissent pas fortement à la rentabilité relative des fonds. Au niveau des frais, l’insensibilité des investisseurs individuels aux frais des fonds pourrait traduire une moindre concurrence du marché. Nous observons également une discrimination par les frais entre les investisseurs institutionnels et les investisseurs individuels. Ces derniers paient plus chers pour une rentabilité plus faible. Toutefois, le marché commence à montrer des signes de compétition, reflétant dans le fait que les investisseurs individuels commencent à faire attention au rapport qualité-prix des fonds. Par ailleurs, un plus grand degré de sophistication des investisseurs institutionnels pourrait expliquer le fait que nous ne constatons aucun lien entre les frais et la rentabilité des fonds dans ce segment. En effet, ces investisseurs, susceptibles d’être plus sophistiqués, pourraient estimer la qualité de la gestion par des mesures plus complexes de la performance. Enfin, nous fournissons une preuve de l’existence d’un conflit d’intérêt entre les investisseurs et les fonds : les déséconomies d’échelle de performance. / The French market, characterized especially by a strong segmentation, low sophistication of investors and a domination of banks, would not be competitive. On the theoretical side, we try to illustrate, using two simple models, the effects of a lack of competition. The first one highlights the role of competition in the creation of implicit incentives. The second one shows that the lack of competition leads to weak funds’ performance. Empirically, we verify firstly the existence of this lack of competition in the French market. Secondly, we show the existence of a conflict of interest between investors and funds. The lack of competition reflects by the fact that investors do not react strongly to funds’ performance and individual investors are not sensitive to fund fees. We also observe a price discrimination between institutional and individual investors. The latter pays more for lower return. However, the market begins to show some signs of competition. In fact, individual investors start to pay attention to the “price-quality” rapport. In addition, a greater degree of sophistication of institutional investors may explain the fact that we do not obtain any relation between fees and return in this segment. Indeed, these investors may be more sophisticated and could estimate the quality of a fund by more complex measures of performance. Finally, we provide evidence for the existence of a conflict of interest between investors and funds: diseconomies of scale.

Bakgrund: De flesta svenskarna sparar i form av värdepapper för att investera sina pengar och få en avkastning. Vilket placeringsalternativ ska de välja mellan investering i traditionella eller speciella fonder? De traditionella fonderna har en relativ avkastning och en stor risk, medan de speciella eller hedgefonderna har en lägre risk och en absolut positiv avkastning oavsett marknadsläge.I denna studie kommer att undersökas om hedgefonders avkastningsmönster är trovärdig, och om deras målsättning har uppnåtts under åtta års period. Syfte: Syftet med denna studie är att undersöka om det finns ett samband mellan olika svenska hedgefonders investeringsstrategier och avkastningsmönster samt undersöka hur dessa hedgefonder skiljer sig från de traditionella fonderna och marknadsindexet. Delsyftet är att studera två olika perioder och urskilja hur fonderna presterar under hög respektive låg konjunktur läge. Metod: Studien är baserad på forskningsstrategin kvantitativa metoden. Sekundär data i form av historiska avkastningssiffror för åttaårsperiod är avhämtad. Olika nyckeltal är valda för uträckningen och analysen. Korrelation, regression och hypotesprövning är de utvalda statistiska metoder som ska leda författaren att analysera och dra slutsats. Slutsats: De hedgefonderna har under de olika perioderna genererat en genomsnittlig positiv avkastning trots de låga värden. De har lägre totalrisk samt marknadsrisk än de traditionella, och en låg korrelation mellan varandra. Vidare har studien visat att räntearbitrage och marknadsneutrala strategier har presterat bäst under låg konjunktur.Sammanfattningsvis hedgefonders avkastningsmönster skiljer sig mellan de olika strategierna och inom varje strategi. Trots på den låga positiva avkastningen anses hedgefonder ett bättre placeringsalternativ än traditionella fonder i tider där marknaden går ner.Avkastningsmönster är en fördom på kortsikt men anses vara en verklighet långsiktigt. / Background: The majority of the Swedish population saves in the form of securities to invest and receive a return. Which investment option should they choose? Should they invest in mutual or special funds? The mutual funds have a relative return and come with a high risk, while the special funds, also known as hedge funds, have an absolute positive return regardless of the market situation and this fund type accounts for a lower risk. This study will investigate whether the return pattern in the hedge funds are valid or not, and if their objective was achieved during this 8 year period. Purpose: The purpose of this study is to investigate if there is a relationship between Swedish hedge funds' investment strategies and their return pattern as well as examining how these hedge funds differ from the mutual funds and the market index. The sub focus is studying two different periods and discerns how the funds perform under high and low economic situation. Methodology: The study is based on results obtained from the research strategy, of a quantitative character. Secondary data in the form of historical returns for the eight-year period is utilized. Different ratios are utilized for calculations and analysis. Correlation, regression, and hypothesis testing are the chosen statistical methods that will lead the author to analyze and draw conclusions. Conclusions: The hedge funds have in the different periods generated an average positive return despite the low values. They have lower total risk and market risk than mutual ones, and a low correlation between each other. Furthermore, the study has shown that rate arbitrage and market neutral strategies perform best under low economy context.In summary, hedge funds' return pattern differs between the diverse strategies and within each strategy. Despite the low positive returns hedge funds are considered a better investment option than mutual funds in times when the market is unstable.The return pattern does not apply to short term investments but it does apply to long term investments.

