A Study of the Performance of Elite Hedge Funds after Substantial Market Drawdown

• Main Authors: Shuo-Wen Zhang, 張碩文
• Other Authors: 許英麟
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/05811851290620760842

碩士 === 國立中興大學 === 統計學研究所 === 100 === The purpose of this study is to test the performances of the monthly returns of the Hedge Fund Research. The dataset spans a period from May 1994 to December 2011. We can find the high point of a total of three times drawdown of the 20-year trend from the HFRI Hedge Fund Weighted Composite Index, and three high-point of the next six months, a year as a cutting point for data classification and analysis, We use the stepwise superior predict ability test of Hsu et al. for factor models and Manipulation-proof performance measures to pick out hedge fund which have outperformance. Using equal weight to construct portfolio in order to observe the performance of Hedge funds.