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Investment strategies and their performance - Do Hedge and Quant funds, as well as funds using Fundamental analysis, have different risk adjusted returns - and can any of them beat the market?

Larsson, Bobby LU (2014) NEKH01 20132
Department of Economics
Abstract
This thesis investigates the performance of Hedge and Quant funds, as well as funds with a
Fundamental approach (here called Value funds). The funds are also compared with a world
index. Weekly data over a two year period (2011-2013), from about 25 funds out of every
class, is used. The results show no statistical difference between Quant and Value funds,
while Hedge funds have a lower risk adjusted return. Also, equally weighted portfolios, of all
the funds using a certain investment strategy, was constructed in order to compare with a
world index. Here the results show no statistical difference between the portfolios themselves,
or the portfolios and the index, supporting the Efficient Market Hypothesis, that markets are
... (More)
This thesis investigates the performance of Hedge and Quant funds, as well as funds with a
Fundamental approach (here called Value funds). The funds are also compared with a world
index. Weekly data over a two year period (2011-2013), from about 25 funds out of every
class, is used. The results show no statistical difference between Quant and Value funds,
while Hedge funds have a lower risk adjusted return. Also, equally weighted portfolios, of all
the funds using a certain investment strategy, was constructed in order to compare with a
world index. Here the results show no statistical difference between the portfolios themselves,
or the portfolios and the index, supporting the Efficient Market Hypothesis, that markets are
efficient. However, the samples are small and the method of picking the samples is somewhat
subjective, making the risk of sample error bigger. But on the other hand: my results are in
line with earlier research, making my findings more plausible. (Less)
Please use this url to cite or link to this publication:
author
Larsson, Bobby LU
supervisor
organization
course
NEKH01 20132
year
type
M2 - Bachelor Degree
subject
keywords
Hedge fund, Fundamental fund, Quant fund, strategy, value
language
English
id
4276494
date added to LUP
2014-02-19 11:26:40
date last changed
2014-02-19 11:26:40
@misc{4276494,
  abstract     = {{This thesis investigates the performance of Hedge and Quant funds, as well as funds with a 
Fundamental approach (here called Value funds). The funds are also compared with a world 
index. Weekly data over a two year period (2011-2013), from about 25 funds out of every 
class, is used. The results show no statistical difference between Quant and Value funds, 
while Hedge funds have a lower risk adjusted return. Also, equally weighted portfolios, of all 
the funds using a certain investment strategy, was constructed in order to compare with a 
world index. Here the results show no statistical difference between the portfolios themselves, 
or the portfolios and the index, supporting the Efficient Market Hypothesis, that markets are 
efficient. However, the samples are small and the method of picking the samples is somewhat 
subjective, making the risk of sample error bigger. But on the other hand: my results are in 
line with earlier research, making my findings more plausible.}},
  author       = {{Larsson, Bobby}},
  language     = {{eng}},
  note         = {{Student Paper}},
  title        = {{Investment strategies and their performance - Do Hedge and Quant funds, as well as funds using Fundamental analysis, have different risk adjusted returns - and can any of them beat the market?}},
  year         = {{2014}},
}