This thesis is a collection of three essays on hedge funds with contributions to the empirical understanding of their fees, and their voluntary disclosure of returns and assets under management, using a large consolidation of widely-employed publicly available hedge fund databases. First, time-series variation in reported fees is analysed using fund launches within hedge fund management companies, and conditioning fees at launch on fund family characteristics. Larger and better performing fund families launch high fee funds. Funds with high management fees at launch do not perform any differently from low fee funds, though funds with high incentive fees marginally outperform. An interval regression technique is proposed to overcome the discrete nature of reported fees. Secondly, the reliability of voluntary disclosures of financial information is analysed with a different measure of time-variation --- tracking changes to statements of historical performance recorded at different points in time. This uncovers evidence that historical returns are routinely revised. These revisions are not merely random or corrections of earlier mistakes; they are partly forecastable by fund characteristics. Moreover, funds that revise their performance histories, significantly and predictably underperform those that have never revised. Finally, the availability, and timing, of the selective disclosure of assets under management by funds is examined. More than a third of funds have asset records falling short of returns published. There is evidence of strategic disclosure by funds --- asset reporting drying up after times of fund stress, such as poor performance or outflows. Furthermore, investors should take heed of the greater propensity for shortfall funds to trigger fraud performance flags. These results suggest that unreliable disclosures: constitute a valuable source of information for current and potential investors; have implications for researchers; and, exhort market regulators to include assets, not just returns, in the debate around mandatory disclosure by financial institutions.

個人目前服務於國內上市金融控股公司，有感於匯率波動對多數公司的財務報表損益有著深遠的影響，故興起一股想進一步了解匯率避險的方法，及是否有其他更合適的辦法來降低避險成本。 全球匯市近期動盪加劇，讓壽險公司國外投資避險操作難度升高，過去常用的「一籃子貨幣避險」，今年失靈並嚴重衝擊壽險業第一季獲利。因傳統避險方法會影響國外投資獲利，因此多數壽險公司長期採用一籃子貨幣避險，即同時持有各種外幣，透過外幣間的自然升貶值來抵銷匯兌風險。但近期國際匯率波動加大，2月英鎊、歐元貶幅都比新台幣還兇，讓一籃子貨幣避險嚴重失靈。 本研究主要是想探討當利差縮窄到一定程度後，要利用替代避險工具會有其困難度，特別是傳統CS避險成本也大幅下降狀況。但因壽險資金若一開始匯出時，未使用傳統CS避險方式，日後要再增加CS避險部位，則央行並不會同意。故實際上雖然2009年以後，使用替代避險並不容易達到避險目的，但還是有部分壽險公司持續使用，原因為無法以CS或NDF來取代。同時CS期間短、成本不低，必須實際支付成本，該點亦是壽險公司考量主因。 故在從事海外投資時，如何規避匯率風險便成了海外投資的最重要課題了。 / I was currently serving the domestic market of financial holding companies, and realized the exchange rate fluctuations on the financial statements of most companies have a profound impact on the profit and loss. Because the rise of an exchange rate hedge, I like to know if there are other more appropriate ways to reduce hedging costs. Increased volatility in global currency markets recently, so that life insurance companies to hedge foreign investment in the difficulty, in the past used the basket hedge caused a serious impact on the first quarter earnings of life insurance . For traditional hedging methods will affect the profitability of foreign investment, so most life insurance companies to hedge long-term use of a basket of currencies, which also holds a variety of foreign currency through currency depreciation between the natural rise to offset the exchange risk. But the recent increase of international exchange rate fluctuations, especially Pound and Euro depreciated than NTD also fierce, so that a serious failure of a basket hedging. This study is to investigate when the spread narrowed to a certain extent, to the use of alternative hedging tool has its difficulty, especially in the traditional hedging costs also declined substantially CS condition. But if the beginning of the life insurance funds remitted when the CS is not the traditional way of hedging, increased again in future CS hedge position, the central bank will not agree. Although it is in fact after 2009, the use of alternative hedging is not easy to achieve hedging purposes, but still some life insurance companies continue to use, because CS or NDF can not be replaced. During the same time, the short term CS, the cost is not low and you must actually pay the cost, the point is also the main reason for life insurance companies to consider. Therefore, when engaged in overseas investment, how to avoid exchange rate risk has become the most important issue of overseas investment .

