Date of Award
8-3-2006
Degree Type
Thesis
Degree Name
Master of Science (MS)
Department
Mathematics and Statistics
First Advisor
Yu-Sheng Hsu - Chair
Second Advisor
Gengsheng Qin
Third Advisor
Yichuan Zhao
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.
DOI
https://doi.org/10.57709/1059671
Recommended Citation
Qian, Jing, "Evaluation of Hedge Funds Performance." Thesis, Georgia State University, 2006.
doi: https://doi.org/10.57709/1059671