Hedge Funds’ Performance within the Subprime Mortgage and Financial Crisis 2007/2008
|Author:||Mgr. Simona Riemlová|
|Year:||2008 - summer|
|Leaders:|| prof. PhDr. Petr Teplý Ph.D.
|Work type:|| Finance, Financial Markets and Banking
|Awards and prizes:|
|Abstract:||This thesis contributes to the discussion about the hedge funds’ role in the global economy. The main target of the thesis is an assessment of hedge funds’ performance on a long-term basis and how they reacted to the subprime mortgage crisis that developed in mid-2007. The first part (Chapters 2-4) is dedicated to an overview of hedge funds, their strategies and historical performance. The subprime mortgage crisis of 2007/2008 is reviewed in Chapter 5. In an empirical part of the thesis (Chapters 7 and 8), we familiarize the reader with the data and empirical methods used. We use selected hedge fund indices to examine their performance through the following measures – correlation of the hedge fund indices with the selected stock market indices, average yield, standard deviation of returns and the Sharpe ratio. We conclude that, on a long-term basis, the overall hedge fund industry outperforms the stock market and that hedge funds deliver a higher long-term return and a lower volatility of returns. As regards the subprime mortgage crisis, returns and risks reported by hedge funds changed in the same direction as the global economy. In addition, a majority of hedge fund strategies has seen a decline in their returns and often a slighter increase of the return volatility. However, these changes were more moderate than concerning the stock markets. In conclusion, we outline some other explanations of a hedge funds’ persisting success.|
|Downloadable:|| Diploma Thesis of Riemlova