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Do hedge funds yield greater risk-adjusted rate of  returns than mutual funds?A quantitative study comparing hedge funds to mutual funds and hedge fund strategies
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematics (Div.).
2014 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesisAlternative title
Avkastar hedgefonder högre risk-justerade avkastningar än aktiefonder?En kvantitativ studie som jämför hedgefonder med aktiefonder och investeringsstrategier (Swedish)
Abstract [en]

In recent times, the popularity of hedge funds has undoubtedly increased. There are shared opinions on whether hedge funds generate absolute rates of returns and whether they provide a strong alternative investment to mutual funds. This thesis aims to examine whether hedge funds with different investment strategies create absolute returns and if certain investment strategies outperform others. This thesis compares hedge funds risk-adjusted rate of return towards mutual funds, such as mutual funds, to see if certain investment strategies are more lucrative than the corresponding investments in terms of excess returns to corresponding indices. An econometric approach was applied to search for significant differences in risk-adjusted returns of hedge funds in contrast to mutual funds.

Our results show that Swedish hedge funds do not generate as high risk-adjusted returns as Swedish mutual funds. In regard to the best performing hedge fund strategy, the results are inconclusive. Also, we do not find any evidence that hedge funds violate the effective market hypothesis.

Abstract [sv]

Hedgefonder har den senaste tiden ökat i popularitet. Samtidigt finns det delade meningar huruvida hedgefonder genererar absolutavkastning och om de fungerar som bra alternativ till traditionella fonder. Denna uppsats syftar till att undersöka huruvida hedgefonder skapar absolutavkastning samt om det finns investeringsstrategier som presterar bättre än andra. Denna uppsats jämför hedgefonders riskjusterade avkastning med traditionella fonder, för att på sätt se om en viss investeringsstrategi ar mer lukrativ i termer av överavkastning i förhållande till motsvarande index. Vi har använt ekonometriska metoder för att söka efter statistiskt signifikanta skillnader mellan avkastningen för hedgefonder och traditionella fonder.

Våra resultat visar att svenska hedgefonder inte genererar högre risk-justerade avkastningar än svenska aktiefonder. Våra resultat visar inga signifikanta skillnader vad gäller avkastning mellan olika strategier. Slutligen finner vi heller inga bevis för att hedgefonder går emot den effektiva marknadshypotesen

Place, publisher, year, edition, pages
TRITA-MAT-K, 2014:02
Keyword [en]
Hedge fund, absolute returns, hedge fund strategies, regression analysis, mutual funds, risk-adjusted return, Sharpe ratio, Effective market hypothesis
Keyword [sv]
Hedgefond, absolutavkastning, hedgefondsstrategier, regressionsanalys, aktiefond, riskjusterad avkastning, Sharpekvot, Effektiva marknadsteorin
National Category
Mathematical Analysis
URN: urn:nbn:se:kth:diva-146730OAI: diva2:725036
Subject / course
Applied Mathematical Analysis
Educational program
Master of Science in Engineering - Industrial Engineering and Management
Available from: 2014-06-14 Created: 2014-06-13 Last updated: 2014-06-14Bibliographically approved

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