The performance persistence of equity long short hedge funds:
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
Bern [u.a.]
Haupt
2007
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| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Auch als: Bank- und finanzwirtschaftliche Forschungen; 381 |
| Beschreibung: | XXXII, 465 S. graph. Darst. |
Internformat
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| 245 | 1 | 0 | |a The performance persistence of equity long short hedge funds |c submitted by Werner Bonadurer |
| 264 | 1 | |a Bern [u.a.] |b Haupt |c 2007 | |
| 300 | |a XXXII, 465 S. |b graph. Darst. | ||
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Datensatz im Suchindex
| _version_ | 1804145171912196096 |
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| adam_text | List of contents
Preface vii
Acknowledgments ix
Abstract xi
List of tables xxi
List of figures xxv
List of appendices xxvii
List of abbreviations xxix
Part One: Introduction and Review /
Chapter 1: Introduction 1
1.1 Development of the hedge fund business concept 2
1.2 General issues and problems 4
1.2.1 Performance measurement 5
1.2.2 Index determination 7
1.2.3 Performance persistence S
1.2.4 Data bias and reporting standards 9
1.3 Relevance of performance persistence studies 9
1.4 Research idea 10
1.5 Objectives 12
1.6 Limitations 13
1.7 Research process 14
1.8 Structure of thesis 14
xiii
Chapter 2: Hedge fund market 17
2.1 Definition 17
2.2 History 19
2.3 Market size 21
2.4 Market participants and business environment 24
2.5 Investment strategies 27
2.5.1 Equity long/short hedge fund strategies 29
2.6 Fund of hedge funds 32
2.7 Risk management 34
2.8 Fees 36
2.9 Organization 39
2.10 Regulation 39
2.11 Hedge fund versus mutual funds 42
2.12 Hedge fund versus private equity funds 43
Chapter 3: Research and literature review 45
3.1 Introduction 45
3.2 Research on mutual fund performance and performance
persistence 47
3.3 Research on hedge fund performance 51
3.4 Research on hedge fund micro effects 60
3.5 Research on hedge fund performance persistence 61
3.6 Research on hedge fund data biases 63
xiv
Part Two: Theory 67
Chapter 4: Performance measurement methods 67
4.1 Introduction 67
4.2 Objectives 68
4.3 Methods 69
4.3.1 Capital asset pricing model (CAPM) 69
4.3.2 Single- and multi-factor models 71
4.3.2.1 Single-factor model 71
4.3.2.2 Single-index model 72
4.3.2.3 Multi-factor models 73
4.3.3 Arbitrage pricing theory model (APT) 77
4.3.4 Style analysis model 79
4.3.5 Hedge fund index-based models 80
4.3.6 Asset-based style factor model 83
4.3.7 Non-linear return-based models 84
4.3.7.1 Option-based pricing model 85
4.3.7.2 Buy-and-hold and option-based factor model 86
4.3.8 Style-specific option-based factor models 87
4.3.8.1 Option-based model for trend-following strategies 88
4.3.8.2 Option-based model for risk arbitrage 92
4.3.8.3 Combined model for fixed-income oriented hedge funds 95
4.3.9 Conditional models 97
4.3.10 Performance measurement ratio models 97
4.3.10.1 Sharpe ratio 98
4.3.10.2 Treynor ratio 99
4.3.10.3 Other ratio models 99
4.4 Performance measurement models for Equity long short
hedge funds 100
4.4.1 Model A: CAPM-derived market model 101
xv
4.4.2 Model B: Linear multi-factor model 102
4.4.3 Model C: Multi-factor model with contingent-claims
variables 104
4.4.4 Model D: Automatically fitted best model 707
4.4.5 Model E: Hedge fund style index model 108
4.4.6 Model F: Performance measurement ratio models 109
4.4.6.1 Sharpe ratio model 110
4.4.6.2 Treynor ratio model 110
4.4.6.3 Treynor Black appraisal ratio model 111
4.5 Limitations of models 111
Part Three: Empirical studies 113
Chapter 5: Hedge fund and capital market data 113
5.1 Introduction 113
5.2 Databases 114
5.3 Data biases 116
5.3.1 Survivorship bias 116
5.3.2 Selection bias 118
5.3.3 Stale price bias 120
5.4 Data selection 120
5.4.1 Database and sample selection 120
5.4.2 Time period 126
5.4.3 Selection criteria 126
5.4.4 Return calculation 128
5.5 Capital market data 129
5.5.7 Currency denomination and return determination 129
xv i
5.5.2 Risk-free interest rate 130
5.5.3 Traditional factors 130
5.5.4 Alternative factors 133
5.5.5 Option factors 136
5.5.6 Hedge fund industry data 144
Chapter 6: Performance measurement 147
6.1 Economic expectations of Equity long/short hedge
fund investments 147
6.2 Unadjusted performance of Equity long/short hedge fund
sample 149
6.2.1 Unadjusted performance ( fund series approach ) 150
6.2.2 Unadjusted performance ( time series approach ) 154
6.2.3 Time-varying unadjusted performance 159
6.2.3.1 Time-varying mean return 160
6.2.3.2 Time-varying standard deviation 163
6.2.3.3 Time-varying skewness 166
6.2.3.4 Time-vary ing kurtosis 167
