Performance of Hedge Funds: Evidence from Finnish Stock Market
Barck, Mikko (2005)
Kuvaus
Kokotekstiversiota ei ole saatavissa.
Tiivistelmä
Hedge funds are considered to be able to produce superior returns and to be very risky investment vehicles. This thesis aims to investigate whether Finnish hedge funds have been able to produce absolute positive returns regardless of the fluctuations in the market and in addition, have they been able to outperform the risk-free rate and market index. The data consists of all Finnish hedge funds since inception until the end of April 2004, achievable from University of Vaasa’s Mutual Fund database and is weekly logarithmic returns.
The methodology in this thesis consists mainly of regression analysis, since it provides the statistics, which provides information such as Jensen’s alpha, beta and correlation. T-test is used to in evaluating the statistical significance of the results. In excess risk-adjusted measures are calculated in order to assess the return and risk relationship. Skewness and kurtosis are calculated due to their effects on the overall portfolio, and correlation, since hedge funds are not considered to move along the market.
Finnish hedge funds as a whole have not been able to constantly beat the risk-free return nor the market index, but some individual hedge funds have been producing positive returns every year. Since hedge funds are a rather new investment fund class in Finland and hence the time period relatively short, too strict conclusions cannot be made about their capability to create positive absolute returns.
The methodology in this thesis consists mainly of regression analysis, since it provides the statistics, which provides information such as Jensen’s alpha, beta and correlation. T-test is used to in evaluating the statistical significance of the results. In excess risk-adjusted measures are calculated in order to assess the return and risk relationship. Skewness and kurtosis are calculated due to their effects on the overall portfolio, and correlation, since hedge funds are not considered to move along the market.
Finnish hedge funds as a whole have not been able to constantly beat the risk-free return nor the market index, but some individual hedge funds have been producing positive returns every year. Since hedge funds are a rather new investment fund class in Finland and hence the time period relatively short, too strict conclusions cannot be made about their capability to create positive absolute returns.