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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.
Date02 December 2013
CreatorsNguyen, K. (Kim)
PublisherUniversity of Oulu
Source SetsUniversity of Oulu
Detected LanguageEnglish
Typeinfo:eu-repo/semantics/masterThesis, info:eu-repo/semantics/publishedVersion
Rightsinfo:eu-repo/semantics/openAccess, © Kim Nguyen, 2013

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