Bachelor-Arbeit Univ. St. Gallen, 2008.

Master-Arbeit Univ. St. Gallen, 2008.

Master-Arbeit Univ. St. Gallen, 2007.

Submitted by Marco Antônio de Ramos Chagas (mchagas@ufv.br) on 2017-07-10T16:47:13Z No. of bitstreams: 1 texto completo.pdf: 626368 bytes, checksum: 024f768e2dd6bbda1d7ce2b8c3fdd8c7 (MD5) / Made available in DSpace on 2017-07-10T16:47:13Z (GMT). No. of bitstreams: 1 texto completo.pdf: 626368 bytes, checksum: 024f768e2dd6bbda1d7ce2b8c3fdd8c7 (MD5) Previous issue date: 2001-03-23 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / Os Estados de Minas Gerais e São Paulo são os maiores produtores nacionais de café arábica, razão pela qual qualquer alteração na oferta desta "commodity", nestes Estados, poderá refletir nos preços internos e externos do café. Assim, a integração espacial (co-movimentação dos preços em diferentes locais, medida pela correlação entre os preços) do mercado de café arábica nos Estados de Minas Gerais e São Paulo é de suma importância para a formulação de políticas governamentais para o setor, bem como para os agentes dessa cadeia produtiva, pois choques de preços em uma região podem ser transmitidos a outras regiões, levando a incertezas a respeito dos preços e rendas. Um dos instrumentos para minimizar os riscos de volatilidade de preços é o "hedge" (proteção), que utiliza contratos futuros que podem ser feitos no mercado nacional ou internacional. O objetivo deste estudo foi analisar a integração espacial do mercado de café arábica nos Estados de Minas Gerais e São Paulo, bem como as operações de "hedge" efetuadas pelos agentes dessa cadeia agroindustrial junto à BM&F e à CSCE. O período utilizado para análise foi de setembro de 1996 a outubro de 2000. Utilizou-se a teoria de co-integração (Teste de Raiz Unitária, Teste de Co-integração, Vetor de Correção de Erros e Teste de Causalidade de Granger) para analisar a integração espacial e utilizaram-se os modelos analíticos para estimação da razão de "hedge" ótima e da efetividade do "hedge". Os resultados permitem concluir que: (i) o mercado de café arábica do Cerrado, Sul de Minas, Mogiana e Paulista são integrados espacialmente, o que sugere que a difusão do fluxo de informação entre os agentes desta cadeia agroindustrial, nesses mercados, se transmita com rapidez e que o mecanismo de arbitragem funcione nesses mercados (estes mercados são eficientes, havendo, portanto, relação de equilíbrio no longo prazo); e (ii) as operações de "hedge", efetuadas na BM&F, são mais eficientes que as efetuadas na CSCE, o que sugere que a BM&F, por situar-se mais próxima dos produtores nacionais, disponibiliza contratos futuros cujos objetos são mais adequados a estes. / The States of Minas Gerais and São Paulo are Brazil’s leading arabica coffee producers. Therefore, any alterations in the supply of this commodity in these states may reflect both in the internal and in the external prices of coffee. Thus, the spatial integration (co-movement of prices in different locations, measured by means of the correlation among prices) of arabica coffee markets in the states of formulation Minas Gerais and São Paulo is of great importance for the of governmental policies (agricultural policies and regulator policies) for the sector, as well as for the private agents of this productive chain, once price shocks in a region may be transmitted to other regions, leading to uncertainties concerning prices and income. The objective of this study is to analyze the integration of the arabica coffee market in the states of Minas Gerais (Cerrado and South of Minas) and São Paulo (Mogiana and Paulista), as well as the hedge operations carried out by the agents of this productive chain at BM&F and CSCE. In this study, time series of prices from September 1996 to October 2000 are used. The co-integration theory (Unit Root Test – Dickey-Fuller Augmented, Co-integration Test – Test of Johansen, VEC – Vector Error Correction and Granger’s Causality Test) is used to analyze the spatial relations. Price differences (legged and non-legged) were used for estimating models for optimal hedge ratios and hedging effectiveness. The results allows one to conclude that the arabica coffee markets of Cerrado, South of Minas, Mogiana and Paulista are spatially integrated, suggesting that the diffusion of information among the agents of the productive chain in these markets is transmitted quickly and that the arbitrage mechanism operates in these markets as well. In other words, these markets are efficient, mainly due to their proximity to each other. Coffee prices in these regions present, therefore, a relation of equilibrium in the long run. The results also admits the conclusion that the hedge operations carried out at BM&F are more effective than the operations carried out at CSCE. This was already expected, since BM&F is more closely located to the national producers and is, therefore, able to design futures contracts more adequate to the characteristics of these producers. 64 / Dissertação importada do Alexandria

