A estrutura de operações de defesa de posições de risco de uma instituição – banco e empresa, em geral chamada de hedge, é um dos problemas mais importantes da gestão financeira em um mundo em que as mudanças ocorrem com freqüência cada vez maior. Essa característica de volatilidade leva o gestor a elaborar a estrutura de hedge. Ocorre que se fizer o hedge de todas as posições de risco, invariavelmente, a despesa dessa defesa torna-se insuportável, praticamente consumindo o lucro da operação. Isso se torna mais critico para as instituições não-financeiras já que o seu principal negócio não se alicerça no gerenciamento de riscos, atividade mais própria para as instituições financeiras, mas sim na produção de serviços ou de produtos. Assim, políticas de hedge, instrumentos e modelos, que permitam indicar formas de gerenciamento de risco, tornam-se de grande importância. O presente trabalho tem essa preocupação e apresenta um modelo quantitativo que possibilitará à empresa determinar a melhor opção de compra para ser utilizada na sua política de hedge e, conseqüentemente, estabelecer a fração ótima da sua posição em risco que deverá ser protegida mediante duas condições: a primeira uma limitação orçamentária que a empresa possua para a operação de hedge; e a segunda, um valor pré-fixado do ativo objeto, a um dado nível de confiança, na data de vencimento da opção. A solução ótima obtida pelo modelo será uma função da distribuição de probabilidade do ativo (retorno e risco), taxa livre de risco, o horizonte do hedge e o nível de confiança desejado pela instituição. Para testar o modelo, utilizou-se o hedge com opções de compra sobre dólar disponível, que é um dos principais instrumentos de hedge oferecidos pela BM&F. Uma janela de um mês foi escolhida para estudar a otimalidade da solução apontada pelo modelo. / The operations structure of defense of positions on risk of an institution - bank and company, in general, called hedge, is one of the most important problems of financial administration in a world where changes happen more frequently. This volatility characteristic leads the manager to elaborate the hedge structure. It happens that if he/she does the hedge of all of the risk positions, invariably, the expense of that defense becomes unbearable, practically consuming the whole profit of the operation. It becomes more critical in non-financial institutions since its main business is not related to the administration of risks, activity typical of financial institutions, but to the production of services or products. That is the reason why hedge politics, instruments and models, that allow indicating forms of risk administration, become of great importance. The present work brings that concern and develops a quantitative model that it will make possible to the company to determine the best call option to be used in its hedge politics and, consequently, to establish the great fraction of its position in risk that should be protected by two conditions: the first one, a budget limitation that the company possesses for the hedge operation; and second one, a pre-set value of the asset object, to a trust level, in the date of expiration of the option. The optimal solution obtained by the model will be a function of the distribution of probability of the assets (return and risk), risk free rate, the horizon of the hedge and the trust level set by the institution. To test the model, the hedge was used with purchase options on available dollar that it is one of the main hedge instruments offered by BM&F. A window of one month was chosen to study the optimal solution pointed for the model.

Universiẗat, Diss., 2005 u.d.T.: Eling, Martin: Hedgefonds-Strategien und ihre Performance im Asset-Management von Finanzdienstleistungsunternehmen--Münster (Westfalen).

Neste trabalho analisamos a eficácia das operações de hedge cambial de uma amostra de companhias abertas, não-financeiras, com ações negociadas na BM&FBOVESPA. A amostra selecionada consiste em nove empresas, que foram selecionadas como aquelas possuindo o maior valor de mercado médio, durante o período analisado, que consiste nos exercícios de 2005 a 2009, dentro de cada um dos setores existentes na classificação setorial da BM&FBOVESPA, excluindo o setor financeiro. A eficácia das operações de hedge das companhias selecionadas foi avaliada usando-se os dados divulgados nas demonstrações financeiras, através de três metodologias distintas de avaliação de eficácia de operações de hedge. A determinação de hedges altamente eficazes foi realizada fazendo uso da métrica proposta pelo FASB, onde um hedge é considerado altamente eficaz quando este proporciona uma cobertura entre 80% e 125%, na exposição ao risco, decorrente da variação no fator identificado de risco, que neste caso foi a variação cambial. Os resultados obtidos apontam para uma grande variabilidade da eficácia das operações de hedge, tanto entre as companhias estudadas, quanto entre as diferentes metodologias de avaliação utilizada. Os resultados também mostram a necessidade da divulgação de informações contábeis mais precisas e abrangentes no que se refere às operações de hedge cambial. / In this work we analyze the effectiveness of foreign currency hedge operations in a sample of public traded, non-financial companies, with stocks traded on the Sao Paulo Stock Exchange (BM&FBOVESPA). The selected sample is made of nine companies with highest mean market value, during the analyzed period, which consists of the exercises between 2005 and 2009, inside all sectors present in the BM&FBOVESPA sector classification, excluding the financial sector. The effectiveness of hedge operations was measured using three different hedge effectiveness measurement methodologies. The determination of highly effective hedge was based on the scale proposed by FASB, where a hedge is considered highly effective when it provides an offset between 80% and 125%, in the risk exposure due to the variation in the identified risk factor, which in this case, was the foreign exchange risk. The results obtained point to a great variability in the measured hedge effectiveness, among companies, as well as among the different used methodologies. The results also point to the necessity of more precise and comprehensive accounting disclosures regarding foreign exchange hedge operations.

