Title page for ETD etd-04082010-121647


Document Type Master's Dissertation
Author Khalaki, Lindiwe
URN etd-04082010-121647
Document Title Performance factors in the Hedge Fund Industry
Degree MBA
Department Gordon Institute of Business Science
Supervisor
Advisor Name Title
Dr T Mosala Supervisor
Keywords
  • hedge fund industry
Date 2010-04-03
Availability unrestricted
Abstract

Alternative investments are a new but fast growing phenomenon in the South African market, hedge funds in particular were introduces to our market in the year 2000. Assets under management by hedge funds have enjoyed fast growth over the years relative to assets managed by mutual funds. Including hedge funds in an investment portfolio represents a unique proven opportunity for pension funds to protect their investments during bear markets.

Unfortunately only a limited number of investors outside the industry understand what factors drive returns in hedge fund strategies. The hedge fund industry is still a mystery to many investors who as a result have not been able to take advantage of absolute returns generated through investing in hedge funds.

This quantitative research aimed to determine which dominant factors drive strategy aggregate returns in the Hedge Fund Industry through correlation. It also aimed to analyse regression of these factors to returns on different strategies as well as among themselves. Lastly to develop models of hedge fund aggregate returns by equity strategy using the Arbitrage Pricing Theory (APT) model.

Results of the research show that the Mid Cap index is the primary driver of equity strategies selected in this research. The Long Short interest rates as the secondary driver, the Long Bias has the small cap index and global markets as the secondary driver, for the Market Neutral strategy has a short position in small caps as its secondary performance and resource indices are the secondary performance drivers for the Global Macro strategy.

2009 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria.

Please cite as follows:

Khalaki, L 2009, Performance factors in the hedge fund industry, MBA dissertation, University of Pretoria, Pretoria, viewed yymmdd < http://upetd.up.ac.za/thesis/available/etd-04082010-121647/ >

G10/315/ag

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