6.2.4 Interim summary (1) 170
6.3 Performance of passive investment strategies 171
6.4 Correlation properties 1 75
6.4.1 Correlation among potential explanatory variables / 76
6.4.2 Correlation between potential explanatory variables 177
6.5 Test assumptions for statistical significance 1 78
6.6 Risk-adjusted performance Equity long/short hedge fund
sample 1 79
6.6.1 Model A: CAPM-derived market model ISO
6.6.2 Model B: Linear multi-factor model 1S3
xvii
6.6.3 Model C: Multi-factor model with contingent-claims
variables 186
6.6.4 Model D: Automatically fitted best model 189
6.6.5 Models E: Hedge fund style index models 194
6.6.6 Interim summary (2) 196
6.7 Risk-adjusted performance of Equity long/short hedge funds
individual level 199
6.7.7 Regression models A, D, El andE2 200
6.7.2 Ratio models 217
6.7.3 Relative risk-adjusted performance 222
6.8 Summary 224
Chapter 7: Performance persistence measurement 227
7.1 Performance persistence periods 231
7.2 Performance-ranked single hedge fund approach 232
7.2.1 Performance in formation period. 233
7.2.2 Performance in test period 236
7.2.3 Appraisal ratio persistence test 241
7.2.4 Contingency table-based tests 243
7.2.5 Empirical results 248
7.2.5.1 Performance persistence based on unadjusted excess returns 249
7.2.5.2 Performance persistence based on risk-adjusted excess returns
(constant parameters) 256
7.2.5.3 Performance persistence based on risk-adjusted excess returns
(time-varying parameters) 262
7.2.5.4 Performance persistence based on appraisal ratios 268
7.2.6 Interim summary (1) 275
7.3 Performance-ranked hedge fund portfolio approach 278
7.3.1 Hedge fund portfolio formation and testing procedures 279
xviii
7.3.2 Empirical results 282
7.3.2.1 Performance persistence unadjusted excess returns 282
7.3.2.2 Performance persistence risk-adjusted excess returns 289
7.3.3 Interim summary (2) 297
1A Comparative analysis 298
7.5 Summary 303
Part Four: Conclusion 307
Chapter 8: Summary and conclusion 307
8.1 Summary performance 308
8.2 Summary performance persistence 309
8.3 Practical implications 312
8.4 Areas for future research 314
Appendices 315
References 449
xix
List of tables
1.1 Two different business models in asset management 3
2.1 Number of hedge funds and USD assets under management 22
2.2 Hedge fund assets under management 2005 to 2010 by
client and product groups 25
2.3 Classification of hedge funds by diversification characteristics... 33
2.4 Overview of hedge fund risk factors 35
2.5 Overview of additional hedge fund risk factors 36
2.6 Differences hedge funds versus mutual funds 43
2.7 Differences hedge funds versus private equity funds 44
4.1 Overview of investment fund performance evaluation models .... 69
4.2 Overview of selected performance measurement models 101
4.3 Overview of independent variables eligible for
automatically fitted best model 108
5.1 Vendors of hedge fund indices 115
5.2 Survivorship and selection bias in hedge fund index returns 119
5.3 HFR strategy definitions for equity-oriented hedge funds
(www.hfr.com, 2005) 121
5.4 HFR equity-oriented hedge fund database and sample for
Equity long/short hedge funds 123
5.5 Bivariate fit of HFR Equity Hedge Index by Equity
long/short hedge fund sample 124
5.6 Bivariate fit of CSFB/Tremont (TASS) HEDG Long/Short
Equity Index by Equity long/short hedge fund sample 125
5.7 Equity long/short hedge fund sample - Number of monthly
observations over time 128
5.8 Example return time series option portfolio: At-the-money
call on S P 500 Total Return Index 143
6.1 Comparison of distributional properties Equity long/short
hedge fund sample with other databases 158
xxi
6.2 Equity long/short hedge fund sample - Time-varying
behavior distributional properties 170
6.3 Descriptive statistics passive investment returns 171
6.4 Comparison of Sharpe ratios of selected investments -
January 1994 to June 2005 174
6.5 Overview of selected performance measurement
models - Sample level 180
6.6 Explanatory variables for linear multi-factor model
(model B) 183
6.7 Explanatory variables for multi-factor model with contingent-
claims parameters 187
6.8 Overview of independent variables eligible for
automatically fitted best model 190
6.9 Automatically fitted best model (model D) - Revised 192
6.10 Time window analysis - Automatically fitted best model 193
6.11 Summary of risk-adjusted performance measurement Equity
long/short hedge fund sample 197
6.12 Overview of selected performance measurement models -
Individual level 199
6.13 Summary regression analysis individual Equity long/short
hedge funds 201
6.14 Overview of average alpha per performance model
application 211
6.15 Frequency distribution significant explanatory variables
model D - Main categories 214