Submitted by Rafael Rodrigues Carvalho (rafael.rodrigues.carvalho@gmail.com) on 2014-07-09T03:48:40Z No. of bitstreams: 1 Dissertação_Rafael_Carvalho_v.8.pdf: 1569793 bytes, checksum: 9c25aa5b72e49eb25d6887a4d3d75868 (MD5) / Approved for entry into archive by Gisele Gammaro (gisele.gammaro@fgv.br) on 2014-08-29T17:35:41Z (GMT) No. of bitstreams: 1 Dissertação_Rafael_Carvalho_v.8.pdf: 1569793 bytes, checksum: 9c25aa5b72e49eb25d6887a4d3d75868 (MD5) / Made available in DSpace on 2014-09-23T13:51:58Z (GMT). No. of bitstreams: 1 Dissertação_Rafael_Carvalho_v.8.pdf: 1569793 bytes, checksum: 9c25aa5b72e49eb25d6887a4d3d75868 (MD5) Previous issue date: 2014-05-09 / This study aims to analyze possible changes in the use and accounting of derivatives depending on the convergence of Brazilian accounting standards to international standards (IFRS - IAS 39). The research is based on non-financial Brazilian companies and use as information explanatory notes regarding derivatives and the volatility of selected balance sheet accounts: earnings and cash flows. Despite the assumptions made, the results showed that the change in accounting standards did not affect the use of derivatives and, also, it was not found any evidence about the impact on the volatility of cash flow and net income. Finally, it was observed that the alternative method for hedge accounting softened the volatility of the firm's profits. / O trabalho tem por objetivo analisar possíveis mudanças no uso e contabilização de derivativos em função da convergência das normas brasileiras de contabilidade para os padrões internacionais (IFRS – IAS 39). As pesquisas basearam-se em empresas brasileiras não financeiras, observando informações de suas notas explicativas e a volatilidade de contas de seus balanços: lucro líquido e fluxo de caixa. A despeito das hipóteses formuladas, os resultados encontrados mostraram que a alteração do padrão contábil não afetou o uso de derivativos e, também, não se encontrou quaisquer evidências de que tenha havido impacto na volatilidade do fluxo de caixa e lucro líquido das companhias. Por fim, observou-se se a metodologia opcional de contabilidade de hedge (hedge accounting) suavizava a volatilidade dos lucros da firma, confirmando uma das hipóteses desta pesquisa.

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.

This thesis investigates the performance of hedge funds, funds of hedge funds and alternative Ucits together with the determinants of this performance by using new or well-suited econometric techniques. As such, it lies at the frontier of finance and financial econometrics and contributes to both fields. For the sake of clarity, we summarize the main contributions to each field separately. <p>The contribution of this thesis to the field of financial econometrics is the time-varying style analysis developed in the second chapter. This statistical tool combines the Sharpe analysis with a time-varying coefficient method; thereby, it is taking the best of both worlds. <p>Sharpe (1992) has developed the idea of “style analysis”, building on the conclusion that a regression taking into account the constraints faced by mutual funds should give a better picture of their holdings. To get an estimate of their holdings, he incorporates, in a standard regression, typical constraints related to the regulation of mutual funds, such as no short-selling and value preservation. He argues that this gives a more realistic picture of their investments and consequently better estimations of their future expected returns.<p>Unfortunately, in the style analysis, the weights are constrained to be constant. Even if, for funds of hedge funds the weights should also sum up to 1, given their dynamic nature, the constant weights seem more restrictive than for mutual funds. Hence, the econometric literature was lacking a method incorporating the constraints and the possibility for the weights to vary. Motivated by this gap, we develop a method that allows the weights to vary while being constrained to sum up to 1 by combining the Sharpe analysis with a time-varying coefficient model. As the style analysis has proven to be a valuable tool for mutual fund analysis, we believe our approach offers many potential fields of application both for funds of hedge funds and mutual funds.