IDEAS home Printed from https://ideas.repec.org/a/osi/journl/v5y2009p481-493.html
   My bibliography  Save this article

The Empirical Study of Equity Long Only Hedge Funds Performance in 2007 - 2008

Author

Listed:
  • Izabela Pruchnicka-Grabias

    (Warsaw School of Economics, Poland)

Abstract

The purpose of the research is to measure the investment results of hedge funds in 2007 and 2008 that is during the bull and the bear market. The S&P500 index was used as a benchmark. It was shown that the majority of institutions whose aim is to generate absolute rates of return, and what refers to it, to generate better rates of return than traditional investments irrespective of the market situation, broke this rule. Such measures were taken into consideration as: rates of return, risk measured by standard deviation, risk measured by beta, the level of alpha, the correlation of the examined funds with traditional assets and the Sharpe ratio. The research presented in the paper is a part of the wider research conducted by the author for over 200 hedge funds divided into different investment strategies. The paper deals with 20 hedge funds chosen at random from those which applied the equity long only strategy in the examined period.

Suggested Citation

  • Izabela Pruchnicka-Grabias, 2009. "The Empirical Study of Equity Long Only Hedge Funds Performance in 2007 - 2008," Interdisciplinary Management Research, Josip Juraj Strossmayer University of Osijek, Faculty of Economics, Croatia, vol. 5, pages 481-493.
    • Handle: RePEc:osi:journl:v:5:y:2009:p:481-493
    as

    Download full text from publisher

    File URL: http://www.efos.hr/repec/osi/journl/PDF/InterdisciplinaryManagementResearchV/IMR5a40.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Shi, Huai-Long & Zhou, Wei-Xing, 2022. "Factor volatility spillover and its implications on factor premia," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    2. Ho, Ron Yiu-wah & Strange, Roger & Piesse, Jenifer, 2006. "On the conditional pricing effects of beta, size, and book-to-market equity in the Hong Kong market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(3), pages 199-214, July.
    3. Muhammad Kashif & Thomas Leirvik, 2022. "The MAX Effect in an Oil Exporting Country: The Case of Norway," JRFM, MDPI, vol. 15(4), pages 1-16, March.
    4. Michel Fliess & Cédric Join, 2009. "Systematic risk analysis: first steps towards a new definition of beta," Post-Print inria-00425077, HAL.
    5. Barbara Fidanza & Ottorino Morresi, 2021. "Size and Value Anomalies in European Bank Stocks," International Journal of Business and Management, Canadian Center of Science and Education, vol. 13(12), pages 227-227, July.
    6. Bo-Hung Chiou & Shen-Ho Chang, 2020. "Influence of Investment Efficiency by Managers and Accounting Conservatism on Idiosyncratic Risks to Investors," Advances in Management and Applied Economics, SCIENPRESS Ltd, vol. 10(1), pages 1-8.
    7. Constantinos Antoniou & John A. Doukas & Avanidhar Subrahmanyam, 2016. "Investor Sentiment, Beta, and the Cost of Equity Capital," Management Science, INFORMS, vol. 62(2), pages 347-367, February.
    8. Radosław Kurach, 2013. "Does Beta Explain Global Equity Market Volatility – Some Empirical Evidence," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 7(2), June.
    9. Zabolotnyy, Serihiy & Wasilewski, Mirosław, 2018. "Operating and financial leverage as risk measures in agricultural companies," Problems of Agricultural Economics / Zagadnienia Ekonomiki Rolnej 276377, Institute of Agricultural and Food Economics - National Research Institute (IAFE-NRI).
    10. Shi, Yun & Cui, Xiangyu & Zhou, Xunyu, 2020. "Beta and Coskewness Pricing: Perspective from Probability Weighting," SocArXiv 5rqhv, Center for Open Science.
    11. Abugri, Benjamin A. & Dutta, Sandip, 2014. "Are we overestimating REIT idiosyncratic risk? Analysis of pricing effects and persistence," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 249-259.
    12. David E. Allen & Michael McAleer & Abhay K. Singh, 2019. "Daily market news sentiment and stock prices," Applied Economics, Taylor & Francis Journals, vol. 51(30), pages 3212-3235, June.
    13. Sree Vinutha Venkataraman, 2023. "A remark on mean‐semivariance behaviour: Downside risk and capital asset pricing," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(3), pages 2683-2695, July.
    14. Flouris, Triant & Walker, Thomas, 2005. "Financial Comparisons Across Different Business Models in the Canadian Airline Industry," 46th Annual Transportation Research Forum, Washington, D.C., March 6-8, 2005 208157, Transportation Research Forum.
    15. repec:dau:papers:123456789/2256 is not listed on IDEAS
    16. Dipankar Mondal & N. Selvaraju, 2022. "Convexity, two-fund separation and asset ranking in a mean-LPM portfolio selection framework," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 44(1), pages 225-248, March.
    17. Anders Johansson, 2009. "An analysis of dynamic risk in the Greater China equity markets," Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, vol. 7(3), pages 299-320.
    18. Sanchez-Romero, Miguel, 2006. "“Demand for Private Annuities and Social Security: Consequences to Individual Wealth”," Working Papers in Economic Theory 2006/07, Universidad Autónoma de Madrid (Spain), Department of Economic Analysis (Economic Theory and Economic History).
    19. Grossman, Richard, 2017. "Stocks for the Long Run: New Monthly Indices of British Equities, 1869-1929," CEPR Discussion Papers 12121, C.E.P.R. Discussion Papers.
    20. Chia-Lin Chang & Jukka Ilomäki & Hannu Laurila & Michael McAleer, 2018. "Long Run Returns Predictability and Volatility with Moving Averages," Risks, MDPI, vol. 6(4), pages 1-18, September.
    21. Hany Shawky & Ronald Forbes & Alan Frankle, 1983. "Liquidity Services and Capital Market Equilibrium: The Case for Money Market Mutual Funds," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 6(2), pages 141-152, June.

    More about this item

    Keywords

    hedge funds; investments;

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:osi:journl:v:5:y:2009:p:481-493. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Hrvoje Serdarusic, PhD (email available below). General contact details of provider: https://edirc.repec.org/data/efosihr.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.