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Conditional Hedge Fund trades on macroeconomic information

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Meessen, Thomas ULg
Promotor(s) : Lambert, Marie ULg
Date of defense : 23-Jun-2016/28-Jun-2016 • Permalink : http://hdl.handle.net/2268.2/1483
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Title : Conditional Hedge Fund trades on macroeconomic information
Author : Meessen, Thomas ULg
Date of defense  : 23-Jun-2016/28-Jun-2016
Advisor(s) : Lambert, Marie ULg
Committee's member(s) : Fays, Boris ULg
Bazgour, Tarik ULg
Language : English
Number of pages : 96
Keywords : [en] hedge fund
[en] hedge funds
[en] macroneconomic indicators
[en] macroeconomic variables
[en] hedge fund performance
[en] conditional multifactor model
[en] conditonal model
Discipline(s) : Business & economic sciences > Finance
Institution(s) : Université de Liège, Liège, Belgique
Degree: Master en sciences de gestion, à finalité spécialisée en Banking and Asset Management
Faculty: Master thesis of the HEC-Ecole de gestion de l'ULg

Abstract

[en] The recent volatile economic conditions have casted doubt on the supremacy of the hedge fund industry, which should not be correlated with markets. The primarily goal of this thesis is to understand dynamic management style, followed by hedge fund managers and how they have generated returns over these recent market conditions. A conditional multifactor model is developed where traditional buy-and-hold factors are conditioned to one month lagged US macroeconomic indicators. The results confirm the heterogeneity of hedge fund strategies and their exposures to risks factors, as well as the non-normality in their return distributions. The incorporation of conditional buy-and-hold factors on macroeconomic indicators improves the goodness of fit for the model. Managers dynamically manage their exposures in response to changes in their macroeconomic environment. However, managers do not exhibit good timing skills and were not able to generate abnormal returns. Systematic risk is more powerful than unsystematic risk in explaining fund returns. The results contradict the hypothesis of superior performance of hedge funds.


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Description: Auteur: Thomas Meessen
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Author

  • Meessen, Thomas ULg Université de Liège > Master sc. gest., fin. spéc. banking & asset (ex 2e master)

Promotor(s)

Committee's member(s)

  • Fays, Boris ULg Université de Liège - ULg > HEC-Ecole de gestion de l'ULg : UER > Analyse financière et finance d'entreprise
    ORBi View his publications on ORBi
  • Bazgour, Tarik ULg Université de Liège - ULg > HEC-Ecole de gestion de l'ULg : UER > Gestion financière et consolidation
    ORBi View his publications on ORBi
  • Total number of views 48
  • Total number of downloads 26










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