Ph.D Thesis: An Analysis of Hedge Fund Strategies

456 Pages Posted: 18 Sep 2007

See all articles by Daniel P.J. Capocci

Daniel P.J. Capocci

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

Date Written: August 2007


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.

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

JEL Classification: G2, G11, G15

Suggested Citation

Capocci, PhD - CAIA, Daniel P.J. and Capocci, PhD - CAIA, Daniel P.J., Ph.D Thesis: An Analysis of Hedge Fund Strategies (August 2007). Available at SSRN: or

Daniel P.J. Capocci, PhD - CAIA (Contact Author)

HEC - Université de Liège ( email )

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