Investing in commodities may have important benefits for investors but only in the last few decades have they started to think more about this possibility. Furthermore, large investors are more inclined to change their own personal view. Therefore, understanding the benefits that commodities could give to an investment portfolio might alleviate investors’ concerns. Several previous studies, as Belousova and Dorfleitner (2012) suggest, that the commodities with higher benefits are precious metals and gold, in particular. The purpose of our work is to understand which possible benefits are for equity investors and if they are common for certain commodities with different physical characteristics. The first part of our empirical work focuses on the main descriptive statistics of the return distribution (mean, variance, volatility, skewness, kurtosis and correlation) for 8 stock indices and 7 commodity futures. The main goal of this is to understand the differences among the commodities and between the commodities and the stock indices. In the second part of the empirical work, we test the safe-haven and the hedge properties of these commodities on a weekly basis for all of them with stock indices, and we do the same on a daily and monthly basis for only commodities which are negatively correlated on average with the stock indices. In the last part of our work, we combine these 7 commodities, following the principles of Bloomberg Commodity Index (BCOM), in order to create a well-balanced and well-diversified commodity index. Additionally, we create some mixed portfolios using this index and a different stock index every time. After that we look at the volatilities and the returns of these mixed portfolios with different weight combinations. Our main goals in this section are to understand the characteristics of the commodity index in comparison with stock indices and then, finding which weight combinations give the mixed portfolios the optimal risk-return trade off. Understanding which are efficient weights, can lead to conclusions about the weight that commodities should have in a portfolio according to the risk tolerance of the investors.  The research is done considering three time frequencies: daily, weekly and monthly; in line with the ones used by Baur and McDermott (2010). The sample size differs among these three different time basis. In fact, daily data started in January 2007 and the other two time frequencies data began with January 1997. All the time samples ended in March 2016. The results of the first part show that gold is the only commodity with a volatility similar to the stock indices (it also has a higher average return) and that on the daily, weekly and monthly basis. Whereas, the other commodities are much riskier than stock indices since they have higher volatility for all the three time-frequencies analyzed.  The results of the second part suggest that only gold is both a safe-haven and hedging commodity in line with the methodology used by Baur and McDermott (2010), but only for DAX 30 on a weekly basis. Furthermore, our results also show that natural gas is strong hedge in some cases such as natural gas for STI (Singapore) on a monthly basis or gold for Nikkei 225 on daily, weekly and monthly basis. Other commodities are neither safe-haven nor hedge in any case, except for silver which is a safe-haven commodity for DAX 30 and Sensex which at its worst, 1% and 5%, declines in the market respectively. The results of the last part of our work show that all the minimum variance mixed portfolios (the ones with the weights give the lowest risk) - made on a weekly basis - reduce the portfolio volatility and make the portfolio returns higher than the stock indices returns in 5 cases out of 8. Additionally, the results show how investors, who add a well-balanced and well-diversified commodity index to their portfolios, are able to observe several weight combinations and choose the one which suits their risk tolerance. Moreover, our results show that the optimal-weight combinations for commodity weights are lower than 0,5 only for FTSE 100 and S&P 500 (both values are 0,49) and higher than 0,62 but lower than 0,7 for DAX 30, Nikkei 225, Hang Seng, Sensex, SSEC. Furthermore, the optimal weight for STI is 0,54.

The thesis is focused on hedge funds, their definition and historical development. Four investment strategies are further discussed (Global macro, Distressed securities, M&A, Convertible arbitrage) and their performance is displayed during the last thirteen years. We can compare performance of individual investment strategies with global equity index and high-yield bond index, as the alternative for potential investor.

Hedge fund activism announcements are associated with positive market reactions, and they introduce information asymmetry between insiders and outside investors. Target firm insiders have superior information about the campaign and play an important role in the campaign negotiation. This study examines insiders’ behavior as information asymmetry rises following the campaign announcement. Insiders increase trading in their own firms in response to the campaign announcement. These post-announcement insider trades have additional return predictability than insider trades in other times. Post-announcement insider buys predict higher probabilities of achieving successful campaign outcomes including management turnovers, increases in payout, and corporate restructurings, and higher value of these outcomes. I also find evidence that insiders use campaign resistance and trading interactively to achieve higher wealth gain.

