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Hedgefonders strategier och prestationer i ekonomisk recession och tillväxt

Kotte, Rickard LU and Ellerstrand Törnwall, Kristofer LU (2014) NEKH01 20132
Department of Economics
Abstract
Purpose:
The purpose of this thesis is to analyze statistical- and financial measuers of hedgefund categories between 2008-2013 to see if there is a significant difference in performance between two period (recession and economic growth). The models will also analyze which category performs the best in each economical period.
Method:
The thesis is built using mainly a quantitative method, by collecting data from hedgeco.net and analyzing this data by using statistical- and financial methods. The different categories were first examined using a regression analysis with a dummy variable to see if the return varied in the two different time periods. To further analyze the data, different statistical- and financial ratios and methods were... (More)
Purpose:
The purpose of this thesis is to analyze statistical- and financial measuers of hedgefund categories between 2008-2013 to see if there is a significant difference in performance between two period (recession and economic growth). The models will also analyze which category performs the best in each economical period.
Method:
The thesis is built using mainly a quantitative method, by collecting data from hedgeco.net and analyzing this data by using statistical- and financial methods. The different categories were first examined using a regression analysis with a dummy variable to see if the return varied in the two different time periods. To further analyze the data, different statistical- and financial ratios and methods were used and then compared all categories to each other to find the best performing one in both recession and economical growth.
Conclusions:
The conclusions of the thesis are that there is no significant difference in return in either of the categories in recession and economical growth, except for the Market Neutral category, according to the regression analysis. The different ratios vary for all categories in the different time periods, however there are categories that perform better in economical growth than others. The Market Neutral category performs significantly better than the other categories in recession due to its defensive strategy. Categories such as Long Only, Long Short and Fixed Income perform the best in economical growth due to its active strategy, which results in a bigger rise in return in a growing market index. (Less)
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author
Kotte, Rickard LU and Ellerstrand Törnwall, Kristofer LU
supervisor
organization
course
NEKH01 20132
year
type
M2 - Bachelor Degree
subject
keywords
hedgefunds, performance, categories, recession, economic growth
language
Swedish
id
4275952
date added to LUP
2014-02-11 14:01:25
date last changed
2014-02-11 14:01:25
@misc{4275952,
  abstract     = {{Purpose: 
The purpose of this thesis is to analyze statistical- and financial measuers of hedgefund categories between 2008-2013 to see if there is a significant difference in performance between two period (recession and economic growth). The models will also analyze which category performs the best in each economical period.
Method: 
The thesis is built using mainly a quantitative method, by collecting data from hedgeco.net and analyzing this data by using statistical- and financial methods. The different categories were first examined using a regression analysis with a dummy variable to see if the return varied in the two different time periods. To further analyze the data, different statistical- and financial ratios and methods were used and then compared all categories to each other to find the best performing one in both recession and economical growth.
Conclusions: 
The conclusions of the thesis are that there is no significant difference in return in either of the categories in recession and economical growth, except for the Market Neutral category, according to the regression analysis. The different ratios vary for all categories in the different time periods, however there are categories that perform better in economical growth than others. The Market Neutral category performs significantly better than the other categories in recession due to its defensive strategy. Categories such as Long Only, Long Short and Fixed Income perform the best in economical growth due to its active strategy, which results in a bigger rise in return in a growing market index.}},
  author       = {{Kotte, Rickard and Ellerstrand Törnwall, Kristofer}},
  language     = {{swe}},
  note         = {{Student Paper}},
  title        = {{Hedgefonders strategier och prestationer i ekonomisk recession och tillväxt}},
  year         = {{2014}},
}