To Evaluate the Performance and Risk of Hedge Fund

• Main Authors: Po-ru Yeh, 葉珀如
• Other Authors: Jian-Fa Li
• Format: Others
• Language: zh-TW
• Published: 2006
• Online Access: http://ndltd.ncl.edu.tw/handle/85792266573276164828

碩士 === 朝陽科技大學 === 財務金融系碩士班 === 94 === Hedge fund has played a key role in international financial market. The hedge fund manager is blamed during in Asian Crisis. When hedge fund was popular, LTCM event broke investors’ dreams. The hedge fund manager pronounces “absolute return”, and asks for high return along with low risk. Is the performance of hedge fund really good? We focus on the market-timing ability and performance consistency on hedge fund performance. In general, the investor measure funds return with Sharpe ratio, but hedge fund return ordinarily belongs to the non- normal distribution, Dowd (1999) suggest VaR to evaluate true risk. We investigate hedge fund performance consistency between earlier and later stage and hedge fund manager is appropriate for the quota.