The Analysis of Hedge Fund Drawdown Status--From the Darwinian Selection

• Main Authors: Yi-MienWu, 吳宜勉
• Other Authors: Meng-Feng Yen
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/22076510141924108833

碩士 === 國立成功大學 === 財務金融研究所 === 100 === In this paper we study the drawdown status of hedge funds as a hedge fund characteristic related to performance. The drawdown status of the hedge fund is one of investors’ major concerns.This thesis adopts the portfolio sort methodology to assess the predictability of hedge funds returns and then testing the subsequent performance of these portfolios, we use one of the most widely accepted models in the hedge funds literature, namely, the Fung and Hsieh(2004) seven-factor model to measure the performance. This study finds that the Darwinian selection process will generate best performance from the portfolio of hedge funds which have incurred the largest drawdown for a long period of time.