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https://doi.org/10.21256/zhaw-19570| Publication type: | Master thesis |
| Title: | «Performance analysis of niche alternatives and hedge fund strategies» |
| Authors: | Kirant, Atabey |
| Advisors / Reviewers: | Orpiszewski, Tomasz Posth, Jan-Alexander |
| DOI: | 10.21256/zhaw-19570 |
| Extent: | 101 |
| Issue Date: | 2019 |
| Publisher / Ed. Institution: | ZHAW Zürcher Hochschule für Angewandte Wissenschaften |
| Publisher / Ed. Institution: | Winterthur |
| Language: | English |
| Subject (DDC): | 332.6: Investment |
| Abstract: | The interest of institutional investors in hedge funds as alternative investments has grown substantially over the last decade. The key reason for adding alternative investments to a well-diversified institutional portfolio is the risk-return profile, which is achieved by reducing the risk through diversification and enhancing the returns through alpha. In addition to the well-known hedge fund investment strategies, the Swiss investment company Progressive Capital Partners Ltd. offers its own specialized niche alternative assets consisting of music royalties, appraisal and litigation rights. Due to their performance characteristics, the alternative investments are intended to provide an opportunity for pension fund portfolios. The purpose of this master thesis is to analyze the monthly returns of twelve hedge fund strategies, and niche alternatives of Progressive Capital. In addition, the performance of a self-created representative Swiss pension fund portfolio is examined quantitatively with niche alternatives as an alternative asset class. The methodology for the analysis is based on a combination of principal component analysis with three different multi-factor models to explain the returns of hedge fund strategies. An extensive aggregated hedge fund database and a universe of 25 risk factors are employed for the full sample period from August 2007 to December 2018. Furthermore, a portfolio optimization analysis is used on the Swiss pension fund portfolio to evaluate the niche alternatives and other traditional alternative assets based on pension fund investment restrictions. The results showed small differences in the alphas resulting from the three different multi-factor models. The average monthly alpha is highest 0.22 % for the Fung and Hsieh eight-factor model, 0.19 % for the stepwise regression model and lowest with 0.16 % for Fung and Hsieh seven-factor model over all thirteen hedge fund strategies including the niche alternatives. According to these results, Progressive Capital performs better in all three models than the average alphas do. The highest alpha of 0.47 % was gained by the stepwise regression, followed by 0.44 % in the Fung and Hsieh eight-factor model, and 0.37 % in the Fung and Hsieh seven-factor model. |
| URI: | https://digitalcollection.zhaw.ch/handle/11475/19570 |
| License (according to publishing contract): | CC BY-NC-ND 4.0: Attribution - Non commercial - No derivatives 4.0 International |
| Departement: | School of Management and Law |
| Appears in collections: | MSc Banking and Finance |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| MasterThesis_Kirant_Atabey.pdf | 4.25 MB | Adobe PDF |  View/Open |
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Kirant, A. (2019). «Performance analysis of niche alternatives and hedge fund strategies» [Master’s thesis, ZHAW Zürcher Hochschule für Angewandte Wissenschaften]. https://doi.org/10.21256/zhaw-19570
Kirant, A. (2019) «Performance analysis of niche alternatives and hedge fund strategies». Master’s thesis. ZHAW Zürcher Hochschule für Angewandte Wissenschaften. Available at: https://doi.org/10.21256/zhaw-19570.
A. Kirant, “«Performance analysis of niche alternatives and hedge fund strategies»,” Master’s thesis, ZHAW Zürcher Hochschule für Angewandte Wissenschaften, Winterthur, 2019. doi: 10.21256/zhaw-19570.
KIRANT, Atabey, 2019. «Performance analysis of niche alternatives and hedge fund strategies». Master’s thesis. Winterthur: ZHAW Zürcher Hochschule für Angewandte Wissenschaften
Kirant, Atabey. 2019. “«Performance Analysis of Niche Alternatives and Hedge Fund Strategies».” Master’s thesis, Winterthur: ZHAW Zürcher Hochschule für Angewandte Wissenschaften. https://doi.org/10.21256/zhaw-19570.
Kirant, Atabey. «Performance Analysis of Niche Alternatives and Hedge Fund Strategies». ZHAW Zürcher Hochschule für Angewandte Wissenschaften, 2019, https://doi.org/10.21256/zhaw-19570.
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