Event Driven Hedge Funds and the Business Cycle

Karin Soosova

ISBN 10: 3838329171 / ISBN 13: 9783838329178

Editore: LAP LAMBERT Academic Publishing Sep 2010, 2010

Riguardo questo articolo

Neuware -Even driven hedge funds are often claimed to be cyclical, resp. to be strongly dependent on the state of the aggregate economy. The main goal of this work was to investigate this relationship and try to utilize the dependence in return prediction. The prediction approach here was inspired by an existing linear multi-factor model for hedge fund index returns based on financial market variables known to have explanatory power for equities. This work broadens the set of variables in the predictive model by variables which are believed to have predictive power for the business cycle. For different event driven hedge fund indices a subset of variables with the highest explanatory power has been selected. The resulting models have been shown to have significant in- and out-of-sample performance not only for hedge fund indices but also for individual event driven hedge fund returns. This work should add to the understanding of risk drivers of event driven hedge funds in general and to the assessment of the role of macroeconomic factors in building return expectations for this strategy.Books on Demand GmbH, Überseering 33, 22297 Hamburg 72 pp. Englisch.

Codice articolo 9783838329178

Dati bibliografici

• Titolo: Event Driven Hedge Funds and the Business Cycle
• Editore: LAP LAMBERT Academic Publishing Sep 2010
• Data di pubblicazione: 2010
• Lingua: Inglese
• ISBN 10: 3838329171
• ISBN 13: 9783838329178
• Rilegatura: Taschenbuch
• Condizione: Neu

Descrizione articolo

Riassunto

Even driven hedge funds are often claimed to be cyclical, resp. to be strongly dependent on the state of the aggregate economy. The main goal of this work was to investigate this relationship and try to utilize the dependence in return prediction. The prediction approach here was inspired by an existing linear multi-factor model for hedge fund index returns based on financial market variables known to have explanatory power for equities. This work broadens the set of variables in the predictive model by variables which are believed to have predictive power for the business cycle. For different event driven hedge fund indices a subset of variables with the highest explanatory power has been selected. The resulting models have been shown to have significant in- and out-of-sample performance not only for hedge fund indices but also for individual event driven hedge fund returns. This work should add to the understanding of risk drivers of event driven hedge funds in general and to the assessment of the role of macroeconomic factors in building return expectations for this strategy.