Time series risk factors of hedge fund investment objectives
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...
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ndltd-oulo.fi-oai-oulu.fi-nbnfioulu-2013112119052018-06-19T05:08:44ZTime series risk factors of hedge fund investment objectivesNguyen, K. (Kim)info:eu-repo/semantics/openAccess© Kim Nguyen, 2013FinanceIn 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.University of Oulu2013-12-02info:eu-repo/semantics/masterThesisinfo:eu-repo/semantics/publishedVersionapplication/pdfhttp://urn.fi/URN:NBN:fi:oulu-201311211905urn:nbn:fi:oulu-201311211905eng |
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English |
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Dissertation |
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Finance |
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Finance Nguyen, K. (Kim) Time series risk factors of hedge fund investment objectives |
description |
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. |
author |
Nguyen, K. (Kim) |
author_facet |
Nguyen, K. (Kim) |
author_sort |
Nguyen, K. (Kim) |
title |
Time series risk factors of hedge fund investment objectives |
title_short |
Time series risk factors of hedge fund investment objectives |
title_full |
Time series risk factors of hedge fund investment objectives |
title_fullStr |
Time series risk factors of hedge fund investment objectives |
title_full_unstemmed |
Time series risk factors of hedge fund investment objectives |
title_sort |
time series risk factors of hedge fund investment objectives |
publisher |
University of Oulu |
publishDate |
2013 |
url |
http://urn.fi/URN:NBN:fi:oulu-201311211905 http://nbn-resolving.de/urn:nbn:fi:oulu-201311211905 |
work_keys_str_mv |
AT nguyenkkim timeseriesriskfactorsofhedgefundinvestmentobjectives |
_version_ |
1718697150594940928 |