6.16 Performance measurement - Ratio models 219
6.17 Nonparametric Spearman s Rho 223
7.1 Overview performance measurement applications in
formation and test periods 234
7.2 Illustration of contingency table 244
7.3 Formation and test period pairs 245
7.4 Contingency analysis of test period 1 month by formation
period 1 month - Unadjusted excess returns 250
xxii
7.5 Performance persistence Equity long/short hedge funds
individual level - Unadjusted excess returns (1 month
formation/1 month test period) 252
7.6 Contingency analysis of test period 3 months by formation
period 3 months — Unadjusted excess returns 254
7.7 Performance persistence Equity long/short hedge funds
individual level - Unadjusted excess returns (3 months
formation/3 months test period) 255
7.8 Contingency analysis of test period 1 month by formation
period 1 month - Risk-adjusted excess returns (constant
regression parameters) 257
7.9 Performance persistence Equity long/short hedge funds
individual level - Risk-adjusted excess returns (1 month
formation/1 month test period) 258
7.10 Contingency analysis of test period 3 months by formation
period 3 months - Risk-adjusted excess returns (constant
regression parameters) 260
7.11 Performance persistence Equity long/short hedge funds
individual level - Risk-adjusted excess returns (3 months
formation/3 months test period) 261
7.12 Contingency analysis of test period 1 month by formation
period 1 month - Risk-adjusted excess returns (time-varying
regression parameters) 264
7.13 Contingency analysis of test period 3 months by formation
period 3 months - Risk-adjusted excess returns
(time-varying regression parameters) 267
7.14 Contingency analysis of test period 1 month by formation
period 1 month - Modified Treynor Black appraisal ratios 270
7.15 Performance persistence Equity long/short hedge funds
individual level - Modified Treynor Black appraisal ratios
(1 month formation/1 month test period) 271
7.16 Contingency analysis of test period 3 months by formation
period 3 months - Modified Treynor Black appraisal ratios 273
7.17 Performance persistence Equity long/short hedge funds
individual level - Modified Treynor Black appraisal ratios
(3 months formation/3 months test period) 275
xxiii
7.18 Summary performance persistence analysis - Performance-
ranked single hedge fund approach 276
7.19 Overview performance measurement application pairs in
formation and test periods 281
7.20 Selected quintile portfolio performance (unadjusted excess
returns) - 1 month formation period/1 month test period
- t-test and analysis of variance (ANOVA) reports 283
7.21 All quintile portfolio performance (unadjusted excess returns)
- 1 month formation period/1 month test period 285
7.22 Selected quintile portfolio performance (unadjusted excess
returns) - 3 months formation period/3 months test
period - t-test and analysis of variance (ANOVA) reports 287
7.23 All quintile portfolio performance (unadjusted excess returns)
- 3 months formation period/3 months test period 289
7.24 Selected quintile portfolio performance (risk-adjusted excess
returns) - 1 month formation period/1 month test
period - t-test and analysis of variance (ANOVA) reports 290
7.25 All quintile portfolio performance (risk-adjusted excess
returns) - 1 month formation period/1 month test period 292
7.26 Selected quintile portfolio performance (risk-adjusted excess
returns) - 3 months formation period/3 months test
period - t-test and analysis of variance (ANOVA) reports 294
7.27 All quintile portfolio performance (risk-adjusted excess
returns) - 3 months formation period/3 months test period 296
7.28 Summary performance persistence analysis - Performance-
ranked hedge fund portfolio approach 297
7.29 Summary information of selected studies on hedge fund
performance persistence 299
8.1 Performance persistence (contingency tables) - Model
comparison 311
8.2 Selected terms and conditions Equity long/short hedge
fund sample 313
xxiv
List of figures
1.1 Alpha generation potential 6
2.1 Assets under management per hedge fund investment
strategy 24
2.2 Market participants and business environment 26
2.3 Overview of hedge fund styles 28
2.4 Equity long/short hedge fund strategies 31
2.5 Distribution hedge fund manager management fees 38
2.6 Distribution hedge fund manager performance fees 38
4.1 Overview of Equity long/short hedge fund trading concepts 105
5.1 Hedge fund universe and hedge fund database (sample) 114
5.2 Reasons leading to survivorship bias 117
5.3 Payoff pattern long position in straddle option
(illustration only) 137
6.1 Performance measurement approach 150
6.2 Properties of mean return distribution 1/1994 - 6/2005:
fund series approach 151
6.3 Properties of mean return distributions 1/1994 - 6/2005:
