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
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
Date posted: September 18, 2007
© 2016 Social Science Electronic Publishing, Inc. All Rights Reserved.
This page was processed by apollobot1 in 2.125 seconds