Performance of funds of hedge funds
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Performance of funds of hedge funds
iPerformance of Funds of Hedge FundsbyHung Duong Old Dominion UniversityA Dissertation Submitted to the Faculty of Old Dominion University ill Partial Performance of funds of hedge funds l Fulfillment of the Requirement for the Degree ofDOCTOR OF PHILOSOPHYFINANCEOLD DOMINION UNIVERSITY39479Approved by:Kenneth Yung (Chau)Mohammad NajandDavid SeloverJot Yau11ABSTRACTPerformance of Funds of Hedge FundsHung Duong Old Dominion University. 2008 Director: Keiuieth YungThe studies of hedge Performance of funds of hedge funds fluid performance are hindered by the lack of quality returns data and the complicated nature of hedge fund returns. This study contributes to the liPerformance of funds of hedge funds
terature in tluee ways. Fust, I reinvestigate the performance of hedge funds from different aspects. Second. I develop a new framework to evaluate fluiPerformance of Funds of Hedge FundsbyHung Duong Old Dominion UniversityA Dissertation Submitted to the Faculty of Old Dominion University ill Partial Performance of funds of hedge funds st study. I find that the annual survivorship and backfilled biases for funds of hedge funds are 0.66% and 0.21%. respectively, during the period 1994-2004. I confirm that hedge fluids' monthly returns tend to have low standard deviations, negative skewness and high kiulosis. Hedge funds often luide Performance of funds of hedge funds rperfonn the equity market 111 terms of absolute returns, but outperform the equity market in terms of traditional performance measures like the JensePerformance of funds of hedge funds
n alpha. Treynor, and Sharpe ratios However, when accounting for downside risks, the Omega and Sortino ratios both indicate that the performance of heiPerformance of Funds of Hedge FundsbyHung Duong Old Dominion UniversityA Dissertation Submitted to the Faculty of Old Dominion University ill Partial Performance of funds of hedge funds identified by Fama and French (1993). and Fung and Hsieh (2004). The subperiod analysis indicates that hedge fluids tend to lurderperfonn the equity market during a bullish stock market, but outperform the equity market during a bearish stock market. I also find some evidence of stale price when ret Performance of funds of hedge funds urns are measured monthly, quarterly or semiannually. However, it appears that the stale price does not affect the performance rankings.In the secondPerformance of funds of hedge funds
study. I am able to replicate funds of funds returns by using hedge fluid strategy indices. I find that frmd of hedge fluids managers have neither theiPerformance of Funds of Hedge FundsbyHung Duong Old Dominion UniversityA Dissertation Submitted to the Faculty of Old Dominion University ill Partial Performance of funds of hedge funds g evidence of performance persistence when returns are measured monthly, quarterly or semiannually. The evidence of persistence is substantially weakened when returns are measured annually. The quintile analysis indicates that the wnuiers based on the past alpha tend to liave the highest return whil Performance of funds of hedge funds e the losers based on the past Sortino ratio have the lowest return.111ACKNOWLEDGEMENTI would like to thank my advisor. Dr. Kenneth Yung, who encouragPerformance of funds of hedge funds
ed me to write on this topic, prov idcd me guidance and support during die work on the dissertation. 1 am particularly thanktill for his understandingiPerformance of Funds of Hedge FundsbyHung Duong Old Dominion UniversityA Dissertation Submitted to the Faculty of Old Dominion University ill Partial Performance of funds of hedge funds ovided me with valuable comments and advice that helped make diis dissertation possible. However, all eirors imd omissions remain my own responsibility.I am blessed with the love and support from my parents and my wife. Their support and encouragement have urged me on. I dedicate this dissertation t Performance of funds of hedge funds o my daughter, Anil Minh Duong, who will have plenty of time to study InvestmentIVTABLE OF CONTENTSLIST OF TABLES.....................................Performance of funds of hedge funds
.........................viLIST OF FIGURES............................................................viiCHAPTER 1: Motivation........................iPerformance of Funds of Hedge FundsbyHung Duong Old Dominion UniversityA Dissertation Submitted to the Faculty of Old Dominion University ill Partial Performance of funds of hedge funds ................................62.2Fee structure.......................................................72.3Classifications and Funds of Hedge Fluids...........................8 Performance of funds of hedge funds iPerformance of Funds of Hedge FundsbyHung Duong Old Dominion UniversityA Dissertation Submitted to the Faculty of Old Dominion University ill PartialGọi ngay
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