A study of the characteristics and performance of hegde funds

2008

Masteroppgave i økonomi og administrasjon - Universitetet i Agder 2008 In this thesis we have examined the characteristics and performance of hedge funds. This is done in light of the expected liberalisation of hedge fund regulations in Norway. Our analysis is mainly of foreign hedge fund indices, but also of a few individual Norwegian hedge funds for a shorter period. Hedge funds are known for superior mean-variance characteristics. At first glance they do indeed appear attractive. However, when taking into account the often disregarded higher moments of the return distribution, characteristics of negative skewness and positive excess kurtosis are revealed. This should be taken into consid…