Abstract

http://ssrn.com/abstract=1008319
 
 

References (153)



 
 

Citations (4)



 


 



Ph.D Thesis: An Analysis of Hedge Fund Strategies


Daniel P.J. Capocci


HEC - Université de Liège; Luxembourg School of Finance; Edhec Risk and Management Research Center

August 2007


Abstract:     
This PhD thesis analyses hedge fund strategies in detail by decomposing hedge fund performance figures. Our aim is to present hedge funds, to understand what managers expect to do and to understand how they make or destroy value over time. In order to achieve this objective, we develop a multi-factor performance analysis model, use it over several time periods and improve it over time. This model aims to determine both whether hedge funds create pure alpha over time (alpha over classical markets) and whether there is persistence in hedge fund returns over time. Following this, I analyse another specific aspect of hedge funds, their neutrality relative to equity markets in order to validate hedge fund managers' claims that they are market neutral. Finally, we develop new efficient frontier measures, which not only include returns and volatility, but also skewness and kurtosis in order to determine whether hedge funds are really beneficial to investors.

Number of Pages in PDF File: 456

Keywords: hedge fund, performance, persistence, skewness, kurtosis, alpha, beta, hedge, market, market neutral

JEL Classification: G2, G11, G15

working papers series


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Date posted: September 18, 2007  

Suggested Citation

Capocci, Daniel P.J., Ph.D Thesis: An Analysis of Hedge Fund Strategies (August 2007). Available at SSRN: http://ssrn.com/abstract=1008319 or http://dx.doi.org/10.2139/ssrn.1008319

Contact Information

Daniel P.J. Capocci, PhD - CAIA (Contact Author)
HEC - Université de Liège ( email )
Bld du Rectorat 7 Bat. B31
Liege, 4000
Belgium
+32/87784221 (Phone)
+32/87787140 (Fax)
Luxembourg School of Finance ( email )
4 Rue Albert Borschette
Luxembourg, L-1246
Luxembourg
Edhec Risk and Management Research Center ( email )
58, rue du Port
59046 Lille Cedex
France
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