Hedgefonders strategier och prestationer i ekonomisk recession och tillväxt
(2014) NEKH01 20132Department 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)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/4275952
- author
- Kotte, Rickard LU and Ellerstrand Törnwall, Kristofer LU
- supervisor
-
- Erik Norrman LU
- organization
- course
- NEKH01 20132
- year
- 2014
- 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}}, }