<p>The contributions of our thesis to the field of finance are numerous. <p>Firstly, we are the first to offer a comprehensive and exhaustive assessment of the world of FoHFs. Using both a bootstrap analysis and a method that allows dealing with multiple hypothesis tests straightforwardly, we show that after fees, the majority of FoHFs do not channel alpha from single-manager hedge funds and that only very few FoHFs deliver after-fee alpha per se, i.e. on top of the alpha of the hedge fund indices. We conclude that the added value of the vast majority of FoHFs should thus not be expected to come from the selection of the best HFs but from the risk management-monitoring skills and the easy access they provide to the HF universe.<p> <p> <p>Secondly, despite that the leverage is one of the key features of funds of hedge funds, there was a gap in the understanding of the impact it might have on the investor’s alpha. This was likely due to the quasi-absence of data about leverage and to the fact that literature was lacking a proper tool to implicitly estimate this leverage. <p>We fill this gap by proposing a theoretical model of fund of hedge fund leverage and alpha where the cost of borrowing is increasing with leverage. In the literature, this is the first model which integrates the rising cost of borrowing in the leverage decision of FoHFs. We use this model to determine the conditions under which the leverage has a negative or a positive impact on investor’s alpha and show that the manager has an incentive to take a leverage that hurts the investor’s alpha. Next, using estimates of the leverages of a sample of FoHFs obtained through the time-varying style analysis, we show that leverage has indeed a negative impact on alphas and appraisal ratios. We argue that this effect may be an explanation for the disappointing alphas delivered by funds of hedge funds and can be interpreted as a potential explanation for the “capacity constraints ” effect. To the best of our knowledge, we are the first to report and explain this negative relationship between alpha and leverage in the industry. <p>Thirdly, we show the interest of the time-varying coefficient model in hedge fund performance assessment and selection. Since the literature underlines that manager skills are varying with macro-economic conditions, the alpha should be dynamic. Unfortunately, using ordinary least-squares regressions forces the estimate of the alpha to be constant over the estimation period. The alpha of an OLS regression is thus static whereas the alpha generation process is by nature varying. On the other hand, we argue that the time-varying alpha captures this dynamic behaviour. <p>As the literature shows that abnormal-return persistence is essentially short-term, we claim that using the quasi-instantaneous detection ability of the time-varying model to determine the abnormal-return should lead to outperforming portfolios. Using a persistence analysis, we check this conjecture and show that contrary to top performers in terms of OLS alpha, the top performers in terms of past time-varying alpha generate superior and significant ex-post performance. Additionally, we contribute to the literature on the topic by showing that persistence exists and can be as long as 3 years. Finally, we use the time-varying analysis to obtain estimates of the expected returns of hedge funds and show that using those estimates in a mean-variance framework leads to better ex-post performance. Therefore, we conclude that in terms of hedge fund performance detection, the time-varying model is superior to the OLS analysis.<p>Lastly, we investigate the funds that have chosen to adopt the “Alternative UCITS” framework. Contrary to the previous frameworks that were designed for mutual fund managers, this new set of European Union directives can be suited to hedge fund-like strategies. We show that for Ucits funds there is some evidence, although weak, of the added value of offshore experience. On the other hand, we find no evidence of added value in the case of non-offshore experienced managers. Motivated to further refine our results, we separate Ucits with offshore experienced managers into two groups: those with equivalent offshore hedge funds (replicas) and those without (new funds). This time, Ucits with no offshore equivalents show low volatility and a strongly positive alpha. Ucits with offshore equivalents on the other hand bring no added value and, not surprisingly, bear no substantial differences in their risk profile with their paired funds offshore. Therefore, we conclude that offshore experience plays a significant role in creating positive alpha, as long as it translates into real innovations. If the fund is a pure replica, the additional costs brought by the Ucits structure represent a handicap that is hardly compensated. As “Alternative Ucits” have only been scarcely investigated, this paper represents a contribution to the better understanding of those funds.