A estrutura de operações de defesa de posições de risco de uma instituição – banco e empresa, em geral chamada de hedge, é um dos problemas mais importantes da gestão financeira em um mundo em que as mudanças ocorrem com freqüência cada vez maior. Essa característica de volatilidade leva o gestor a elaborar a estrutura de hedge. Ocorre que se fizer o hedge de todas as posições de risco, invariavelmente, a despesa dessa defesa torna-se insuportável, praticamente consumindo o lucro da operação. Isso se torna mais critico para as instituições não-financeiras já que o seu principal negócio não se alicerça no gerenciamento de riscos, atividade mais própria para as instituições financeiras, mas sim na produção de serviços ou de produtos. Assim, políticas de hedge, instrumentos e modelos, que permitam indicar formas de gerenciamento de risco, tornam-se de grande importância. O presente trabalho tem essa preocupação e apresenta um modelo quantitativo que possibilitará à empresa determinar a melhor opção de compra para ser utilizada na sua política de hedge e, conseqüentemente, estabelecer a fração ótima da sua posição em risco que deverá ser protegida mediante duas condições: a primeira uma limitação orçamentária que a empresa possua para a operação de hedge; e a segunda, um valor pré-fixado do ativo objeto, a um dado nível de confiança, na data de vencimento da opção. A solução ótima obtida pelo modelo será uma função da distribuição de probabilidade do ativo (retorno e risco), taxa livre de risco, o horizonte do hedge e o nível de confiança desejado pela instituição. Para testar o modelo, utilizou-se o hedge com opções de compra sobre dólar disponível, que é um dos principais instrumentos de hedge oferecidos pela BM&F. Uma janela de um mês foi escolhida para estudar a otimalidade da solução apontada pelo modelo. / The operations structure of defense of positions on risk of an institution - bank and company, in general, called hedge, is one of the most important problems of financial administration in a world where changes happen more frequently. This volatility characteristic leads the manager to elaborate the hedge structure. It happens that if he/she does the hedge of all of the risk positions, invariably, the expense of that defense becomes unbearable, practically consuming the whole profit of the operation. It becomes more critical in non-financial institutions since its main business is not related to the administration of risks, activity typical of financial institutions, but to the production of services or products. That is the reason why hedge politics, instruments and models, that allow indicating forms of risk administration, become of great importance. The present work brings that concern and develops a quantitative model that it will make possible to the company to determine the best call option to be used in its hedge politics and, consequently, to establish the great fraction of its position in risk that should be protected by two conditions: the first one, a budget limitation that the company possesses for the hedge operation; and second one, a pre-set value of the asset object, to a trust level, in the date of expiration of the option. The optimal solution obtained by the model will be a function of the distribution of probability of the assets (return and risk), risk free rate, the horizon of the hedge and the trust level set by the institution. To test the model, the hedge was used with purchase options on available dollar that it is one of the main hedge instruments offered by BM&F. A window of one month was chosen to study the optimal solution pointed for the model.

No description available.

I examine the impact of hedge fund managers selling ownership stakes in their firms to outside owners. Funds with outside owners do not subsequently outperform a matched sample of funds but do attract higher flows, suggesting that managers sell stakes to obtain strategic growth partners. The flow impact is greater for i) funds with lower prior flows or performance, ii) smaller funds, and iii) funds with more reputable outside owners. Outsiders also monitor their investments as funds with outside owners reduce their returns management. The reduction in return management is stronger after the 2008 financial crisis when institutions’ reputations are more tarnished. Combined, the results indicate that outside ownership benefits managers, outsiders, and fund investors.

