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Time series risk factors of hedge fund investment objectives

In this thesis, I find eight common time series risk factors among all hedge fund investment objectives, including: equity market factor, equity size spread factor, bond credit spread factor, emerging market factor, equity trend following factor, Fama-French value factor, time series momentum factor and currency risk factor. The selected statistical model constructed from the eight risk factors provides higher adjusted R squared and lower pricing errors than Fung-Hsieh model. In addition, I find that small hedge funds outperform large funds with alpha spread of 3.43 percent annually.

Identiferoai:union.ndltd.org:oulo.fi/oai:oulu.fi:nbnfioulu-201311211905
Date02 December 2013
CreatorsNguyen, K. (Kim)
PublisherUniversity of Oulu
Source SetsUniversity of Oulu
LanguageEnglish
Detected LanguageEnglish
Typeinfo:eu-repo/semantics/masterThesis, info:eu-repo/semantics/publishedVersion
Formatapplication/pdf
Rightsinfo:eu-repo/semantics/openAccess, © Kim Nguyen, 2013

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