Hedge Funds in a Traditional Portfolio

ISBN-13: 9783843355094 / Angielski / Miękka / 2010 / 88 str.

Daniel Sundqvist

Opis

This paper, which is based on a positivistic epistemology, is built upon a quantitative case study where SIX Harcourt HFXS Index is optimized in purpose of achieving an outperformance in terms of the risk-adjusted return. The optimization uses an adjusted mean-variance methodology and is limited to a maintained correlation above 0,9 towards the standard SIX Harcourt HFXS Index. The optimization is created through the use of an Excel application created by Harcourt Investment Consulting. Also, based on the outperformance by Swedish hedge funds compared to global hedge funds, this study aims to show the effect of incorporating Swedish hedge funds in a traditional portfolio consisting of equities and bonds. This effect is analyzed by the use of several performance-and risk measures.

O autorze

Daniel Sundqvist graduated from Umeå School of Business with a Master in Finance. Mr. Sundqvist has several years of experience in the field of financial advisory, where hedge funds and private equity was his primary area. Mr. Sundqvist currently work with sales at a leading European agency broker and custodian, specialized in DMA towards Russia.