by Kam Tsz-Chung, Narayanan Kamakodi. / Thesis (M.B.A.)--Chinese University of Hong Kong, 2000. / Includes bibliographical references (leaves 45-46). / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iii / ACKNOWLEDGEMENT --- p.iv / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Asian Crisis 1997 --- p.1 / Project Objectives --- p.2 / Report Structure --- p.2 / Methodology --- p.3 / Chapter II. --- ESSENTIALS OF HEDGE FUNDS --- p.4 / What is a Hedge Fund? --- p.4 / Common Characteristics of Hedge Funds --- p.5 / Comparison of Hedge Funds and Traditional Investment Tools --- p.7 / Popular Misunderstanding --- p.7 / Eight Investment Styles --- p.8 / Fund Structures --- p.12 / Fees --- p.13 / The Rule of Game --- p.13 / Risk Hedging Mechanism by Hedge Fund --- p.14 / Difference Between Hedge Fund and Mutual Fund --- p.14 / Chapter III. --- HEDGE FUND INDUSTRY --- p.16 / Evolution of Hedge Funds --- p.16 / "Number, Size, and Location of Hedge Funds" --- p.16 / Recent Performance --- p.17 / Closing Down of Tiger Management LLC --- p.18 / Supervision and Regulation --- p.18 / Hedge Fund Managers --- p.21 / Hedge Fund Institutions --- p.21 / Chapter IV. --- LITERATURE REVIEW --- p.22 / Returns of Hedge Funds --- p.22 / Chapter V. --- CASE STUDY ON A FAMOUS HEDGE FUND --- p.24 / Long-Term Capital Management --- p.24 / Chapter VI. --- PERSPECTIVES IN ASIAN-PACIFIC REGION --- p.28 / A Survey on Hedge Funds --- p.28 / An Interview with a Hedge Fund Manager in Hong Kong --- p.31 / An Interview with a Fund Manager in Hong Kong --- p.33 / An Interview with the Financial Secretary of HKSAR Government --- p.36 / Chapter VII. --- RECOMMENDATION AND CONCLUSION --- p.37 / General Roles of Hedge Funds in the Financial Market --- p.37 / Specific Roles of Hedge Funds in Asian-Pacific Region --- p.38 / Conclusion --- p.38 / Recommendation --- p.39 / APPENDIX --- p.41 / BIBLIOGRAPHY --- p.45

This study examines systematic patterns in returns reported by hedge funds for the period from 1989 to 2003. Two patterns are examined: strategic changes in returns variance in the second half of the year and the avoidance of reporting small losses. The hedge fund industry has grown rapidly during the 1990s. Despite this rapid growth, and the large amount of investment in hedge funds, hedge funds are less regulated than other forms of investment. Given the lower level of regulation and the assumed ability of hedge fund managers to influence both investment policy and the estimation of value for illiquid assets included in the calculation of returns, I predict systematic patterns in hedge fund returns. Brown, Goetzmann and Park (2001) show that funds that perform poorly compared to their peers tend to adopt more risk in subsequent periods while funds that perform relatively well tend to adopt less risk. I replicate this result in a larger and more recent database of hedge fund returns. The strategic use of variance is more visible in the latter half of the fifteen year period examined. This result is consistent with increased investor scrutiny and competition between hedge funds in recent years. Burgstahler and Dichev (1997) show that public companies tend to avoid reporting small losses. I show that the well documented discontinuity around zero seen in public company earnings distributions is also found in the distribution of hedge fund returns. This is consistent with hedge fund managers facing similar pressure to public company managers to avoid reporting small losses, and managers having the ability to influence reported returns in a less regulated environment.

