Modern investment strategies of hedge funds
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Keywords
Στρατηγικές των hedge funds ; Αντιστάθμιση κινδύνου ; Macro ; Δείκτης Sharpe ; Δείκτης Sortino ; Event DrivenAbstract
The scope of this dissertation is to prepare a thorough analysis of the hedge funds industry in order to examine the size and the performance of the market. This analysis was conducted by both a literature review and an empirical analysis of publicly available data and more specifically from Hedge Funds Research database. Examination of the hedge fund industry was conducted by calculating Sharpe Ratio, Sortino Ratio, Value at Risk as well as by applying a linear regression using the Jensen model.
Our conclusions indicate that the aggregate performance of hedge funds within the period of 2010-2021 presented a notable decline, a fact which was observed in both literature review and the empirical analysis. The dissertation is divided into five chapters for better understanding. Initially, Chapter 1 is an introductory to the Hedge Funds, its characteristics, and their limitations as an asset class. Chapter 2 provides a thorough description of each hedge fund strategy. Chapter 3 indicates a literature review among the size and performance of hedge funds. Next comes Chapter 4 which presents the empirical analysis applied in order to determine the performance of hedge funds. Finally, Chapter 5 concludes the thesis and presents the main outcomes as well as its limitations and the suggestions for possible future research.
Postgraduate Studies Programme
Χρηματοοικονομική και Τραπεζική με ειδίκευση στις Χρηματοδοτήσεις και Επενδύσεις - Finance and InvestmentsDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Χρηματοοικονομικής και Τραπεζικής ΔιοικητικήςNumber of pages
75Language
English
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Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ελλάδα
Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ελλάδα