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A Comparison Between Different Hedge Fund Strategies in the Recent Financial Crisis

In this thesis we will observe the behaviour of the market of hedge funds during recent financial crisis across an analysis of the different strategies that could be put in practice from the agents. For this purpose we will calculate some of the most important risk and performance measures for the strategies aforementioned (also comparing them with S&P 500 trend) providing, in this way, a complete overview of different hedge funds market developments. Finally, we will integrate our conclusions with some important opinions that will try to explain these behaviours.

Mostra/Nascondi contenuto.
1. Introduction In this thesis we will observe the behaviour of the different hedge fund strategies during the recent financial crisis. For this purpose we will calculate some of the most important risk and performance measures like standard deviation, monthly and yearly returns, in addition to skewness and kurtosis that give us some important information about the distribution of monthly returns. Moreover we will also analyze the Global Hedge Fund Index (HFRXGL) in such a way to make a comparison between the single strategy and the general behaviour of the hedge fund market. At last, we will calculate the correlations between each different strategies, including the HFRXGL, and S&P 500, the most representative US market. In particular, for our analysis, we will consider the period starting from 2005 to the half of current year, 2009, exactly until the month of June. More precisely, being the index values of various hedge funds taken monthly, the date indicated in Excel file is the last working day of the month, and not the last day of the same month, in accordance with S&P 500 index daily quotation. 2. What is a hedge fund? The first simple question we have to answer before proceeding in our investigation is the following: what is a hedge fund? In the following paragraphs we will try to answer to this preliminary, but essential, question. 2.1 A general overview A hedge fund is an investment fund open to a limited range of investors that is permitted by regulators to undertake a wider range of investment and trading activities than other investment funds and pays a performance fee to its investment manager. Each fund has its own strategy which determines the types of investment and the methods of investment it undertakes. Due to their private nature, hedge funds have less restrictions on the use of leverage, - 3 -

Laurea liv.I

Facoltà: Economia

Autore: Simone Petrillo Contatta »

Composta da 36 pagine.

 

Questa tesi ha raggiunto 1478 click dal 19/03/2010.

 

Consultata integralmente una volta.

Disponibile in PDF, la consultazione è esclusivamente in formato digitale.