Research Center

 

‘If you steal from one author, it's plagiarism; if you steal from two, it's research. ’

- Wilson Mizner–

Welcome to the research center of hedge fund analysis. Browse through a selection of papers and dissertations on hedge funds as well as related topics. All paper abstracts are available for download as pdf-files. The table of contents has been included where appropriate. Check this site regularly for publication of upcoming articles. Please feel free to contact me regarding comments and availability of full versions. You may follow this link to the contact form. Your inquiry will be handled as quickly as possible.

Dissertations

The Applicability of Mean-Variance Analysis and Beta-factors in the Risk Assessment of Hedge Fundsdownloads: 1903 | type: pdf | size: 80 kB

The research focusses on the special statistical characteristics of hedge funds and the inherent limitations of traditional risk measures. The analysis was conducted with reference to selected style indices and single funds of the TASS database. Research associate and database access provider is HSH-Nordbank AG. The link above provides a brief introduction as well as table of contents of a Master thesis submitted in June 2007. A full version is available on request.

The Sustainability of Parametric and Semi-Parametric Pricing Models as Estimators of Hedge Fund Performancedownloads: 1354 | type: pdf | size: 65 kB

The link above provides a copy of the Doctoral Research Proposal to the University of Stellenbosch Business School and to FirstRand Alternative Investements Management (FRAIM). The research proposal was last reviewed in November 2009. The intended date of completion is June 2010. The study examines the applicability of existing asset pricing models to hedge fund investments. A full version is available on request.

Hedge Funds – Möglichkeiten des Risikomanagements für Bankendownloads: 1740 | type: pdf | size: 85 kB

This research has been conducted in cooperation with HSH-Nordbank AG and HypoVereinsbank. The study focusses on efficient hedge fund portfolios and mitigation of banking specific risks with respect to hedge funds. The report is currently available in German only. A translated abstract can be provided on request.

 

Working Papers

An adaptation of Sharpe's twelve-factor linear pricing models to hedge fund investmentsdownloads: 1425 | type: pdf | size: 10 kB

The working paper assesses modifications to asset class factor models and the estimation of hedge fund performance. Particular attention is paid to factor component analysis and to style classifications of hedge funds on the TASS database. Currenlty, a first draft is under revision. The intended date of completion is March 2010. Current draft: August 2009.

A Risk-Return Assessment of Fund of Hedge Funds in Comparison to Single Hedge Fundsdownloads: 1416 | type: pdf | size: 11 kB

This comparitive analysis of FoHFs vs single manager funds is conducted in cooperation with FRAIM. It is the intention of the authors to show that FoHFs offer downside risk protection in times of financial turmoil. The study has been submitted for publication. For reasons of confidentiality, an abstract is available only. Current draft: July 2009.

Data Sourcing, Statistical Processing and Time Series Analysis: An Example from Research into Hedge Fund Investmentsdownloads: 1331 | type: pdf | size: 18 kB

The document is intended as an introductory framework to time series analysis and may be of particular interest to practitioners. It was presented at this year's EDAMBA conference at Soreze, France. A powerpoint presentation is available as well. An extended version is currently under development.

 

Related Research

Diversifying Risks with Hedge Fundsdownloads: 1598 | type: pdf | size: 245 kB

The paper includes a brief introduction to hedge fund investment strategies and categorization. It then goes on to explain addressing specific risk dimensions and portfolio diversification through hedge funds. The full article is available for download.

The suitability of Beta as a measure of market-related risks for alternative investment fundsdownloads: 1490 | type: pdf | size: 116 kB

The paper explores the applicability of the Capital Asset Pricing Model (CAPM) to hedge funds. Standard hypothesis testing is used to confirm the observations. The time series stem from investable hedge fund indices. The full paper is available as pdf.

A Case for the Eurodownloads: 1214 | type: pdf | size: 153 kB

A critical assessment of the macroeconomic impact factors of the Economic and Monetary Union (EMU). An overview of the 1992 Maastricht criteria is included. In addition, the prospects of future EMU members are evaluated. The full article can be downloaded as pdf.

Case Study Information Systemsdownloads: 1724 | type: pdf | size: 209 kB

An introduction to knowledge management, networking, cognitive and community models. The article is designed as a fictional case study. It includes a framework for Knowledge Management Systems (KMS) and their application. The full paper is available for download.

Is your HR Scorecard up to Date?downloads: 1578 | type: pdf | size: 262 kB

The above article is a result of research conducted in Human Resource Management in the course of the MBA programme. It demonstrates the usefullness of a Balanced Scorecard approach to HR management and includes a measurement framework. Follow the link above to the full paper.

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