Please use this identifier to cite or link to this item:
Title: Hedge fund strategy results in the bear and bull markets : a comparative study
Authors: Psaila, Simon
Keywords: Hedge funds -- Malta
Hedging (Finance)
Issue Date: 2011
Abstract: The aim of the research is to measure the investment results of hedge fund strategies over a period of time and compare them to a series of benchmarks, like the S&P 500. The individual strategies will also be compared using different performance measures like the Sharpe Ratio, in order to assess their risk-return characteristics. In theory, hedge funds should consistently produce absolute returns that beat market indices, due to their flexible nature in having the ability to take advantage of any economic climate, as well as the fact that they attract the most brilliant financial minds. The different strategies' indices will be taken over a period in which there was both a Bear and a Bull market, and conclusions will be made whether the hedge funds were successful in producing consistent absolute returns and whether they beat the market indices on a consistent basis. Recommendations were also given about which strategy is preferable to an investor seeking a portfolio diversifying or return enhancing strategy. The results suggest that few strategies in actual fact managed to outperform the bull market of the late 1990s, offering little evidence that they provide superior returns. The case was also similar for the bull market of the 2000s, where few strategies successfully outperformed the market. Conflicting evidence was found for most strategies regarding bear markets. In the early 2000s most strategies successfully managed to obtain absolute returns, however it was not the case for the recent financial crisis in 2007/8; which in fact saw many investors withdraw from the industry. Overall though, sound recommendations based on facts were given for investors seeking both portfolio enhancing and portfolio diversifying objectives.
Description: B.COM.(HONS)BANK.&FIN.
Appears in Collections:Dissertations - FacEma - 2011
Dissertations - FacEMABF - 2011

Files in This Item:
File Description SizeFormat 
  Restricted Access
1.88 MBAdobe PDFView/Open Request a copy

Items in OAR@UM are protected by copyright, with all rights reserved, unless otherwise indicated.