To Evaluate the Performance and Risk of Hedge Fund
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 r...
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ndltd-TW-094CYUT53040512015-10-13T10:42:07Z http://ndltd.ncl.edu.tw/handle/85792266573276164828 To Evaluate the Performance and Risk of Hedge Fund 避險基金風險與績效評估 Po-ru Yeh 葉珀如 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. Jian-Fa Li 李見發 2006 學位論文 ; thesis 79 zh-TW |
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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.
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author2 |
Jian-Fa Li |
author_facet |
Jian-Fa Li Po-ru Yeh 葉珀如 |
author |
Po-ru Yeh 葉珀如 |
spellingShingle |
Po-ru Yeh 葉珀如 To Evaluate the Performance and Risk of Hedge Fund |
author_sort |
Po-ru Yeh |
title |
To Evaluate the Performance and Risk of Hedge Fund |
title_short |
To Evaluate the Performance and Risk of Hedge Fund |
title_full |
To Evaluate the Performance and Risk of Hedge Fund |
title_fullStr |
To Evaluate the Performance and Risk of Hedge Fund |
title_full_unstemmed |
To Evaluate the Performance and Risk of Hedge Fund |
title_sort |
to evaluate the performance and risk of hedge fund |
publishDate |
2006 |
url |
http://ndltd.ncl.edu.tw/handle/85792266573276164828 |
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