Advanced

Kvantitativt förvaltade hedgefonder - En jämförelse mellan kvantitativt och traditionellt förvaltade hedgefonder

Arnström, Peter LU and Hedlund, Erik (2010) NEKK01 20092
Department of Economics
Abstract
The purpose is to compare quantitatively managed funds with other hedge funds and the stock market to see if quant funds perform better than the other groups
Methodology: A quantitative methodology is used to collect and analyze historical data over the fund group’s performance. The data is then applied to commonly used measures of performance to conduct the study.
Theoretical perspectives: Theories relevant for the study is used to analyze the data for the comparison groups.
Empirical foundations: The empirical foundation of the study consists of quantitative findings based on the historical performance of the funds, such as Sharpe ratios and Lower Partial Moments.
Conclusions: Our study shows that quant funds as a group have... (More)
The purpose is to compare quantitatively managed funds with other hedge funds and the stock market to see if quant funds perform better than the other groups
Methodology: A quantitative methodology is used to collect and analyze historical data over the fund group’s performance. The data is then applied to commonly used measures of performance to conduct the study.
Theoretical perspectives: Theories relevant for the study is used to analyze the data for the comparison groups.
Empirical foundations: The empirical foundation of the study consists of quantitative findings based on the historical performance of the funds, such as Sharpe ratios and Lower Partial Moments.
Conclusions: Our study shows that quant funds as a group have performed worse than the hedge fund index but better than the stock market index. But worth noticing is that some of the quant funds have performed very well during the whole period (Less)
Please use this url to cite or link to this publication:
author
Arnström, Peter LU and Hedlund, Erik
supervisor
organization
course
NEKK01 20092
year
type
M2 - Bachelor Degree
subject
keywords
economic systems, economic theory, econometrics, Economics, Jensens Alpha, Treynor ration, Quantitative management, risk adjusted return, Hedge funds, Sharpe Ratio, economic policy, Nationalekonomi, ekonometri, ekonomisk teori, ekonomiska system, ekonomisk politik
language
Swedish
id
1848324
date added to LUP
2010-02-26 00:00:00
date last changed
2011-06-01 12:43:58
@misc{1848324,
  abstract     = {The purpose is to compare quantitatively managed funds with other hedge funds and the stock market to see if quant funds perform better than the other groups
Methodology: A quantitative methodology is used to collect and analyze historical data over the fund group’s performance. The data is then applied to commonly used measures of performance to conduct the study.
Theoretical perspectives: Theories relevant for the study is used to analyze the data for the comparison groups.
Empirical foundations: The empirical foundation of the study consists of quantitative findings based on the historical performance of the funds, such as Sharpe ratios and Lower Partial Moments.
Conclusions: Our study shows that quant funds as a group have performed worse than the hedge fund index but better than the stock market index. But worth noticing is that some of the quant funds have performed very well during the whole period},
  author       = {Arnström, Peter and Hedlund, Erik},
  keyword      = {economic systems,economic theory,econometrics,Economics,Jensens Alpha,Treynor ration,Quantitative management,risk adjusted return,Hedge funds,Sharpe Ratio,economic policy,Nationalekonomi,ekonometri,ekonomisk teori,ekonomiska system,ekonomisk politik},
  language     = {swe},
  note         = {Student Paper},
  title        = {Kvantitativt förvaltade hedgefonder - En jämförelse mellan kvantitativt och traditionellt förvaltade hedgefonder},
  year         = {2010},
}