Master Thesis Online
is There Convergence or Divergence Between Alternative Ucit and Illiquid Hedge Funds?
Lejoly, David 
Promotor(s) :
Hübner, Georges
Date of defense : 1-Sep-2025/5-Sep-2025 • Permalink : http://hdl.handle.net/2268.2/24389
s223121LejolyDavid2025.pdfDetails
| Title : | is There Convergence or Divergence Between Alternative Ucit and Illiquid Hedge Funds? |
| Author : | Lejoly, David
|
| Date of defense : | 1-Sep-2025/5-Sep-2025 |
| Advisor(s) : | Hübner, Georges
|
| Committee's member(s) : | Crucil, Romain
|
| Language : | English |
| Number of pages : | 104 |
| Keywords : | [en] alternative UCITS [en] Hedge funds [en] Fung& Hsieh [en] Fama-French [en] financial crisis [en] divergence [en] convergence [en] illiquidity |
| Discipline(s) : | Business & economic sciences > Finance |
| Target public : | Researchers Professionals of domain Student General public |
| Institution(s) : | Université de Liège, Liège, Belgique |
| Degree: | Master en sciences de gestion, à finalité spécialisée en Banking and Asset Management |
| Faculty: | Master thesis of the HEC-Ecole de gestion de l'Université de Liège |
Abstract
[en] This thesis aims to provide a quantitative analysis of alternative UCITS and hedge funds over the period 2008 until 2024. The objective is to compare these funds using different approaches, including regressions based on the Fung & Hsieh and Fama-French models, as well as principal component analysis (PCA) and preliminary tests such as correlation and the Sharpe ratio. Particular attention is given to financial crises that occurred during the sample period, namely the 2008 financial crisis and the Covid-19 pandemic, in order to observe the behavior of these funds under stress. Finally, based on the results of these tests, the thesis provides an overview of the convergence or divergence between alternative UCITS and hedge funds in terms of performance, regulation, illiquidity, strategy, and resilience during crises.
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