Please use this identifier to cite or link to this item:

Study of hedge fund industry and its return from 1990 to 2006

File Description Size Format  
M.B.A._HF5006.H3_60_uh.pdf Version for UH users 2.71 MB Adobe PDF View/Open
M.B.A._HF5006.H3_60_r.pdf Version for non-UH users. Copying/Printing is not permitted 2.72 MB Adobe PDF View/Open

Item Summary

Title:Study of hedge fund industry and its return from 1990 to 2006
Authors:Pant, Hari H.
Date Issued:Dec 2007
Abstract:Though the hedge funds are portrayed as risky investment instruments, the average is much higher and standard deviation of their returns is much lower than that of the SPX. The Sharpe ratio of different hedge fund strategies is much higher as well than that of SPX and the correlation between the SPX and different hedge fund strategies is low. Hedge fund strategies are able to produce significant amount of alpha when analyzed by single factor and multi factor model. Some of the disadvantages of hedge fund are that the correlation increases during the hour of crisis so that the hedge fund returns and market return move in tandem during such market turmoil and that their returns show non norma1ity and are generally negatively skewed with high kurtosis.
Description:Thesis (M.B.A)--University of Hawaii at Manoa, 2007.
Pages/Duration:ix, 70 leaves
Rights:All UHM dissertations and theses are protected by copyright. They may be viewed from this source for any purpose, but reproduction or distribution in any format is prohibited without written permission from the copyright owner.
Appears in Collections: M.B.A. - Business Administration

Please email if you need this content in ADA-compliant format.

Items in ScholarSpace are protected by copyright, with all rights reserved, unless otherwise indicated.