With the financial crisis of 2008 and more retirement funds and insurance companies entering the hedge fund industry, the safety of investor assets has become vital. According to a worldwide study by Kundro and Feffer (2002:42), operational risk factors account for almost half of hedge fund failures. The issues that underlie the operational risk factors relate to valuation of the fund’s assets and liabilities. Unless certain valuation practices become more widespread, hedge funds face a potential crisis of confidence with institutional and high net worth investors (Kundro and Feffer, 2002:42). Despite the improvements made by administrators to deal with the complexities of hedge fund investments, the accuracy of some valuations remains open to question (McVea 2008:135). Hedge fund manager inputs into valuations compromise the degree of independence exercised, particularly with regard to complex and/or illiquid instruments. The perception that administrators lack the required technical expertise to value complex and/or illiquid assets exacerbates the issue of administrator’s reliability to provide independent valuations. Therefore, the reliance on administrators to guarantee the quality of valuations of complex instruments is in question. The aim of the study was to identify ways to improve operational risk management practices, particularly valuations, in hedge funds through identifying ways of promoting effective functioning of independent third-party administrators. This was achieved through a case study approach using a South African leading administrator, Investment Data Services, as the object of study. The literature highlighted the changing functions of administrators, the challenges facing them and ways of addressing those challenges. The empirical study measured the extent of IDS’ valuation practices in managing operational risk in hedge funds. Four key members of IDS’ management team and one hedge fund manager with considerable insight were interviewed. The data obtained was then reduced into meaningful results. The empirical findings were compared with the theory provided in the literature scrutiny to identify ways of improving the valuation function. The conclusion was that the challenges faced by the administrator were addressed through proper independence, consistency and transparency of the valuation process. A crucial cog in IDS’ wheel is the employment of staff with the required technical skills to understand complex financial instruments. In addition, investment in advanced systems and technology is important in managing the risks involved. Consequently, IDS’ valuation practices can be used as template for other administrators in their efforts to manage the operational risks in hedge funds.

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The 2007–2009 financial crisis led to a decrease in consumer and investor confidence worldwide (SARB, 2008:2). Along with the weakened business sentiment and consumer demand, tightened funding conditions in financial markets, increased inflationary pressures, and declining global manufacturing activities, the world economic recession that followed the collapse of the world financial sector led to an estimated wealth destruction of approximately US$50 trillion (SARB, 2008:2; Aisen & Franken, 2010:3; Karunanayake et al., 2010). Apart from this estimate, the International Monetary Fund (IMF) also projected that the global bank balance sheets in advanced countries suffered losses of approximately US$4 trillion during the period 2009–2010 (Aisen & Franken, 2010:3). As a result, investors have become more risk-adverse (Guiso et al., 2013:1), and the consequences of the financial crisis, made insurable profitable investment decisions extremely difficult as market volatility tends to increase during crises periods (Karunanayake et al., 2010; Schwert, 1989:83). With the financial environment in distress, some fund managers consider equities as the preferred asset class to protect the purchasing power of their clients (Ivan, 2013). However, the studies of Ennis and Sebastian (2003) and Nicholas (2004) found evidence that hedge funds will outperform equity markets during a downswing in financial markets. In addition, hedge funds are considered market-neutral due to these investment funds’ unrestricted investment flexibility and more efficient market timing abilities (Ennis & Sebastian, 2003). Hedge funds are also considered to be more unconventional assets for improving portfolio diversification (Lamm, 1999:87), where the variation of investment strategies available in a hedge fund has the ability to satisfy investors with several different risk preferences (Shin, 2012). Still, a number of previous studies have debated conflicting evidence regarding the performance of hedge funds and the persistence in outperforming other markets. This led to the objective of this study; to evaluate the risk-adjusted performance of US and EU hedge funds compared to the associated world equity markets over the 2007–2009 financial crisis. The evidence from this study confirmed the dominance of hedge funds over the CAC 40, DAX, S&P 500 and Dow Jones, from 2004 to 2011, emphasising that the performance of the US and EU hedge funds would overshadow a normal buy-and-hold strategy on the world equity markets under investigation. Overall, the Sharpe-, Sortino-, Jensen’s alpha-, Treynor- and Calmar ratios illustrated that US hedge funds outperformed both EU hedge funds and the associated equity markets over this period. The presence of non-normality among the return distributions led to the use of the Omega ratio as the proper benchmark, which also confirmed the outperformance of US hedge funds over EU hedge funds and associated world equity markets. / MCom (Risk Management), North-West University, Vaal Triangle Campus, 2014

