Kvantitativt förvaltade hedgefonder - En jämförelse mellan kvantitativt och traditionellt förvaltade hedgefonder
(2010) NEKK01 20092Department 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:
http://lup.lub.lu.se/student-papers/record/1848324
- author
- Arnström, Peter LU and Hedlund, Erik
- supervisor
- organization
- course
- NEKK01 20092
- year
- 2010
- 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}}, language = {{swe}}, note = {{Student Paper}}, title = {{Kvantitativt förvaltade hedgefonder - En jämförelse mellan kvantitativt och traditionellt förvaltade hedgefonder}}, year = {{2010}}, }