Thesis submitted in fulfilment of the requirements for the degree of Masters of Management in Finance and Investments in the Faculty of Commerce, Law and Management Wits Business School at the University of the Witwatersrand , 2016 / We use a comprehensive HedgeNews Africa data set from January 2007 to October 2016 to examine the performance of South African Hedge Funds in relation to JSE All share Index and All Bond Composite Index. We do so using Capital Assets Pricing Model (CAPM), Fama and French three-factor model and four factor model. Research on South African hedge funds are scarce, which motivate this research and in the light of the new regulation that provide for two categories of hedge funds, namely Qualified Investor hedge funds and Retail Investors hedge funds, to see how ordinary investor can benefit from this unique industry. The results show that South African hedge fund have low correlation with the All Bond Composite Index, but do not outperform the JSE All Share Index. We also find that South African hedge fund outperforms the All Bond Composite Index. We further test whether South African hedge fund managers have market timing ability and find that they do not have any significant market timing ability. / MT2017

Thesis advisor: Ronnie Sadka / In the first essay of this dissertation, I study the impact that hedge fund manager connections have on investment ideas. I find that hedge fund managers who previously worked at the same prior hedge fund invest more similarly, hold more overlapping portfolios, and trade and overweight the same stocks relative to managers who do not share an employment connection. Overall, these results support theoretical prediction that networked managers share ideas that leads to price discovery for commonly held stocks. The second essay analyzes the role of ETFs in mutual fund families and is joint work with Caitlin Dannhauser. We study mutual fund and ETF twins - index funds from the same family that follow the same benchmark. We find that mutual fund twins have lower overall tax burdens while ETF twins have higher long-term yields and unrealized capital gains, but are compensated with lower expense ratios. Fund families benefit because twin offerings generate higher flows than their non-twin peers. These results support previous research that mutual fund families use diversification and subsidization to benefit the overall family. In the third essay, I study the use of latent factors in explaining hedge fund returns. Using an alternative latent factor estimator, asymptotic principal components (APC), I find explains more of the common variation of hedge fund returns on average and does so with greater efficiency than that found in the literature. I also identify an increase in the common variation across hedge fund excess return in the time-series via the extracted latent factors. My results suggest an impetus for future researchers to employ APC factors when characterizing hedge fund performance. / Thesis (PhD) — Boston College, 2017. / Submitted to: Boston College. Carroll School of Management. / Discipline: Finance.

Thesis submitted in fulfilment of the requirements for the Masters in Finance and Investments in the Faculty of Commerce, Law and Management Wits Business School At the University of Witwatersrand / The study focuses on determining the driving factors of the performance of different hedge fund strategies in the South African industry. This is done through the application of an augmented capital asset pricing model. The model is predicated on the original (Sharpe, 1964) and (Lintner, 1965) Capital Asset Pricing Model. The researcher uses the excess market returns and the South African Volatility index as independent variables in the explanation of hedge fund returns at strategy and portfolio level. Through the analysis, the researcher finds that the excess market returns and the South African Volatility Index characterize the hedge fund expected returns for some of the strategies using OLS and GMM techniques. The second section uses a system of seemingly unrelated regressions for both the OLS and GMM techniques to determine if the two explanatory variables are priced into the different strategies; this indeed is shown to be the case for some of the strategies examined in the analysis. / MT2017

In everyday language, people tend to speak in a non-committing fashion when making claims, either to save their own face or to save another person’s face. In linguistics, this is called hedging, with common words and expressions such as probably, assume and I don’t know often revealing that a hedging speech act has been performed. In computer-mediated communication, Skovholt et al. (2014) discovered that emoticons, rather than signaling the sender’s emotions, were used to hedge. This study aims to further investigate the matter by looking at how users on a board game forum hedge when speaking about board games’ complexity with the research question “do more complex games involve more hedge usage on the board game forum Boardgamegeek?” as the point of departure. Data was taken from forum posts tagged with rules. The results showed that complexity barely increases the likelihood of hedging, with a slight edge given to simpler games.