The 2007–2009 financial crisis led to a decrease in consumer and investor confidence worldwide (SARB, 2008:2). Along with the weakened business sentiment and consumer demand, tightened funding conditions in financial markets, increased inflationary pressures, and declining global manufacturing activities, the world economic recession that followed the collapse of the world financial sector led to an estimated wealth destruction of approximately US$50 trillion (SARB, 2008:2; Aisen & Franken, 2010:3; Karunanayake et al., 2010). Apart from this estimate, the International Monetary Fund (IMF) also projected that the global bank balance sheets in advanced countries suffered losses of approximately US$4 trillion during the period 2009–2010 (Aisen & Franken, 2010:3). As a result, investors have become more risk-adverse (Guiso et al., 2013:1), and the consequences of the financial crisis, made insurable profitable investment decisions extremely difficult as market volatility tends to increase during crises periods (Karunanayake et al., 2010; Schwert, 1989:83). With the financial environment in distress, some fund managers consider equities as the preferred asset class to protect the purchasing power of their clients (Ivan, 2013). However, the studies of Ennis and Sebastian (2003) and Nicholas (2004) found evidence that hedge funds will outperform equity markets during a downswing in financial markets. In addition, hedge funds are considered market-neutral due to these investment funds’ unrestricted investment flexibility and more efficient market timing abilities (Ennis & Sebastian, 2003). Hedge funds are also considered to be more unconventional assets for improving portfolio diversification (Lamm, 1999:87), where the variation of investment strategies available in a hedge fund has the ability to satisfy investors with several different risk preferences (Shin, 2012). Still, a number of previous studies have debated conflicting evidence regarding the performance of hedge funds and the persistence in outperforming other markets. This led to the objective of this study; to evaluate the risk-adjusted performance of US and EU hedge funds compared to the associated world equity markets over the 2007–2009 financial crisis. The evidence from this study confirmed the dominance of hedge funds over the CAC 40, DAX, S&P 500 and Dow Jones, from 2004 to 2011, emphasising that the performance of the US and EU hedge funds would overshadow a normal buy-and-hold strategy on the world equity markets under investigation. Overall, the Sharpe-, Sortino-, Jensen’s alpha-, Treynor- and Calmar ratios illustrated that US hedge funds outperformed both EU hedge funds and the associated equity markets over this period. The presence of non-normality among the return distributions led to the use of the Omega ratio as the proper benchmark, which also confirmed the outperformance of US hedge funds over EU hedge funds and associated world equity markets. / MCom (Risk Management), North-West University, Vaal Triangle Campus, 2014

