The purpose of this thesis is to examine whether Swedish Equity L/S hedge funds present a lower market risk than the index S&P Europe 350 over our holding period using a GARCH/EGARCH Value-at-Risk model. The sample consists of 96 monthly observa- tions between March 2004 and February 2012. The examination shows that the hedge funds in general hold a lower market risk than the index for the next holding period and al- so present a lower estimated loss if our VaR loss is exceeded. This implies that hedge funds would be a good choice for investors to have in a portfolio to reduce the risk.

This Thesis attempts to construct a Taiwan equity multi-factor model using fundamental cross-sectional approach step by step. It is found that the model involves 28 explanatory factors (including 20 industry factors) and its explanatory power is 58.6% on average. The results of the estimations can be considered very satisfactory. Moreover, based on MFM, this study simulates applications of equity market neutral strategies through quantitative techniques over the period Jan.2003 ¡V Dec.2003. The results verified that the three major characteristics of equity market neutral portfolio performance are: 1) providing absolute return; 2) lack of correlation to the equity benchmark; and 3) low volatility due to hedged portfolio structures.

<p>Background</p><p>Out of the different fund categories hedge funds have had the highest development in Sweden since 1994. Swedish investors’ interest in hedge funds doubled from 2005 to 2006. Hedge funds are said to be an investment with a low risk and not being dependent upon business cycle movements. Historically there have been high initial investments, most often over 100 000 SEK, required to invest in hedge funds. This has started to shift towards lower initial investments. This is a reason why hedge funds start to become interesting to private investors and not only to institutional, and wealthy private investors.</p><p>Purpose</p><p>The purpose of this thesis is to explore what different investment strategies and sub strategies that are used within Swedish hedge funds. Also specific risks and risk measurements, depending on investment strategy, will be investigated and compared.</p><p>Method</p><p>In order to meet the purpose of this thesis a qualitative approach has been used. A questionnaire, with both closed and open-end questions, was sent to 13 hedge fund managers operating in the Swedish hedge fund market. Afterwards, four semi-structured interviews were conducted. Two of the interviewees are hedge fund managers who also answered the questionnaire. The others were with a person who is a hedge fund analyst and a person working at the Swedish Financial Supervisory Authority (SFSA).</p><p>Conclusion</p><p>Out of the five different investment strategies investigated the two most widely used in Swedish hedge funds are funds of hedge funds and equity hedge. The sub strategies that are used within the Swedish hedge fund market are those with a focus on low risk. Within Swedish hedge funds there are some specific risks and risk measurements that are useful. Sharpe ratio is best used to compare similar funds. Standard deviation is useful to evaluate each specific hedge fund. How much leverage capital that can be used is decided by SFSA. Yet, the risks depend on the hedge fund manager rather than the investment strategy used. This, due to the fact that the hedge fund managers have an own interest in the hedge fund.</p>

<p>Background:</p><p>Hedge funds have its origin in 1949 when Alfred W Jones constructed a fund that used a new technique where he took long positions and hedged them with short positions. This fund got a large publicity when it was proved that it had outperformed any other fund by 87 percent during a ten year period. Though, it was not until the early 1990’s hedge funds became popular for the general public. The goal for hedge funds in general is to yield an absolute return and there are many different strategies for reaching this goal. This has lead to the following three research questions:</p><p>Have Hedge funds been able to reach its goal for an absolute return in both bullish and bearish times?</p><p>Which strategy has shown the best performance in markets on the rise and in declining markets and is it possible to place the different strategies in order of precedence?</p><p>Is it possible to come up with a guideline for investing in hedge funds on the Swedish market?</p><p>Purpose:</p><p>The purpose with this thesis is to study the returns on a large number of hedge funds in the American fund market based upon their investment strategy, both when the market is gaining and when it is declining.</p><p>Method:</p><p>In this thesis we have investigated twelve different strategies in the American market. By using secondary data from HFRI’s hedge fund database we have conducted a quantitative research by calculating key statistics for the strategies. We have also plotted performance diagrams were the strategies are compared with S&P 500. To be able to answer our research questions we constructed a table containing a summary of the risk and return for the strategies in bullish and bearish market times.</p><p>Results:</p><p>Our research showed that there were two strategies that were capable of delivering an absolute return for the entire period. However, when looking deeper into the yearly returns we found that there were another eight strategies that presented a negative return for just one out of the total eleven years. To conclude the research we have placed the strategies in order of precedence that works as a guideline for investing in the Swedish market in bull and bear markets.</p>

