Master Thesis Online
Are Hedge Funds Truly Delivering Significant Excess Returns? Characteristics of Over and Underperforming Funds
Grandry, Cyril 
Promotor(s) :
Hübner, Philippe
Date of defense : 18-Jun-2024/25-Jun-2024 • Permalink : http://hdl.handle.net/2268.2/19807
s182362Grandry2024.pdfDetails
| Title : | Are Hedge Funds Truly Delivering Significant Excess Returns? Characteristics of Over and Underperforming Funds |
| Author : | Grandry, Cyril
|
| Date of defense : | 18-Jun-2024/25-Jun-2024 |
| Advisor(s) : | Hübner, Philippe
|
| Committee's member(s) : | Weyders, Pierre-François
|
| Language : | English |
| Keywords : | [en] Hedge Funds [en] Alpha [en] Performance [en] B-H procedure [en] Wild-Bootstrap [en] Returns [en] Strategies |
| Discipline(s) : | Business & economic sciences > Finance |
| Target public : | Researchers Professionals of domain Student |
| Institution(s) : | Université de Liège, Liège, Belgique |
| Degree: | Master en ingénieur de gestion, à finalité spécialisée en Financial Engineering |
| Faculty: | Master thesis of the HEC-Ecole de gestion de l'Université de Liège |
Abstract
[en] When evaluating the performance of hedge funds, we must address missing returns, latent factors and false discoveries. Using the framework introduced by Giglio et al. (Thousands of Alpha Tests, 2020), we estimated alpha for thousands of funds over a 26-year period with the intent to answer the following question: are hedge funds truly delivering significant excess returns? The second part investigates the profile of these over and underperforming funds.
File(s)
Document(s)
Cite this master thesis
All documents available on MatheO are protected by copyright and subject to the usual rules for fair use.
The University of Liège does not guarantee the scientific quality of these students' works or the accuracy of all the information they contain.
The University of Liège does not guarantee the scientific quality of these students' works or the accuracy of all the information they contain.