time series approach 155
6.4 Equity long/short hedge fund sample - Monthly mean
returns 1/1994 to 6/2005 161
6.5 Equity long/short hedge fund sample and Russell 3000
Monthly mean returns 1/ 1994 to 6/2005 162
6.6 Equity long/short hedge fund sub-sample - Paired t-test
(mean return) 163
6.7 Equity long/short hedge fund sample - Monthly standard
deviation 1/1994 to 6/2005 164
6.8 Equity long/short hedge fund sub-sample - Paired t-test
(standard deviation) 165
6.9 Equity long/short hedge fund sample - Monthly skewness
1/1994 to 6/2005 166
XXV
6.10 Equity long/short hedge fund sub-sample - Paired t-test
(skewness) 167
6.11 Equity long/short hedge fund sample - Monthly kurtosis
1/1994 to 6/2005 168
6.12 Equity long/short hedge fund sub-sample -
Paired t-test (kurtosis) 169
6.13 Long position in SPATMC (example) 175
6.14 CAPM-derived market model (model A) 181
6.15 Linear multi-factor model (model B) 184
6.16 Multi-factor model with contingent-claims variables
(model C) 187
6.17 Automatically fitted best model (model D) 191
6.18 Hedge fund style index model (model El) 195
6.19 Hedge fund style index model (model E2) 196
6.20 Distribution R2 - Automatically fitted best model 210
6.21 Distribution alphas - Automatically fitted best model (D) 213
6.22 Frequency distribution significant explanatory variables
model D - Single predictors 215
7.1 Overview performance persistence analysis methods 229
7.2 Definition of time horizon, time interval, formation
and test period 231
7.3 Illustration performance measurement approach 233
7.4 Risk-adjusted performance evaluation based on time-varying
regression parameters 238
7.5 Form and rank procedures performance-ranked hedge fund
portfolio approach 280
7.6 Unadjusted estimated monthly mean returns in percent -
Portfolio 1 minus portfolio 5 286
7.7 Risk-adjusted estimated monthly mean returns in percent -
Portfolio 1 minus portfolio 5 293
xxvi
List of appendices
2. A Summary of hedge fund trading concepts and
risk/return profiles 317
3.A Research and literature review hedge funds - Summary
table 329
5.A Equity long/short hedge fund sample 369
5.B Capital market data 375
6.A Descriptive statistics Equity long/short hedge funds
(individual) 389
6.B Descriptive statistics Equity long/short hedge funds
(time series) 393
6.C Correlation matrix capital market indices; size and value,
APT, hedge fund style factors; option investment returns 397
6.D Model assumptions, diagnostics, and test criteria 407
7.A Performance persistence Equity long/short hedge funds 411
7.B Regression analysis with time-varying parameters
(best fitted model) 431
7.C Performance persistence quintile portfolio performance 439
xxvii
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| spelling | Bonadurer, Werner Verfasser aut The performance persistence of equity long short hedge funds submitted by Werner Bonadurer Bern [u.a.] Haupt 2007 XXXII, 465 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Auch als: Bank- und finanzwirtschaftliche Forschungen; 381 St. Gallen, Univ., Diss., 2006 Geschichte 1994-2004 gnd rswk-swf Performance Kapitalanlage (DE-588)4219415-5 gnd rswk-swf Hedge Fund (DE-588)4444016-9 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Hedge Fund (DE-588)4444016-9 s Performance Kapitalanlage (DE-588)4219415-5 s Geschichte 1994-2004 z DE-188 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=022136780&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Bonadurer, Werner The performance persistence of equity long short hedge funds Performance Kapitalanlage (DE-588)4219415-5 gnd Hedge Fund (DE-588)4444016-9 gnd |
| subject_GND | (DE-588)4219415-5 (DE-588)4444016-9 (DE-588)4113937-9 |
| title | The performance persistence of equity long short hedge funds |
| title_auth | The performance persistence of equity long short hedge funds |
| title_exact_search | The performance persistence of equity long short hedge funds |
| title_full | The performance persistence of equity long short hedge funds submitted by Werner Bonadurer |
| title_fullStr | The performance persistence of equity long short hedge funds submitted by Werner Bonadurer |
| title_full_unstemmed | The performance persistence of equity long short hedge funds submitted by Werner Bonadurer |
| title_short | The performance persistence of equity long short hedge funds |
| title_sort | the performance persistence of equity long short hedge funds |
| topic | Performance Kapitalanlage (DE-588)4219415-5 gnd Hedge Fund (DE-588)4444016-9 gnd |
| topic_facet | Performance Kapitalanlage Hedge Fund Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=022136780&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT bonadurerwerner theperformancepersistenceofequitylongshorthedgefunds |