| Abstract [eng] |
The doctoral dissertation develops the methodology of building the regional hedge funds’ performance measurement models, which underline the importance of the region-specific risk factors, embedding the investment environment crisis and regulation factors, and reflecting the hedge fund managers’ contribution – alpha. Due to their unique strategies focused on absolute return and high diversification, hedge funds’ performance is often analyzed by non-linear connections with market risk factors. However, the author seeks robust performance measurement models based on the Fung-Hsieh 8-factor model with linear dependencies. The research uses panel data models, allowing fund-specific national risk factors and investment environment periods. The models revealed equity and fixed-income strategy hedge funds’ significant dependence on the national stock and bond risk factors, while CTA funds’ performance - was on commodity and other financial asset prices. The longevity of the Nordic hedge funds analyzed in the research resulted in a positive crisis alpha premium indicating Nordic region hedge fund managers’ abilities to overcome the crisis. The applied fixed effect allows rating hedge funds by alpha in a predefined coherent pool of hedge funds. The developed methodology reflects the region specifics and can be transformed to other regions with their hedge fund investment peculiarities. |
