Metadaten







Promotionsordnung


PromO05

Kumulative Dissertation


ja

Titel


Dynamic Trading Strategies of Hedge Funds: Implications for Risk and Return

Titel (englisch)



Autor/Autorin


Gisclon, Pascal

Unter Mitarbeit von



Geburtsdatum


13.11.1980

Geburtsort


Herisau

Matrikelnummer


99629560

Schlagwörter (GND)


Hedge Fund; Anlagepolitik; Performance (Kapitalanlage); Geschichte 1995-2009

DDC (Dewey Decimal Classification)


Wirtschaft - 330

Freie Stichwörter (deutsch)


Risikoanalyse; Kapitalmarkttheorie

Freie Stichwörter (englisch)


Hedge funds; commodity trading advisor; linear factor model; smooth transition regression; lookback straddle; moving average rule; performance evaluation; market timing; liquidity; VIX

Kurzfassung


Diese Dissertation besteht aus drei einzelnen Studien, welche nichtlineare Renditemuster von Hedge Fonds in Bezug auf traditionelle Anlageklassen untersuchen. Solche Renditemuster können von dynamischen Handelsstrategien wie z.B. Trend Following herrühren, oder aber auch durch Convergence Trading, wobei auf die Konvergenz der relativen Preise von ähnlichen Wertpapieren spekuliert wird, bedingt sein. Während die erwähnten Nichtlinearitäten in der ersten Studie durch einfache dynamische Handelsstrategien direkt abgebildet werden, wird in den beiden anderen Studien das zeitvariable und zustandsabhängige Exposure gegenüber fundamentalen Risikofaktoren explizit modelliert.

Kurzfassung (englisch)


This thesis consists of three single-authored essays which investigate the nonlinear return patterns of hedge funds with respect to traditional asset classes. Such return patterns may for instance stem from dynamic trading strategies such as trend following or, alternatively, from convergence trading strategies which bet on the relative prices of related assets to converge and often involve illiquid securities as well as substantial leverage. While the first chapter tries to directly capture the nonlinearities by means of simple dynamic trading strategies, the other two chapters focus on modeling the time-varying and state-dependent exposures to underlying risk
factors. Besides giving a brief overview of the literature, Chapter 1 motivates the contributions of the essays and summarizes the main findings.

The first essay is presented in Chapter 2. While the lookback straddle factors of Fung & Hsieh (2001) may provide a sound proxy for trend followers' payoff patterns, they do not correspond to CTAs' actual trading practices. Real-world CTAs trade on futures rather
than options markets where they try to identify trends and reversals of prices by using systematic, computer-driven trading rules. Building on these considerations, this paper proposes to model CTAs in a linear factor model framework where the benchmark factor is
given by simple moving average rule strategies implemented on commodity, currency, stock and bond markets. In contrast to the lookback straddle benchmark, the moving average rule benchmarks capture variation as well as average level of the funds' excess
returns.

The second essay is presented in Chapter 3. Building on these considerations, the lookback straddle benchmark of Fung & Hsieh (2001) is applied in a conditional linear factor model setting in order to examine whether and how the risk-adjusted performance of Commodity Trading Advisors depends on the state of the economy. The results show that the risk-adjusted performance of the average fund behaves counter-cyclically.

The third essay is presented in Chapter 4. Using a smooth transition regression model, I examine whether and how the alphas and betas of hedge funds depend on different market regimes between March 1995 and June 2009. The smooth transition regressions show that hedge funds exhibit highly state-dependent exposures to fundamental risk factors. Generally speaking, the directional strategies tend to react positively to the high VIX regime whereas the relative value strategies seem to be negatively exposed to the high VIX regime.

Universität


Universität St.Gallen

Referent/Referentin


Söderlind, Paul (Prof. PhD)

Korreferent/Korreferentin


Dahlquist, Magnus (Prof. PhD)

Erweitertes Diss. Komitee


Audrino, Francesco (Prof. PhD)

Fachgebiet


Economics and Finance (PEF)

Sprache


ENG

Promotionstermin (dd.mm.yyyy)


19.09.2011

Erstellungsjahr (yyyy)


2011

Dokumentart


Dissertation

Format


PDF

Dissertationsnummer


3894

Quelle



PDF-File


dis3894.pdf

Dokumentverknüpfung


Link zu diesem Dokument







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