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.

This research evaluates whether the persistence of mutual fund performance is related to the momentum effect of stock returns. Empirical results reveal that, regardless of which time horizon we analyze, the positive performance of mutual funds tends to persist. The persistence of mutual fund performance, however, is not related to the momentum effect, which is measured by the momentum variable, either PR0.5YR or PR1YR. We conclude that the momentum effect of stock returns does not account for the persistence of mutual fund performance.

Interest for Mutual funds has been enormous in Sweden and since 1970 has savings increased from 300 million SEK to about 900 billion SEK. An important reason for this increasing is the strong development of the stock markets has got and, the impairment of the public pension and the increasing of necessity of the private saving.

Hedge fund performance is modeled from publically available data using feed-forward neural networks trained using a resilient backpropagation algorithm. The neural network’s performance is then compared with linear regression models. Additionally, a stepwise factor regression approach is introduced to reduce the number of inputs supplied to the models in order to increase precision. Three main conclusions are drawn: (1) neural networks effectively model hedge fund returns, illustrating the strong non-linear relationships between the economic risk factors and hedge fund performance, (2) while the group of 25risk factors we draw variables from are used to explain hedge fund performance, the best model performance is achieved using different subsets of the 25 risk factors, and, (3) out-of-sample model performance degrades across the time during the recent (and still on-going) financial crisis compared to less volatile time periods, indicating the models’ inability to predict severely volatile economic scenarios such as economic crises.

Hedge fund performance is modeled from publically available data using feed-forward neural networks trained using a resilient backpropagation algorithm. The neural network’s performance is then compared with linear regression models. Additionally, a stepwise factor regression approach is introduced to reduce the number of inputs supplied to the models in order to increase precision. Three main conclusions are drawn: (1) neural networks effectively model hedge fund returns, illustrating the strong non-linear relationships between the economic risk factors and hedge fund performance, (2) while the group of 25risk factors we draw variables from are used to explain hedge fund performance, the best model performance is achieved using different subsets of the 25 risk factors, and, (3) out-of-sample model performance degrades across the time during the recent (and still on-going) financial crisis compared to less volatile time periods, indicating the models’ inability to predict severely volatile economic scenarios such as economic crises.

The objective of this study is to evaluate the relationship between the corporate governance of investor trust companies in Taiwan and the performance of their mutual funds. Consider the feasibility of data collection, the data from the mother company of those investor trusts which are listed or publicly-held companies have been used instead in this study. There are 17 companies and 334 mutual funds in total. For the corporate governance indicators, the constituent of the corporate boards, the common stock holdings, and the level of information transparency are measured as the independent variable. For the performance of mutual funds, the return of mutual funds, the Jensen Performance Index, the excess return of Fama and French¡¦s Three Factor Model, the excess return of Carhart¡¦s Four Factor Model, and the excess return under those models¡¦ with timing factor are measured as the dependent variables. The market value of the companies and the timing of financial crisis are measured as the control variables. The statistics and the regression are applied to evaluate the relationship among them. The results are as follows: 1.After the financial crisis, the return of mutual funds has significantly decreased. 2.The scale of the corporate boards, and the sock-holding percentage of major shareholders have significantly lower down the performance of mutual funds. These results support Jensen (1993)¡¦s and Salman (1993)¡¥s researches because the more of the directors and the higher of the stock-holding percentage of major shareholders, the more difficult to have agreements for the company to follow. The reason why it is different from the concept that the sock-holding percentage of major shareholders has significantly increased the performance of the company could be the index this research measured is the performance of the company¡¦s products, mutual funds, not the performance of the companies. 3.The rate of outside independent directors, the stock-holding percentage of executive, the stock-holding percentage of corporate directors, and the rank of information transparency have significantly increased the performance of mutual funds.

<p>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.</p><p>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.</p><p>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.</p><p>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.</p><p>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.</p> / <p>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.</p><p>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.</p><p>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.</p><p>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.</p><p>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.</p>

Thesis (Ph. D.)--University of Hong Kong, 2001. / Includes bibliographical references (leaves 394-433).