<p>In summary, this thesis improves the knowledge of the distribution, detection and determinants of the performance in the industry of hedge funds. It also shows that a specific field such as the hedge fund industry can still tell us more about the sources of its performance as long as we can use methodologies in adequacy with their behaviour, uses, constraints and habits. We believe that both our results and the methods we use pave the way for future research questions in this field, and are of the greatest interest for professionals of the industry as well.<p> / Doctorat en Sciences économiques et de gestion / info:eu-repo/semantics/nonPublished

To gain insight into the impact that investors have on the firm's auditor choice decision, this study investigates the association between changes in investor monitoring and auditor turnovers. Hedge fund activism provides a unique setting to observe how highly motivated investors, willing to incur significant expense to effect changes in target firms, are able to influence a firm's decision to dismiss their external auditor. I find that activist hedge fund targets see an increase in auditor turnovers and dismissals during the years following hedge fund activism relative to both the two years' pre-activism and a propensity matched sample of firms. I document that the increase in auditor turnovers is primarily driven by target firms with a Big 4 auditor, and that hedge fund targets primarily seek a lateral change in auditors. Consistent with institutional concerns that excess compensation impairs auditor independence, I find that activist targets are more likely to dismiss their auditors when the auditor is earning high non-audit service fees and high abnormal audit fees. I then examine how the market interprets the lateral change in auditors. I find that financial statement reliability increases for lateral auditor changes associated with independence concerns. Finally, I examine the conditions under which the hedge funds are able to facilitate an auditor change. I find that hedge funds pursuing less aggressive activist campaigns, and hedge funds seeking less public forms of interventions are more likely to seek an auditor dismissal. This relation between non-confrontational campaigns and auditor dismissals is consistent with prior research suggesting that hedge funds seeking to work with management are better able to enact changes in a target firm.

Thesis (MAcc)--University of Stellenbosch, 2009. / AFRIKAANSE OPSOMMING: Die ontstaan van verskansingsfondse in Suid-Afrika het die afgelope dekade baie reaksie ontlok vanaf reguleerders wat onseker is oor die werking van hierdie fondse. Verskansingsfondse is ‘n nuwe tipe beleggingsinstrument wat gebruik maak van verskeie verskansingstegnieke om beleggers se fondse tot ‘n maksimum te laat groei. Hierdie fondse is uniek in vergelyking met tradisionele beleggings. Die rede hiervoor, is weens die feit dat hierdie beleggingstegnieke die fonds se beleggingswaarde kan laat groei, hoewel die tradisionele belegging oor dieselfde tydperk, ‘n daling mag ervaar gedurende ‘n tydperk wat markte swak presteer. Tans word riglyne aan fondsbestuurders van verskansingsfondse verskaf deur wetgewing, maar die werking van hierdie fondse word nog nie gereguleer nie. Die feit dat die werking van verskansingsfondse nie tans in Suid-Afrika gereguleer word nie lei direk tot die vraag oor die belasbaarheid van ontvangste en toevallings vanaf verskansingsfondse. Die spesifieke probleem wat nagevors word ingevolge die studie is die vraag of ontvangste en toevallings vanaf verskansingsfondse kapitaal of inkomste van aard is. Die Raad van Finansiële Dienste is tans in die proses om ‘n beter begrip te verkry rakende die werking van verskansingsfondse en poog om die werking van verskansingsfondse binne die nadere toekoms te reguleer ingevolge wetgewing. Hierdie regulering van die werking van verskansingsfondse kan heel moontlik direk leiding verskaf ten opsigte van die belastinghantering van ontvangste en toevallings vanaf verskansingsfondse, aangesien daar sprake is dat die Raad van Finansiële Dienste graag verskansingsfondse onder die Wet op Beheer van Kollektiewe Beleggingskemas wil reguleer. Die Inkomstebelastingwet reguleer die belasbaarheid van ontvangste en toevallings vanaf kollektiewe beleggingskemas in effekte en indien verskansingsfondse geklassifiseer sou word as ‘n kollektiewe beleggingskema in effekte, sal geen onsekerheid bestaan rakende die belastinghantering daarvan nie. Bogenoemde is egter nog nie Wetgewing in Suid-Afrika nie en