Event Driven Hedge Funds and the Business Cycle - Soosova, Karin
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Even driven hedge funds are often claimed to be cyclical, resp. to be strongly dependent on the state of the aggregate economy. The main goal of this work was to investigate this relationship and try to utilize the dependence in return prediction. The prediction approach here was inspired by an existing linear multi-factor model for hedge fund index returns based on financial market variables known to have explanatory power for equities. This work broadens the set of variables in the predictive model by variables which are believed to have predictive power for the business cycle. For different…mehr

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Produktbeschreibung
Even driven hedge funds are often claimed to be cyclical, resp. to be strongly dependent on the state of the aggregate economy. The main goal of this work was to investigate this relationship and try to utilize the dependence in return prediction. The prediction approach here was inspired by an existing linear multi-factor model for hedge fund index returns based on financial market variables known to have explanatory power for equities. This work broadens the set of variables in the predictive model by variables which are believed to have predictive power for the business cycle. For different event driven hedge fund indices a subset of variables with the highest explanatory power has been selected. The resulting models have been shown to have significant in- and out-of-sample performance not only for hedge fund indices but also for individual event driven hedge fund returns. This work should add to the understanding of risk drivers of event driven hedge funds in general and to the assessment of the role of macroeconomic factors in building return expectations for this strategy.
Autorenporträt
Karin Soosova, lic. oec. publ.: studied Quantitative Finance at the University of Zurich, holds the Master of Advanced Studies in Finance degree of the University of Zurich and the Swiss Federal Institute of Technology Zurich. Currently in Risk Management at Swiss Capital Alternative Investments AG, Zurich.