On the Driving Factor of Hedge Funds Performance—R-Squareds, Systematic Risk or Active Risk
碩士 === 國立成功大學 === 財務金融研究所 === 104 === The main purpose of this thesis is to explore whether hedge fund managers who increase exposure to active risk or exposure to systematic risk can generate superior performance. Our results indicate that funds with low systematic risk outperform, on average, fund...
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ndltd-TW-104NCKU53040552019-05-15T22:54:09Z http://ndltd.ncl.edu.tw/handle/6522dj On the Driving Factor of Hedge Funds Performance—R-Squareds, Systematic Risk or Active Risk 探討影響避險基金績效因子—R-squareds、系統性風險或主動式風險? Wei-RenLai 賴惟仁 碩士 國立成功大學 財務金融研究所 104 The main purpose of this thesis is to explore whether hedge fund managers who increase exposure to active risk or exposure to systematic risk can generate superior performance. Our results indicate that funds with low systematic risk outperform, on average, funds with high systematic risk. We also follow Titman and Tiu (2011) and use R-squared to identify talented hedge fund managers. Our results indicate that hedge funds with lower R-squared values can generate abnormal returns. Finally, we compare active risk, systematic risk and R-squared in order to identify which is the better hedge fund performance measure. Our results indicate that R-squared is a better future performance measure of hedge funds than either active risk or systematic risk. Moreover, our out-of-sample results also show that funds with lower past R-squared values or lower past systematic risk have better risk-adjusted performance. In other words, hedge fund managers who really have a special talent to generate abnormal returns from the active component of their portfolio will tend to maintain the systematic risk to total risk ratio at a low level (i.e., a low R-squared) and simultaneously control low level of systematic risk exposure. Meng-Feng Yen 顏盟峯 2016 學位論文 ; thesis 83 en_US |
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碩士 === 國立成功大學 === 財務金融研究所 === 104 === The main purpose of this thesis is to explore whether hedge fund managers who increase exposure to active risk or exposure to systematic risk can generate superior performance. Our results indicate that funds with low systematic risk outperform, on average, funds with high systematic risk. We also follow Titman and Tiu (2011) and use R-squared to identify talented hedge fund managers. Our results indicate that hedge funds with lower R-squared values can generate abnormal returns. Finally, we compare active risk, systematic risk and R-squared in order to identify which is the better hedge fund performance measure. Our results indicate that R-squared is a better future performance measure of hedge funds than either active risk or systematic risk. Moreover, our out-of-sample results also show that funds with lower past R-squared values or lower past systematic risk have better risk-adjusted performance. In other words, hedge fund managers who really have a special talent to generate abnormal returns from the active component of their portfolio will tend to maintain the systematic risk to total risk ratio at a low level (i.e., a low R-squared) and simultaneously control low level of systematic risk exposure.
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Meng-Feng Yen |
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Meng-Feng Yen Wei-RenLai 賴惟仁 |
author |
Wei-RenLai 賴惟仁 |
spellingShingle |
Wei-RenLai 賴惟仁 On the Driving Factor of Hedge Funds Performance—R-Squareds, Systematic Risk or Active Risk |
author_sort |
Wei-RenLai |
title |
On the Driving Factor of Hedge Funds Performance—R-Squareds, Systematic Risk or Active Risk |
title_short |
On the Driving Factor of Hedge Funds Performance—R-Squareds, Systematic Risk or Active Risk |
title_full |
On the Driving Factor of Hedge Funds Performance—R-Squareds, Systematic Risk or Active Risk |
title_fullStr |
On the Driving Factor of Hedge Funds Performance—R-Squareds, Systematic Risk or Active Risk |
title_full_unstemmed |
On the Driving Factor of Hedge Funds Performance—R-Squareds, Systematic Risk or Active Risk |
title_sort |
on the driving factor of hedge funds performance—r-squareds, systematic risk or active risk |
publishDate |
2016 |
url |
http://ndltd.ncl.edu.tw/handle/6522dj |
work_keys_str_mv |
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