Background: Hedge funds as an alternative investment are a rapidly increasing market. The change in the financial climate during the last ten years has created a greater awareness of hedge funds. Hedge funds in contrast to other funds has the ability to invest in all kinds of securities like stocks, bonds, derivatives and currencies and by combining hedge funds in a portfolio one can reduce the risk while increase the return. We found an interest in the subject because we realized that there is a lack of studies made on hedge funds in Sweden. Purpose: The aim for this study is to analyze the hedge funds that are present on the Swedish market in terms of investment strategies and performance. We aim to statistically investigate whether or not there is more general investment strategies present on the Swedish market. The objective is to investigate whether or not the Swedish market differ from the international market. Method: The method used in this study is quantitative with a deductive approach. We have studied several previous studies and the literature in order to find the best statistical methods and to form appropriate hypotheses. Since the Swedish hedge fund market is relatively small, we are going to study a whole population. To find the hedge funds that is active on the Swedish market we have compiled lists from two financial magazines and the Swedish fund statistics. The main statistical tools used to analyze our data are the Principal Component Analysis and the Pearson correlation coefficient. Conclusions: We found that there are some differences between the Swedish hedge fund market and the global market. The Principal Component Analysis proved that there is possible to derive five different investment strategy groups on the Swedish hedge fund market. However, these strategies are not as mutually exclusive as one would expect due to their possibility to use several dynamic trading strategies. We found that one investment strategy is dominating the market. This is not consistent with international studies. We also found that the Swedish market is not performing as well as the international market. Internationally hedge funds have a growth rate of 20 percent annually while hedge funds on the Swedish market have a growth rate of 20 percent over three years. Due to the fact that we found that the Swedish hedge fund market is relatively homogenous and that Swedish hedge funds provide a lower yield than international funds we concluded that hedge funds on the Swedish market is not acting in accordance to theory. / Bakgrund: Under de senaste 10 åren har hedge fonder och dess marknad successivt ökat i popularitet och storlek. Detta har skett som en följd de förändringar som skett i vår finan-siella miljö. Hedge fonder i kontrats till traditionella fonder har möjligheten att investera i fler olika finansiella instrument så som aktier, obligationer, derivat och valutor. Genom att kombinera hedge fonder i en portfolio kan man reducera risken samtidigt som man ökar avkastningen. Vårt intresse i ämnet väcktes på grund av bristen av forskning på hedge fon-der i Sverige. Syfte: Syftet med vår studie är att analysera de hedge fonder som är aktiva på den Svenska marknaden i form av investerings strategier och utveckling. Vi syftar till att statistiskt undersöka om det finns generella investerings strategier på den Svenska marknaden. Målet är att undersöka om den svenska marknaden skiljer sig ifrån den internationella marknaden. Metod: Vi har använt kvantitativ metod med ett deduktivt synsätt. För att hitta de bästa statistiska metoderna och för att kunna forma lämpliga hypoteser har vi har studerat flera tidigare studier och litteratur inom ämnet. Eftersom den svenska hedge fond marknaden är relativt liten kommer vi att undersöka en hel population. De hedge fonder som är aktiva på den svenska marknaden har vi hittat genom att sammanföra listor från två finansiella tidningar och en lista över hedge fonder från Svensk Fondsstatistik. Vi kommer i huvudsak att använda en Principal Komponent Analys och Pearsons korrelations koefficient. Slutsats: Vi kom fram till att det finns vissa skillnader mellan den svenska marknaden och den globala marknaden. Principal Komponent Analysen påvisade att det är möjligt att identifiera fem olika investerings strategier på den svenska hedge fond marknaden. Dock är dessa strategier inte så olika som förväntat på grund av deras möjlighet att använda flera dynamiska investerings strategier. Det visade sig att en investering strategi dominerar marknaden vilket inte överstämmer med andra internationella studier. Vi kom också fram till att svenska hedge fonder inte visar samma positiva utveckling som internationella hedge fonder när det gäller utveckling. Internationella hedge fonder har en avkastning på 20 procent årligen medan Svenska hedge fonder har en avkastning på 20 procent över tre år. På grund av att vi kom fram till att svenska hedge fond marknaden är relativt homogen och att svenska hedge fonder har en lägre avkastning än internationella hedge fonder så drar vi slutsatsen att svenska hedge fonder inte följer de generella hedge fond teorierna.

The purpose of the thesis aims to investigate pair trading strategies which are frequently used by hedge funds adopting non-directional strategies. It is also our intention to develop a set of streamlined operational guidelines for pair trading strategy to be implemented in the Taiwan securities markets. Daily closing prices of listed stocks are used. The database is compiled by Taiwan Economic Journal, covering companies listed on the Taiwan Stock Exchange and the GreiTai Market in Taiwan. The company-pairs are selected from firms listed on the same market, conducting business in the same product field, and with sample correlation coefficient higher than 0.7. We choose 10 sample company-pairs covering 20 listed companies. The trading strategies mix both divergence and convergence rules. For the former, when the price ratio of the pair exceeds the moving average price ratio plus (minus) 0.3 standard deviation, we buy the strong and short the weak to anticipate the price ratio trend continues. For the latter, when the price ratio goes beyond the moving average price ratio plus (minus) 1.7 standard deviations, we buy the weak and short the strong, anticipating the price ratio to go back to normal. The exit rules are based on absolute dollar profit, absolute dollar loss, and prolonged position period. The research results show that the pair trading strategies are not risk-free. Risk arises when the price ratio trend runs adversely than as expected. To control the risk, our challenges lie in fine tuning the entry and exit rules. With larger sample size and more in-depth investigation, we expect that the profit/loss ratio of the stragtegy can be improved. Then the pair trading strategy will become a good alternative for conservative individual investors seeking low risk investment opportunities to participate in the securities markets in Taiwan.