Σε αυτήν την έρευνα, κατασκευάσαμε την διορθωμένη για κίνδυνο κατάταξη αποδόσεων για την περίπτωση των ελληνικών μετοχικών αμοιβαίων κεφαλαίων. Η διορθωμένη για κίνδυνο απόδοση μετρά τη ποσότητα του κινδύνου και εκφράζεται γενικά ως αριθμός ή κατάταξη. Οι διορθωμένες για κίνδυνο αποδόσεις εφαρμόζονται σε μεμονωμένα αξιόγραφα, επενδυτικά κεφάλαια και σε χαρτοφυλάκια. Η εμμονή ορίζεται ως ένα φαινόμενο όπου η σχετική (κατάταξη) απόδοση τείνει να επαναλαμβάνεται σε διαδοχικά χρονικά διαστήματα. Εφαρμόσαμε διάφορα τεστ προκειμένου να αξιολογηθεί η παρουσία ή όχι της εμμονής. Τα εμπειρικά αποτελέσματα μας έδειξαν ότι η εμμονή γίνεται πιο αδύναμη σε μακροπρόθεσμο χρονικό ορίζοντα. / In this research we constructed the ranking of the risk adjusted returns in the case of the Greek equity mutual funds market. Risk adjusted returns is a concept that refines an investment's return by measuring how much risk is involved in producing that return, which is generally expressed as a number or rating. Risk-adjusted returns are applied to individual securities and investment funds and portfolios. Persistence is defined as a phenomenon where relative (ranked) performance tends to repeat across successive time intervals. We apply various tests in order to assess the presence or not of persistence. Our analysis documents that persistence becomes weaker as the investment horizon is increased.

No description available.

Fund investments are very popular in Sweden. However, we have the impression that despite this popularity, the average fund investor in Sweden does not pay much attention to the importance and possible link of fund’s asset composition features (e.g. Asset class, Holdings, and Geo-exposure) to fund’s performance. Instead, S/he relies on factors such as fees, risk levels, historical performance, etc. in her/his investment decisions. Similarly, academic studies mainly focus on attributes such as funds fees, size, and manager’s skill to explain fund’s performance. Thus there are limited premier academic studies on the relationship between fund’s performance and its asset composition features. The main purpose of this study is to investigate possible causal relationship between the performances of funds with their assets composition features. We study the whole population of 346 Swedish listed mutual funds older than five years for the period 2009-2013. The results of the study provides the investors and analysts with additional decision-making and investment-analysis tools to assist them in making more informed judgment on funds and their expected returns. The results are also useful for fund managers to improve their strategies by refining the combinations of their funds’ asset composition attributes in order to improve the absolute risk-adjusted performance of their funds. Our research philosophy has been based on positivism and objectivism along with functionalist paradigm and we have applied deductive approach to test the theories. We have used quantitative method and collected the funds’ data from public business databases and chosen Jensen’s alpha and Treynor ratio as funds’ risk-adjusted performance measures. We performed Correlation tests and Regression with robust techniques on our data to answer the research question from three aspects, namely asset class (equity, bond, and mixed assets); geo-exposures (Sweden, Global, Europe, and Nordic) and Top-ten holdings’ measures (asset concentration and Treynor of each fund’s passive top-ten sub-portfolio). We conclude that correlations between funds’ risk-adjusted performance and assets composition features are likely to exist. Stronger correlations are observed between the explanatory measures and fund’s relative risk-adjusted performance (fund’s Treynor) as compared to fund’s absolute risk adjusted performance (fund’s Jensen’s alpha). Asset concentration in top-ten holdings and bond asset class are more likely to be in casual relationship with fund’s risk-adjusted performance, whereas Treynor ratio of top-ten holdings’ passive sub-portfolio as well as fund’s geo-exposure do not seem to have strong explanatory power for funds’ absolute performance.

This thesis consists of four chapters that investigate the performance and capital flows of hedge funds. The first two chapters of the thesis focus on hedge funds that have a pure emerging market strategy. Hedge funds should be well equipped to take advantage of opportunities in emerging markets due to their flexibility in investment strategy and lockup periods. However, the results show that, at the strategy level, emerging market hedge funds have only generated risk-adjusted returns in the most recent years of the sample period. Although emerging market hedge funds have performed poorly in the past, an important finding is the upward trend over time in performance. Given that other hedge fund strategies have a declining trend in alpha during the same period, the emerging market strategy may be where future alpha can be found. The third chapter investigates if there are capacity constraints in hedge fund strategies. The idea is that the alpha opportunities in the markets are limited. Thus, the more capital coming in to hedge funds, the higher competition for the investment opportunities. The findings reveal that mainly strategies that rely on liquidity in their underlying market show evidence of capacity constraints. That is, high past capital flows have a negative effect on current risk-adjusted returns. The last chapter investigates the out-of-sample performance of five allocation models relative to an equally weighted portfolio, when optimizing over hedge fund strategies. The findings show that for hedge fund investors the naive allocation model (1/N) with equal weights in each asset is not an efficient allocation. The risk-adjusted performance can be improved by using an optimal sample-based allocation model. Moreover, significant improvement in out-of-sample alpha can be made if the investor optimizes over non-systematic returns instead of total returns, which is an important results for investors seeking alpha. / <p>Diss. Stockholm : Handelshögskolan, 2008</p>