Naslov
Multi strategy hedge funds performance analysis during the bear and the bull market

Autori
Pruchnicka-Grabias ; Izabela

Vrsta, podvrsta i kategorija rada
Radovi u zbornicima skupova, cjeloviti rad (in extenso), znanstveni

Izvornik
New Dimensions in the Development of Society 2009 / - Jelgava : Latvia University of Agriculture, Faculty of Social Sciences, 2009, 1-9

ISBN
978-9984-48-005-3

Skup
New Dimensions in the Development of Society 2009

Mjesto i datum
Jelgava, Latvija, 02.10.2009. - 03.10.2009

Vrsta sudjelovanja
Predavanje

Vrsta recenzije
Međunarodna recenzija

Ključne riječi
hedge funds; bull and bear market; investment strategies

Sažetak
The research presented in the paper was done on the basis of 20 Multi-Strategy hedge funds. They were chosen at random from the data base prepared by BarclayHedge and Global Fund Technologies that comprises about 2000 hedge funds applying different investment strategies. It is a part of wider research done by the author for over 200 hedge funds, dividing them into groups according to the strategies applied by them. The aim of the research is to measure the investment results of hedge funds in 2007 and 2008 that is during the bull and the bear market. It was the S&P500 index to be used as a benchmark. It was shown that the majority of institutions whose aim is to generate absolute rates of return, and what refers to it, generating better rates of return than traditional investments irrespective of the market situation, thus also during the bear market, broke this rule. The research shows that hedge funds in fact are not absolute return investments. Such measures were taken into consideration as: rates of return, risk measured by standard deviation, risk measured by beta, the level of alpha, the correlation of the examined funds with traditional assets and the Sharpe ratio. As far as the range of the examined period is concerned, data from January 2007 until November 2008 were taken into consideration, which let examine the results of hedge funds both during favorable market conditions and during the bear market on global financial markets. In the first part of the paper the author gives the detailed characteristics of investment strategies used by the examined hedge funds.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

Napomena
Dr.sc. Izabela Pruchnicka-Grabias izvanredna je profesorica Warsaw School of Economics (Poljska) i vanjska je suradnica na projektu.

POVEZANOST RADA