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dc.contributor.authorSæbø, Jørgen Krog
dc.date.accessioned2008-01-23T08:56:59Z
dc.date.available2008-01-23T08:56:59Z
dc.date.issued2007
dc.identifier.urihttp://hdl.handle.net/11250/168011
dc.description.abstractThis Master thesis is dedicated to the performance of Nordic hedge funds. A lot of international studies have been conducted on American hedge funds, but little on Nordic funds. Common for most of these studies are that hedge funds perform very well compared to other more traditional assets like stocks and bonds, but that the risk in hedge funds are somewhat different and usually not captured by traditional financial theory. Hedge funds often exhibit significant higher order moments while traditional theory only takes into account the first two moments of the return distribution. This thesis shows that Nordic hedge funds outperform both American hedge funds and the general stock and bond markets. They have better distributional properties and riskadjusted performance measures. The correlation to the stock and bond market is also relatively low for Nordic hedge funds, even in bear markets and during financial crises. This offers good diversification benefits, and an optimal portfolio of hedge funds should consist of around 17-18 individual funds. Some of this good risk-adjusted performance can however be attributed to general stock and bond market exposure. This is not consistent with the notion that hedge funds are on average market neutral. The returns are also influenced by some fund specific factors like for instance assets under management, age, fees and investment universe. But the good performance of Nordic hedge funds does not seem to be due to pure luck, but rather manager skills. This is backed up by the fact that there exists persistence in the hedge fund returns, especially at shorter horizons (3-6 months).en
dc.language.isoengen
dc.subjectfinancial economicsen
dc.titleBehind the hedge : a closer study of Nordic hedge fundsen
dc.typeMaster thesisen
dc.subject.nsiVDP::Samfunnsvitenskap: 200::Økonomi: 210::Samfunnsøkonomi: 212en


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