University of Oulu

Time series risk factors of hedge fund investment objectives

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Author: Nguyen, Kim1
Organizations: 1University of Oulu, Oulu Business School, Department of Finance, Finance
Format: ebook
Version: published version
Access: open
Online Access: PDF Full Text (PDF, 1.6 MB)
Persistent link: http://urn.fi/URN:NBN:fi:oulu-201311211905
Language: English
Published: Oulu : K. Nguyen, 2013
Publish Date: 2013-12-02
Physical Description: 68 p.
Thesis type: Master's thesis
Tutor: Joenväärä, Juha
Reviewer: Perttunen, Jukka
Joenväärä, Juha
Description:

Abstract

In this thesis, I find eight common time series risk factors among all hedge fund investment objectives, including: equity market factor, equity size spread factor, bond credit spread factor, emerging market factor, equity trend following factor, Fama-French value factor, time series momentum factor and currency risk factor. The selected statistical model constructed from the eight risk factors provides higher adjusted R squared and lower pricing errors than Fung-Hsieh model. In addition, I find that small hedge funds outperform large funds with alpha spread of 3.43 percent annually.

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Copyright information: © Kim Nguyen, 2013. This publication is copyrighted. You may download, display and print it for your own personal use. Commercial use is prohibited.