Was treibt die Renditen von Hedgefonds? Eine empirische Untersuchung ausgewählter Hedgefonds Strategien (What Drives Hedge Fund Returns? An Empirical Investigation Of Selected Hedge Fund Strategies)

Schriftenreihe des Instituts für Empirie & Statistik der FOM Hochschule Bd. 23, 2021

39 Pages Posted: 24 Feb 2021

See all articles by Frank Lehrbass

Frank Lehrbass

L*PARC (Lehrbass Predicitive Analytics and Risk Consulting); FOM University of Applied Sciences for Economics and Management; University of the Bundesbank

Fabian Woerndl

Independent

Date Written: January 19, 2021

Abstract

German Abstract:Nach einer kurzen Übersicht über ausgewählte Hedge Fond Strategien untersuchen wir ökonometrisch, wie bestimmte, publizierte Marktrisikofaktoren die Rendite von ausgewählten Hedge Fond Strategien beeinflussen. Die Modelle erreichen fast alle R² oberhalb 40%.

English Abstract:After a short overview on hedge fund strategies we analyze which market risk factors drive hedge fund returns per strategy. The models' explanatory power as measured by R² is above 40 percent in nearly all cases.

Note: Downloadable document is in German.

Keywords: Hedge fund alpha, hedge fund beta, hedge fund performance

JEL Classification: G11, G14

Suggested Citation

Lehrbass, Frank and Lehrbass, Frank and Woerndl, Fabian, Was treibt die Renditen von Hedgefonds? Eine empirische Untersuchung ausgewählter Hedgefonds Strategien (What Drives Hedge Fund Returns? An Empirical Investigation Of Selected Hedge Fund Strategies) (January 19, 2021). Schriftenreihe des Instituts für Empirie & Statistik der FOM Hochschule Bd. 23, 2021, Available at SSRN: https://ssrn.com/abstract=3769240

Frank Lehrbass (Contact Author)

L*PARC (Lehrbass Predicitive Analytics and Risk Consulting) ( email )

Dusseldorf
Germany

HOME PAGE: http://lehrbass.de

FOM University of Applied Sciences for Economics and Management ( email )

Toulouser Allee 53
Dusseldorf, 40476
Germany

University of the Bundesbank ( email )

Schloss
Hachenburg, 57627
Germany

Fabian Woerndl

Independent ( email )

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