Naslov
Convertible arbitrage hedge funds investment results in the bear and the bull market – a comparative study

Autori
Pruchnicka-Grabias, Izabela

Izvornik
Pravni vjesnik (0352-5317) 25 (2009), 2; 43-60

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
hedge funds; convertible arbitrage strategies; bull and bear market

Sažetak
The research presented in the paper was done on the basis of 20 hedge funds that use convertible arbitrage strategies. 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. 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. Being determined by data availability, data from January 2007 until November 2008 were taken into consideration. It 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 na Warsaw School of Economics (Poljska) i vanjska je suradnica na projektu.

POVEZANOST RADA