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dc.contributor.advisor | Muller, Chris | en |
dc.contributor.postgraduate | Boers, David Winson | en |
dc.date.accessioned | 2017-04-07T13:05:46Z | |
dc.date.available | 2017-04-07T13:05:46Z | |
dc.date.created | 2017-03-30 | en |
dc.date.issued | 2017 | en |
dc.description | Mini Dissertation (MBA)--University of Pretoria, 2017. | en |
dc.description.abstract | The purpose of this paper was to explore the passive replication of hedge fund returns as an alternative means of investment. Current popular techniques have generally shown poor out-of-sample performance. This research aimed at creating an equity factor model through the use of the "style engine" created in Muller and Ward (2013). The sample hedge funds were used to create both single period and multi period rolling window portfolios of styles. The model was able to portray the investment styles of the selected samples and imitated the in-sample performance well. However, many of the out-of-sample clones showed severe under performance and suffered systematic breaks. | en_ZA |
dc.description.availability | Unrestricted | en |
dc.description.degree | MBA | en |
dc.description.department | Gordon Institute of Business Science (GIBS) | en |
dc.description.librarian | zk2017 | en |
dc.identifier.citation | David, WB 2017, Optimal composition of hedge fund replicators in South Africa, MBA Mini Dissertation, University of Pretoria, Pretoria, viewed yymmdd <http://hdl.handle.net/2263/59809> | en |
dc.identifier.uri | http://hdl.handle.net/2263/59809 | |
dc.language.iso | en | en |
dc.publisher | University of Pretoria | en |
dc.rights | © 2017 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. | en |
dc.subject | UCTD | en |
dc.title | Optimal composition of hedge fund replicators in South Africa | en_ZA |
dc.type | Mini Dissertation | en |