Ricerca | Progetti

HEDGE FUNDS AND ALTERNATIVE INVESTMENTS

The objective of research is measuring the impact of style (and strategy) grouping on fund performances. We are interested in checking the value added up in terms of performances when the asset managers follow different investment policies and understanding if there are consistent patterns connected with some styles or strategies. In this respect, considering the recent historically economic downturns, we are interested in testing the different style/strategy approaches under different stress conditions, particularly during, before and after the financial crisis period.We are then committed to the position of an investor seeking an extra return from the alternative investment and therefore we want to measure extra value added by the different management policies over a traditional equity investment. Given this we want to compare the “alternative premium” of style-grouped funds against the market benchmark, while weighing specific risk of those groups.Regarding the crisis window, we are aware that the selection of a different time window, bearing some particular properties (in this case a downturn) involves always a certain degree of subjectivity, but a formal and thorough analysis of the past financial crisis, its roots and its conclusive path is beyond the scope of this research. Here we are concerned to verify how and if the chosen time range “can” affect and “can be” affected by empirical results. Anyway a number of research articles deal with the 2008 crisis, (e.g. see Ivashina et al).Since the hedge funds are often assumed to be a form of alternative investment potentially bearing a premium over traditional investments, it seem appropriate to investigate how the different investment policies compare against an equity investment. To carry out this analysis we will try to define a specific measure, which we can now preliminary define as Alternative Excess Return. The idea is to define the measure in a CAPM style, where the risk free rate will be substituted by the market factor, representing the traditional market style. Since the market is factor, which can be a major market, is stochastic we are aware and (and willing to take) the challenges that the developed of this measure will imply. As of now we plan to adopt a quantitative framework similar to that backing the Sortino measure, despite the practical and theoretical development might bring in a different direction.