Performance characteristics of investable hedge funds indexes
| buir.advisor | Akdeniz, Levent | |
| dc.contributor.author | Erdurmuş, Ali | |
| dc.date.accessioned | 2016-01-08T18:12:32Z | |
| dc.date.available | 2016-01-08T18:12:32Z | |
| dc.date.issued | 2010 | |
| dc.description | Ankara : The Department of Management, Bilkent University, 2010. | en_US |
| dc.description | Thesis (Master's) -- Bilkent University, 2010. | en_US |
| dc.description | Includes bibliographical refences. | en_US |
| dc.description.abstract | In this study we examine the performance of investable hedge fund indexes by using an extended asset pricing model which uses GMM regression methods. Monthly returns of Hedge Fund Research (HFR) investable hedge fund indexes from January 2005 to October 2009 are analyzed. Our extended asset pricing model uses twelve different asset classes as explanatory factors such that three factors of Fama & French, three equity indexes, five bond indexes and one commodity index. The performance of investable hedge fund indexes for several strategies indicates that investable hedge funds indexes fail to deliver significant excess returns to their investors and their factor exposures are parallel to their main investment strategies. | en_US |
| dc.description.provenance | Made available in DSpace on 2016-01-08T18:12:32Z (GMT). No. of bitstreams: 1 0004010.pdf: 1121164 bytes, checksum: 30cda8503abd81932f118908adc50e75 (MD5) | en |
| dc.description.statementofresponsibility | Erdurmuş, Ali | en_US |
| dc.format.extent | v, 80 leaves | en_US |
| dc.identifier.uri | http://hdl.handle.net/11693/15046 | |
| dc.language.iso | English | en_US |
| dc.rights | info:eu-repo/semantics/openAccess | en_US |
| dc.subject | Hedge Funds | en_US |
| dc.subject | Performance Characteristics | en_US |
| dc.subject.lcc | HG4530 .E73 2010 | en_US |
| dc.subject.lcsh | Hedge funds. | en_US |
| dc.subject.lcsh | Hedge funds--Evaluation. | en_US |
| dc.subject.lcsh | Investment analysis--Mathematical models. | en_US |
| dc.title | Performance characteristics of investable hedge funds indexes | en_US |
| dc.type | Thesis | en_US |
| thesis.degree.discipline | Business Administration | |
| thesis.degree.grantor | Bilkent University | |
| thesis.degree.level | Master's | |
| thesis.degree.name | MBA (Master of Business Administration) |
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