die navorsingstudie kom tot die gevolgtrekking dat die bepaling van belasbaarheid van ontvangste en toevallings vanaf verskansingsfondse gebaseer moet word op regspraak se beginsels neergelê as riglyne vir die bepaling of ontvangste en toevallings kapitaal of inkomste van aard is. Elke situasie en transaksie moet egter op sy eie meriete geëvalueer word, aangesien elke geval sy eie omstandighede teweegbring waarop regspraak se beginsels toegepas moet word om ‘n gevolgtrekking te maak tot tyd en wyl wetgewing die belasbaarheid van verskansingsfondse meer spesifiek reguleer. / ENGLISH ABSTRACT: The development of hedge funds in South Africa over the past decade evoked many reactions from regulators who are uncertain of the operations of these funds. Hedge funds are a new type of investment instrument which uses hedging techniques to maximise the growth of the investors’ funds. These funds are unique in comparison to traditional investments. This is due to the fact that the investment techniques used, can establish a growth in the value of the investment fund, whilst the traditional investment, compared over the same period, may experience a decline during a period that markets are performing badly. Currently, fund managers of hedge funds are given guidelines in terms of the law, but the operations of these funds are not regulated. The fact that operations of hedge funds currently are not regulated in South Africa gives rise to the question of taxation of receipts and accruals from hedge funds. The specific problem that is being researched by this study is the question whether the receipts and accruals from a hedge fund are of a capital or revenue nature. The Financial Services Board is currently in the process of getting a better understanding of the operations of hedge funds and strives to regulate the operations of a hedge fund in accordance to the law in the near future. The regulation of the operations of hedge funds can most probably give guidance with regards to the tax treatment of receipts and accruals from hedge funds, due to the fact that there is talk from the Financial Services Board to regulate hedge funds in accordance to the Collective Investment Scheme Act. The lncome Tax Act regulates the taxation of receipts and accruals from collective investments schemes in securities and should hedge funds be classified as a collective investment scheme in securities, there would be no uncertainty with regards to the taxation thereof. The above-mentioned does not form part of any Act in South Africa and the research study arrive to the conclusion that the determination of taxation of receipts and accruals from hedge funds should be based on the principles established by case law to give guidance to the determination of whether receipts and accruals are of a capital or revenue nature. Every situation and transaction should be evaluated on their own merits, seeing that every case can bring about their own circumstances upon which the principles established by case law should be applied until such time that the law more specifically regulates the taxation of hedge funds.

Thesis (MBA) -- Stellenbosch University, 2007. / ENGLISH ABSTRACT: Hedge funds are amongst the fastest growing types of investment funds, both in tenns of worldwide assets under management, as well as the number of private and institutional investors. More recently, analysts and investors focussed their attention on accurately estimating the inherent risks of hedge funds (e.g, Brooks & Kat, 2001; Fung & Hsieh, 2004). Past research suggests that the traditional approach of assessing the risks of investment funds through mean-variance analysis can lead to severe underestimation of left-hand-tail risks for hedge funds (Amenc, Malaise, Martellini & Vaissie, 2004; Favre & Galeano, 2002; Fung & Hsieh, 1999). This phenomenon is mainly attributab le to the non-normal distribution of monthly hedge fund returns around the mean. In addition, it has been found that skewed return distribution with high excess kurtosis has substantial impact on the rel iability of beta as a measure of systemic risk in hedge funds (Chan, Getmansky, Haas & Lo, 2005). Other problems when estimating hedge fund risks arise from serial correlation of time series (Getmansky, Lo & Makarov, 2003), managerial and survivorship bias (Amin & Kat, 2001 ), as well as spurious bias when estimating performance from economic time series (Fung & Hsieh, 2000). The following thesis provides statistical evidence of the limitations of traditional risk measures when applied to hedge fund investments. It also includes advice on how to improve