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Hedge fund strategies : performance and persistence

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Vu Thanh Khoa Dien ULiège
Promotor(s) : Hübner, Georges ULiège
Date of defense : 3-Sep-2019/10-Sep-2019 • Permalink : http://hdl.handle.net/2268.2/7489
Details
Title : Hedge fund strategies : performance and persistence
Author : Vu Thanh Khoa Dien ULiège
Date of defense  : 3-Sep-2019/10-Sep-2019
Advisor(s) : Hübner, Georges ULiège
Committee's member(s) : Fays, Boris ULiège
Conlin, Andrew 
Language : English
Number of pages : 137
Keywords : [en] hedge fund strategy
[en] performance
[en] persistence
Discipline(s) : Business & economic sciences > Finance
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] We explore a large data sample from January 1994 to December 2016 of four supreme
hedge funds strategies: Equity, Event Driven, Macro, and Relative Value. In both the Fung and Hsieh seven-factor model (2004) and a ten-factor model which is intended to correct serial correlation bias, equal weighting shows that the strategic performance ranking is Event Driven, Relative Value, Macro, and Equity; yet, it is Macro, Event Driven, Relative Value, and Equity concerning value-weighted returns. A broad interpretation is that the most constant holding is quarterly for Event Driven and semi-annual for three remainders, however, there are considerable changes of other holdings in different estimation procedures.


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Author

  • Vu Thanh Khoa Dien ULiège Université de Liège > Master sc. gest., à fin.

Promotor(s)

Committee's member(s)

  • Fays, Boris ULiège Université de Liège - ULiège > HEC Liège : UER > Analyse financière et finance d'entreprise
    ORBi View his publications on ORBi
  • Conlin, Andrew
  • Total number of views 32
  • Total number of downloads 11










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