Sökning: "Erik Barkeling"

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  1. 1. Systematisk riskexponering i svenska hedgefonder: Svenska hedgefonders exponering mot riskfaktorerna i Fung & Hsieh (2004) under perioden 2006-2007

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Erik Barkeling; [2008]
    Nyckelord :Asset-based style factor model; Cluster analysis; Hedge funds; Alternative beta; Fung-Hsieh;

    Sammanfattning : This paper aims to investigate the systematic risk exposure of Swedish hedge funds using a modified Fung & Hsieh (2004) asset-based style factor model. The results show that the average Swedish equity hedge fund and fund of funds had a significant positive exposure to the equity market portfolio and the spread between small cap and large cap stocks (SMB) during the sample period. LÄS MER