[pt] O presente estudo é dividido em três partes. A primeira examina a família e a legislação, sobretudo a partir da Constituição de 1988. A segunda faz um retrato das Varas de Família do Tribunal de Justiça do Estado do Rio de Janeiro, restringindo-se às que compõem o Forum Central da Comarca da Capital, explorando dados estatísticos visando o contraste entre o ideal e o real. A terceira identifica situações-problemas intrafamiliares e processuais, especialmente para os segmentos sociais carentes. Escolheu-se o trabalho do Núcleo de Prática Jurídica da PUC/Rio, local onde se atua e percebe as dificuldades da interação família/justiça social/ação do Estado. As informações foram colhidas a partir de 2003, entrada em vigor do Novo Código Civil, até 2005. Deu- se cunho interdisciplinar para buscar, na análise de direitos e deveres, os caminhos da dignidade humana na transformação dos vínculos familiares no Judiciário, bem como a possibilidade do Judiciário fortalecer a família, mesmo diante do litígio. O diálogo com o Serviço Social enriqueceu a pesquisa, permitindo um olhar livre da visão estritamente legalista, situando a questão em sua dimensão social. Sugere-se a perspectiva da dignidade humana, base doutrinária da Constituição do Brasil, como necessária à análise das relações do cidadão com o Judiciário, para sugerir uma nova prestação jurisdicional preparada para as multifacetadas questões familiares, harmonizando e prevenindo os conflitos entre as pessoas, protegendo os direitos da pessoa e a cidadania. / [en] Present study comprises three parts. The first analyzes the family and legislation compromises, chiefly since the 1988 Constitution. The second portrays the Courts of Family Justice of Rio de Janeiro Capital Judicial District, exploring statistic data, the contrast between ideal and real. The third identifies intrafamiliar and procedural situations-problem, especially in the destitute social segments. The Núcleo de Prática Jurídica - NPJ work of PUC/Rio was selected, as this is a place that deals with and perceives family/social justice/state action interaction difficulties, restricted to the eighteen Family Justice Courts that comprise the Central Court of Rio de Janeiro State Supreme Court. The information has been collected as of 2003, when the New Civil Code became effective, through 2005. Interdisciplinary means were adopted to seek, in the rights and obligations analysis, the human dignity paths in the transformation of familiar links in the Judiciary, as well as the possibility of the Judiciary strengthening the family even in case of a litigation. The dialog with the Social Assistance Service contributed to the research, permitting a glance free of the strictly legalist vision, placing the question in its social dimension. It is suggested the perspective of human dignity, basic principles of Brazil`s Constitution, as necessary for the analysis of the citizen`s relation (individually or as part of a familiar group) with the Judiciary to suggest a new jurisdictional consideration prepared for the multifaceted familiar questions that enter the Judiciary, harmonizing and preventing the conflicts between the persons, protecting person`s right and citizenship rights.

O objetivo deste trabalho é desenvolver uma estratégia de hedge dinâmico de um swap FtD com n nomes, para n maior ou igual a dois. A estratégia deve eliminar os riscos de mercado e de default, incluindo o risco de correlação. Neste sentido, a escolha do instrumento de hedge é fundamental. A rolagem contínua de CDS é um instrumento de hedge que além de proteger contra os riscos envolvidos no contrato em questão, a estratégia gera recurso necessário e suficiente para que no instante do primeiro default, o vendedor do swap FtD cumpra com as obrigações dos contratos e não tenha perdas com os (n-1) CDSs correspondentes aos nomes que sobreviveram e foram utilizados no hedge. / The objetive of this work is to develop a dynamic hedging of first-to-default swap with n underlying names. The strategy should eliminate market risk and default risk, including correlation risk. In this sense, the hedge instrument choice is essencial. The continuous resettling strategy os CDS is a hedge instrument against risks in the contract and moreover it will generate necessary and sufficient income to hedger fulfill all contracts obligations and doesn\'t have losses with the (n-1) CDSs associates with the names that have survival and were used in the hedging.

O Objetivo deste trabalho é usar uma ferramenta matemática conhecida como expansão de Edgeworth em conjunto com a moderna teoria de análise de derivativos financeiros que utilizam o método de precificação neutra ao risco. Tal expansão permite obter uma função densidade de probabilidade com assimetria e curtose arbitrárias a partir de uma densidade normal. Desta forma, podemos usar esta nova distribuição como a state price density do ativo-objeto procurando corrigir o sorriso da volatilidade através da definição de funções de probabilidade com assimetrias positivas ou negativas e curtose maior de que três. Além disso esperamos também chegar a uma nova maneira de realizar o delta hedge de uma carteira de replicação de modo mais eficiente do que a de Black-Scholes. / There is a well-developed framework, the Black?Scholes theory, for the pricing of contracts based on the future prices of certain assets, called options. This theory assumes that the probability distribution of the returns of the underlying asset is a Gaussian distribution. However, it is observed in the market that this hypothesis is 2awed, leading to the introduction of a fudge factor, the so-called volatility smile. Therefore, it would be interesting to explore extensions of the Black?Scholes theory to non-Gaussian distributions. In this paper, we provide an explicit formula for the price of an option when the distributions of the returns of the underlying asset is parametrized by an Edgeworth expansion, which allows for the introduction of higher independent moments of the probability distribution, namely skewness and kurtosis. We test our formula with options in the Brazilian and American markets, showing that the volatility smile can be reduced. We also check whether our approach leads to more e6cient hedging strategies of these instruments.