Acceso al sitio web del Consejo de Políticas de Infraestructura

   
Redirigiendo al acceso original de articulo en 16 segundos...
ARTÍCULO
TITULO

A Risk-Adjusted Performance Evaluation Of US And EU Hedge Funds And Associated Equity Markets Over The 2007-2009 Financial Crisis

Chris van Heerden    
Andre Heymans    
Gary van Vuuren    
Wilme Brand    

Resumen

Hedge funds are considered to be market-neutral due to their unrestricted investment flexibility and more efficient market timing abilities (Ennis & Sebastian, 2003). They may also be considered as suitably unconventional assets for improving portfolio diversification (Lamm, 1999). The evidence from this study confirms the dominance of hedge funds over the CAC 40, DAX, S&P 500 and Dow Jones from 2004 to 2011. Overall, the Sharpe, Sortino, Omega, Jensens alpha, Treynor and Calmar ratios illustrate that US hedge funds outperformed both EU hedge funds and the associated equity markets over this period. Evidence was also found that both US and EU hedge funds were more correlated with the S&P 500 and Dow Jones after the financial crisis of 2007-2009 than before the crisis.

PÁGINAS

 Artículos similares

       
 
Dohyoung Kwon    
This study developed an investment framework to implement dynamic factor rotation strategies according to changes in economic conditions. I constructed a useful macro indicator that tracked real-time business cycles of the US economy and applied a trend-... ver más

 
Joel Hinaunye Eita and Charles Raoul Tchuinkam Djemo    
This paper attempted to apply an EVT-based pairwise copula method for modelling risk interaction between foreign exchange rates and equity indices of the Johannesburg Stock Exchange (JSE) and to model the dependence structure of the underlying assets wit... ver más

 
Francesca Bell,Gary van Vuuren    
AbstractOrientation: Environmental, social and governance (ESG) factors have evolved from peripheral significance (2000s) to a leading factor (2022) for many corporates. Most are now assigned ESG grades; which are increasingly scrutinised by investors.Re... ver más

 
Crina Pungulescu     Pág. 29 - 40
This paper investigates whether small markets offer higher risk-adjusted expected returns using a large set of developed and emerging markets over a time span of up to four decades. The results show that expected returns are significantly lower in larger... ver más

 
Nomaphelo Soga,Lawrence Obokoh,Darlington P. Onojaefe,Wilfred Isioma Ukpere     Pág. 76 - 90
The risk that a borrower may not fulfill his/her borrowing obligation presents the credit owner (lender) a default risk management opportunity to maximize the risk-adjusted rate of return and to maintain minimum exposure to default associated cost. ... ver más