Hedge Fund Performance under Bearish Market Conditions: A Study of the Performance of Swedish Hedge Funds during the 2008 Recession
Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Hedge funds have in the last years grown in interest as an alternative investment tool. Investors have been looking for an investment strategy un-attached to the fluctuations of the market, in order to minimize the risk. With promises of absolute returns, hedge funds have been attractive to many investors. Hedge funds differ from mutual funds in their aim for constant absolute return and complex strategies that include both long- and short-term investments. This paper examines if nineteen Swedish hedge funds can live up to the promise of positive returns in both bearish and bullish market conditions (absolute returns). Similar studies have previously been done but mainly on the U.S. market where significant results have shown that the majority of the hedge funds studied have lived up to these promises. Our study shows that all but one of the hedge funds studied performed better than the market index during the bearish period studied, but far from all manage to generate absolute returns.
Place, publisher, year, edition, pages
Hedge funds, Absolute returns, CAPM, Beta, Alpha, Sharpe ratio, Jensen’s alpha
IdentifiersURN: urn:nbn:se:uu:diva-219381OAI: oai:DiVA.org:uu-219381DiVA: diva2:699609
Österholm, Göran, Universitetslektor
Ohlsson, Henry, Professor