Zugl.: Düsseldorf, Univ., Diss., 2009

Background: Hedge funds have its origin in 1949 when Alfred W Jones constructed a fund that used a new technique where he took long positions and hedged them with short positions. This fund got a large publicity when it was proved that it had outperformed any other fund by 87 percent during a ten year period. Though, it was not until the early 1990’s hedge funds became popular for the general public. The goal for hedge funds in general is to yield an absolute return and there are many different strategies for reaching this goal. This has lead to the following three research questions: Have Hedge funds been able to reach its goal for an absolute return in both bullish and bearish times? Which strategy has shown the best performance in markets on the rise and in declining markets and is it possible to place the different strategies in order of precedence? Is it possible to come up with a guideline for investing in hedge funds on the Swedish market? Purpose: The purpose with this thesis is to study the returns on a large number of hedge funds in the American fund market based upon their investment strategy, both when the market is gaining and when it is declining. Method: In this thesis we have investigated twelve different strategies in the American market. By using secondary data from HFRI’s hedge fund database we have conducted a quantitative research by calculating key statistics for the strategies. We have also plotted performance diagrams were the strategies are compared with S&amp;P 500. To be able to answer our research questions we constructed a table containing a summary of the risk and return for the strategies in bullish and bearish market times. Results: Our research showed that there were two strategies that were capable of delivering an absolute return for the entire period. However, when looking deeper into the yearly returns we found that there were another eight strategies that presented a negative return for just one out of the total eleven years. To conclude the research we have placed the strategies in order of precedence that works as a guideline for investing in the Swedish market in bull and bear markets.

請參照英文摘要 / With progressing transparency of investment activity and structure flexibility, hedge fund has provided investors an attractive investment option. The hedge fund market in Asia appears to have room for further expansion with improving regulatory environment and increasing availability of different products in retail establishments. The research objective is to provide the general investing public and the hedge fund industry in Taiwan more insightful information of how sophisticated investors in Hong Kong relate to hedge fund investment, in order to provide more references for individuals’ hedge fund investment decisions and reflections for the industry to improve marketing strategy. Due to the likeness of the financial climate in both markets, Taiwan could use existing successful implementations and references in Hong Kong for better preparation for hedge funds to enter. A few important factors influencing both mutual fund and hedge fund investment decisions have been identified from previous researches and surveys conducted by academic scholars and industry professionals. A hedge fund survey is conducted to test these factors and further evaluate other causes influencing hedge fund investment decisions. A total of 31 sophisticated investors in Hong Kong, mostly financial professionals, with 45% current hedge fund investors have participated. Regression statistics analysis is used for the correlation between the multi-dimension construct measurement towards each factor and the actual percentage of investment in hedge fund of the investors. “Investment risk” has shown moderate positive correlation. “Investment return” and “past performance” have shown fair degree of positive correlation. “Investor’s understanding”, “transparency” and “skill and experience of fund managers” have shown very little or no relationship. Non-parametric statistics analysis is used for the testing of the multi-dimension construct measurements of the factors between current hedge fund investors and non hedge fund investors with p-values. The measurement of “investment return” for current hedge fund investors is greater than non hedge fund investors. The measurements of “investor’s understanding”, “investment risk”, “past performance”, “transparency” and “skill and experience of fund managers” of current hedge fund investors are not greater than non hedge fund investors. “Skill and experience of fund managers” has been ranked as the most important factor influencing individual hedge fund investment decisions. “Investor’s understanding” has been ranked as the most important aspect that needs improvement for the hedge fund industry. For current hedge fund investors, 43% have hedge fund investment which accounts for 15%-30% of their total assets. Seventy-two percent of current hedge fund investors are likely to increase allocation to hedge fund investment. Sixty-four percent of non hedge fund investors are likely to invest in hedge funds. This thesis comes to the conclusion that these factors are clearly variables that influence investor’s hedge fund investment decisions. Nevertheless, investors are advised to have thorough understanding of the characteristics specifically related to hedge funds when making investment decisions. It is hoped that the hedge fund industry and regulators would incorporate these aspects for hedge fund product design and marketing. This thesis proposes several aspects to the investors and hedge fund industry in Taiwan with suggestions.

Thesis (doctoral)--Universität, Freiburg, 2007. / Includes bibliographical references and index.

Master-Arbeit Univ. St. Gallen, 2007.

Hedge fund managers are characterised as either market timers or asset pickers . Their superior performance can be attributed to either timing skill, selection ability or a combination of both. In the existing literature, average hedge fund performance across the entire time span under investigation is usually investigated and measured, and hence, potentially certain subtle but important features exhibited in different time periods can be averaged out in the analysis. This thesis investigates the structural breaks in the selection ability and timing skill of hedge fund managers. This research issue is of particular importance when the hedge fund performance before, during and after the recent financial crisis is compared and contrasted. This thesis conducts a structural break analysis of hedge fund managers performance in relation to market-wide liquidity and liquidity commonality in the foreign exchange (FX) market. Liquidity commonality captures the co-movement of individual asset liquidities. The measure adopted in the existing literature has several limitations. This thesis proposes a new measure, termed the Beta Index, which is derived from the time-varying exposure of individual liquidities to market liquidity movements. It is shown that the developed Beta Index is more able to identify the level of liquidity commonality in the FX market. It is also more flexible in measuring commonality with different data sampling frequency. The obtained empirical results have some practical implications. They show that the selection skill and timing ability of hedge fund managers are subject to regime switches. Under severe market conditions, most hedge fund managers possess the skill to time FX market-wide liquidity and are able to reduce losses from the FX market by reducing their funds FX exposure prior to the FX market-wide liquidity deteriorations. In the meantime, most hedge fund managers are able to deliver excess returns from time to time due to their selection ability. However, when sudden shocks of crisis occur, they fail to forecast the unexpected behaviour in the price of individual assets underlying the funds and display unsuccessful selection ability. In addition, the results suggest that many hedge funds are exposed to the FX liquidity commonality risk which impairs hedging strategies and diversification performance.