the significance of the aforementioned risk measures. In the course of the mean-variance analysis, the applicability and reliability of Value at Risk as a risk measurement tool for hedge funds is explored. Furthennore, the reliability and accuracy of different univariate and multivariate regression models is tested. In the final chapter emphasis is placed on the possibilities of predicting the inherent risks of single funds from hedge fund style index performance. This should provide investors and analysts with an introductory framework for the appropriate risk assessment of hedge funds, considering the unique structure and dynamics of these alternative investment funds. / AFRIKAANSE OPSOMMING: Skansfondse tel onder die vinnigste groeiende tipes beleggingsfondse in terme van sowel wereldwye bates onder bestuur as die aantal private en institusionele beleggers. OnJangs het analiste en beleggers hulle aandag daarop begin toespits om die inherente risiko's verbonde aan skansfondse akkuraat te bereken (Brooks & Kat. 2001; Fung & Hsieh, 2004). Vroeere navorsing het daarop gedui dat die tradisioncle benadering om die risiko's verbonde aan beleggingsfondse deur gemiddeldevariansie-analise te takseer, daartoe kan lei dat linkerkantse-eindrisiko's verbonde aan skansfondse emstig onderskat word (Fung & Hsieh, 1999; Favre & Galeano, 2002; Amenc. Malaise, Martellini & Vaissie, 2004). Hierdie verskynsel is hoofsaaklik toe te skryf aan die abnonnale verspreiding van maandeliksc skansfondsopbrengste rondom die gemiddelde. Boonop is bevind dat skewe verdeling met hoe kurtose-oorskryding aansienlik inslaan op die betroubaarheid van beta as 'n meting van sistemiese risiko by skansfondse (Chan. Getmansky. Haas & Lo, 2005). Ander probleme by die raming van skansfondsrisiko's spruit uit tydreekskorrelasie (Getmansky, Lo & Markov, 2003), bestuurs- en oorlewingsydigheid (Amin & Kat, 2002) en vals sydigheid by die beraming van prestasie uil die ekonomiese tydsreeks (Fung & Hsieh, 2000). Hierdie tesis gaan statistiese bewyse lewer van die tradisioncle risikometings se beperkings wanneer dit op skansfondsbeleggings toegepas word. Verder sal daar raad gegee word oor hoe om die beduidendheid van die genoemde risikometings te verbeter. In die loop van die gemiddeldevariansie-analise sal die toepasbaarheid en betroubaarheid van die Waarde onder Risiko as 'n risikometing vir skansfondse ondersoek word. Voorts sal die betroubaarheid en akkuraatheid van verskillende ecnvariaat- en meervariaatregressiemodelle getoets word. In die laaste hoofstuk val die klem op die moontlikheid om die inherente risiko's van enkelfondse aan die hand van 'n skansfondstipe-indeksprestasie te voorspel. Wat hier volg, behoort beJeggers en analistc van 'n inleidende raamwerk vir die toepaslike risikotaksering van skansfondse - met inagneming van die unieke struktuur en dinamika van hierdie altcmatiewe beleggingsfondse - te voorsien.

Hedging a contingent claim with an asset which is not perfectly correlated with the underlying asset results in an imperfect hedge. The residual risk from hedging with a correlated asset is priced using an actuarial standard deviation principle in infinitesmal time, which gives rise to a nonlinear partial differential equation (PDE). A fully implicit, monotone discretization method is developed for solving the pricing PDE. This method is shown to converge to the viscosity solution. Certain grid conditions are required to guarantee monotonicity. An algorithm is derived which, given an initial grid, inserts a finite number of nodes in the grid to ensure that the monotonicity condition is satisfied. At each timestep, the nonlinear discretized algebraic equations are solved using an iterative algorithm, which is shown to be globally convergent. Monte Carlo hedging examples are given, which show the standard deviation of the profit and loss at the expiry of the option.

This paper examines the role that gold and other precious metals play in portfolio construction as hedges and safe havens in comparison with the Volatility Index (VIX), a derivative of market volatility. Gold has long been considered to be among the best assets for reducing portfolio volatility due to its lack of correlation with the overall market. However, the major finding of this paper is that while gold and the other precious metals do serve in this role to varying extents, the VIX performs this function far better. Both econometric and portfolio analyses reveal that the VIX improves overall portfolio performance to a greater extent, and most importantly serves as an effective safe haven relative to the market.