Type of Document Master's Thesis Author QIAN, JING URN etd-07282006-001707 Title Evaluation of Hedge Funds Performance Degree Master of Science Department Mathematics and Statistics Advisory Committee
Advisor Name Title Yu-Sheng Hsu Committee Chair Gengsheng Qin Committee Member Yichuan Zhao Committee Member Keywords
- Jensen's alpha
- CSFB/Tremont Hedge Fund Index
Date of Defense 2006-07-14 Availability unrestricted Abstract Hedge funds are private investment funds characterized by unconventional strategies. This thesis employed multi-factor CAPM to evaluate the performance, or manager skill of hedge funds investment segments by using CSFB/Tremont Hedge Fund Indices from January 1994 to September 2005. The performance evaluation is based on the concept of ¡°Jansen¡¯s alpha¡±, which is estimated by applying Generalized Method of Moment. The finding is that hedge funds industry in general displayed the ability to outperform market proxy. Global Macro shows the strongest manager skill, followed by Event Driven, Equity Market Neutral and Long/Short Equity. This thesis also investigates the consistency of hedge funds performance over market environment. It was discovered that the hedge funds industry in general and all the sub-category investment segments except Convertibly Arbitrage, Emerging Market and Fix income Arbitrage displayed the ability to cushion the impact of financial shocks.Files
Filename Size Approximate Download Time (Hours:Minutes:Seconds)
28.8 Modem 56K Modem ISDN (64 Kb) ISDN (128 Kb) Higher-speed Access qian_jing_200608_ms.pdf 437.75 Kb 00:02:01 00:01:02 00:00:54 00:00:27 00:00:02