Submitted by Joao Henrique Perez Santos (joaohpsantos@terra.com.br) on 2014-02-25T20:40:19Z No. of bitstreams: 1 Tese MPFE - Joao Santos.pdf: 1094828 bytes, checksum: 85c04c4b4e18b219b437fceb8bae5c0b (MD5) / Approved for entry into archive by Vera Lúcia Mourão (vera.mourao@fgv.br) on 2014-02-25T20:45:49Z (GMT) No. of bitstreams: 1 Tese MPFE - Joao Santos.pdf: 1094828 bytes, checksum: 85c04c4b4e18b219b437fceb8bae5c0b (MD5) / Made available in DSpace on 2014-02-26T12:20:14Z (GMT). No. of bitstreams: 1 Tese MPFE - Joao Santos.pdf: 1094828 bytes, checksum: 85c04c4b4e18b219b437fceb8bae5c0b (MD5) Previous issue date: 2014-01-30 / The present paper aims at analyzing the adoption of portfolio immunization techniques for the FX hedge management in the corporate environment of a Trading Company using in a pioneering way the Principal Component Analysis applied to the FX curve as an alternative to the frequently used models of hedge using back-to-back and duration-hedge strategies which show some deficiencies on its management. To exemplify the effectiveness of the immunization strategy, it was created a random portfolio of FX exposures dated at 02/01/2013 that comprised 200 transactions with notional between US$5 million and –US$10 million, for maturities also aleatory between 03/06/2013 and 01/12/2014 maturing on the first business day of each month. The results of the Principal Component Analysis showed that for the 3 periods analyzed, 1,2 and 3 years, the first three components explained, respectively, 97.17%, 97.90% e 97.53% of the variability of the FX curve. With respect to the portfolio immunization, the strategy that used the principal component methodology seemed to be extremely effective, when compared to the back-to-back strategy, allowing it to be used in the corporate environment. The hedge strategy using the Principal Component Analysis for 1, 2 and 3 years and the Duration Hedge strategy showed an effectiveness of, respectively, 101.3%, 99.47%, 97.64% and 99.24% for the period of analysis and an amplitude on its daily effectiveness of 8.62%, 7.79%, 8.45% e 19.21%, which shows a superiority of the strategy when compared to the Duration Hedge. The results obtained from this paper are of great relevance for the corporate risk management in the local market. / O presente estudo busca analisar a adoção de técnicas de imunização de carteiras para a gestão dos hedges cambiais no ambiente corporativo de uma Trading Company, utilizando de forma pioneira a análise de componentes principais aplicada à curva cambial como uma alternativa aos modelos usualmente utilizados de hedge por exposição gerada (back-to-back) e duration hedge que mostram algumas deficiências em sua gestão. Para exemplificar a efetividade da estratégia de imunização foi gerada aleatoriamente uma carteira de exposição cambial com data base de 02/01/2013 composta por 200 transações com valores entre US$5 milhões e -US$10 milhões, para vencimentos também aleatórios entre 03/06/2013 e 01/12/2014 com vencimento no primeiro dia útil de cada mês. Os resultados da Análise de Componente Principais mostraram que para os períodos analisados de 1, 2 e 3 anos, os três primeiros componentes explicam respectivamente 97.17%, 97.90% e 97.53% da variabilidade da curva cambial. No que diz respeito à imunização da carteira, a estratégia que utiliza a metodologia de componentes principais mostrou-se altamente efetiva, quando comparadas à estratégia back-to-back, de forma a permitir a sua aplicabilidade no ambiente corporativo. A estratégia de hedge utilizando-se da Análise de Componentes Principais para 1, 2 e 3 anos e pelo Duration Hedge apresentaram uma efetividade de, respectivamente, 101.3%, 99.47%, 97.64% e 99.24% para o período analisado e uma amplitude na efetividade diária de 8.62%, 7.79%, 8.45% e 19.21% o que indica uma superioridade da estratégia em relação ao Duration Hedge. Os resultados obtidos nesse trabalho são de grande relevância para a gestão de risco corporativo no mercado local.

The goal of this Master's Thesis is to analyze the specific characteristics of the hedge funds with a primary focus on profitability and risk of the industry, which has experienced significant growth of the value of assets under management since the beginning of the new millennium. I want to provide a realistic point of view at the whole industry, which is considered as very risky in the eyes of the public. I want to support this point of view with an analysis of the risks and profitability of hedge funds. The single types of hedge funds are compared to each other and also to other asset classes. The first chapter discusses the specifics of hedge funds, so we can easily understand what differs them from the other collective investment funds. I have briefly described the development of the whole industry, which I have supported with graphical and numerical expression. The second chapter is focused on the development of regulation of hedge funds on the US market and on the European continent. The last chapter is dedicated to the analysis of the profitability and risk of hedge funds. The output of this part is the ideal hedge fund for the potential investor.