hedge fund analysis - Research

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 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.

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.

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.

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.

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.

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 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 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.

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.

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.