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A quantitative analysis of Nordic hedge fund performance during changing market conditions

Zakharova, Nadja LU and Andersen, Olga (2011) NEKM03 20111
Department of Economics
Abstract (Swedish)
In this paper we investigate the performance of Nordic hedge funds in terms of their ability to earn abnormal returns during the period 2003-2011. We further test for the presence of short-term persistence during the period of disturbed market conditions. The single-index and four-factor models are used in order to estimate the traditional performance measures for individual funds as well as for portfolios of funds. The regression-based parametric approach is utilized to detect the presence of persistence. Our results suggest that Nordic hedge funds in general are able to “beat the market”, however the results are insignificant for the majority of funds and a much higher degree of statistical significance is found for portfolios of funds.... (More)
In this paper we investigate the performance of Nordic hedge funds in terms of their ability to earn abnormal returns during the period 2003-2011. We further test for the presence of short-term persistence during the period of disturbed market conditions. The single-index and four-factor models are used in order to estimate the traditional performance measures for individual funds as well as for portfolios of funds. The regression-based parametric approach is utilized to detect the presence of persistence. Our results suggest that Nordic hedge funds in general are able to “beat the market”, however the results are insignificant for the majority of funds and a much higher degree of statistical significance is found for portfolios of funds. We find no evidence of performance persistence through changing market conditions, though we confirm the presence of short-term persistence in the beginning of market downturn. (Less)
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author
Zakharova, Nadja LU and Andersen, Olga
supervisor
organization
course
NEKM03 20111
year
type
H1 - Master's Degree (One Year)
subject
keywords
abnormal return, multi-factor model, investment style, disturbed market conditions, performance persistence
language
English
id
1975229
date added to LUP
2011-06-15 12:29:02
date last changed
2011-06-15 12:29:02
@misc{1975229,
  abstract     = {In this paper we investigate the performance of Nordic hedge funds in terms of their ability to earn abnormal returns during the period 2003-2011. We further test for the presence of short-term persistence during the period of disturbed market conditions. The single-index and four-factor models are used in order to estimate the traditional performance measures for individual funds as well as for portfolios of funds. The regression-based parametric approach is utilized to detect the presence of persistence. Our results suggest that Nordic hedge funds in general are able to “beat the market”, however the results are insignificant for the majority of funds and a much higher degree of statistical significance is found for portfolios of funds. We find no evidence of performance persistence through changing market conditions, though we confirm the presence of short-term persistence in the beginning of market downturn.},
  author       = {Zakharova, Nadja and Andersen, Olga},
  keyword      = {abnormal return,multi-factor model,investment style,disturbed market conditions,performance persistence},
  language     = {eng},
  note         = {Student Paper},
  title        = {A quantitative analysis of Nordic hedge fund performance during changing market conditions},
  year         = {2011},
}