Feedback

HEC-Ecole de gestion de l'Université de Liège
HEC-Ecole de gestion de l'Université de Liège
MASTER THESIS
VIEW 247 | DOWNLOAD 1216

Manager skills of long/short equity hedge funds : the factor model dependency

Download
Claes, Maxime ULiège
Promotor(s) : Lambert, Marie ULiège
Date of defense : 19-Jun-2018/21-Jun-2018 • Permalink : http://hdl.handle.net/2268.2/4804
Details
Title : Manager skills of long/short equity hedge funds : the factor model dependency
Translated title : [fr] Compétences des gestionnaires de Long/Short Equity Hedge Funds : La dépendance à l'égard du modèle factoriel
Author : Claes, Maxime ULiège
Date of defense  : 19-Jun-2018/21-Jun-2018
Advisor(s) : Lambert, Marie ULiège
Committee's member(s) : Fays, Boris ULiège
Hübner, Georges ULiège
Language : English
Number of pages : 125
Keywords : [en] hedge funds
[en] performance
[en] risk/return
[en] bootstrap procedure
[en] false discoveries
[en] dynamic trading strategies
[en] multifactor model
[en] manager skills
[en] luck
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 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] Performance analysis of hedge funds has proven to be challenging in the past since these entities have the flexibility to choose between a wide variety of dynamic trading strategies without being compelled to report their holdings. That being said, using bootstrap procedures, some authors in the academic literature have succeeded in quantifying the proportion of funds which demonstrates persistent performance. Yet, these methodologies are based on an extensive range of multifactor models to estimate the performance of hedge funds. Four different models which seem particularly adapted to assess hedge fund returns will be replicated, with both buy-and-hold and optional factors incorporated. The research aims at demonstrating the potential bias and/or outperformance brought by some factor models used when defining hedge fund manager skills. Using robust bootstrap simulations, evidence was found that superior hedge fund performance cannot be explained by luck alone and that, regardless of the multifactor model used.


File(s)

Document(s)

File
Access s132030Claes.pdf
Description: Texte principal - CLAES Maxime
Size: 900.78 kB
Format: Adobe PDF

Annexe(s)

File
Access s132030Claes2018appendix.pdf
Description: Annexes - CLAES Maxime
Size: 497.37 kB
Format: Adobe PDF

Author

  • Claes, Maxime ULiège Université de Liège > Master ingé. gest., à fin.

Promotor(s)

Committee's member(s)

  • Total number of views 247
  • Total number of downloads 1216










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.