An identification [of] the sources of risk in hedge funds

Li, Taowei

dc.contributor.advisor	Boabang, Francis
dc.creator	Li, Taowei
dc.date.accessioned	2013-10-03T15:07:07Z
dc.date.available	2013-10-03T15:07:07Z
dc.date.issued	2013
dc.identifier.uri	http://library2.smu.ca/xmlui/handle/01/25259
dc.description	1 online resource (v, 32 p.) : ill.
dc.description	Includes abstract and appendices.
dc.description	Includes bibliographical references (p. 22-23).
dc.description.abstract	This paper identifies several sources of risk in hedge funds. Historical data are collected from January 1st, 2004 to January 1st, 2013. We employ multivariate regression model to analyze the relationship between the overall hedge fund performance indices and the ten identified sources of risk. We construct model by fitting all the variables, and then improve it based on Akaike Information Criterion (AIC) by using a stepwise algorithm. Our results indicate that the sources of equity risk, interest rate risk, emerging market risk, and macroeconomics risk are critical risk sources in the hedge fund performance modeling.	en_CA
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dc.description.provenance	Made available in DSpace on 2013-10-03T15:07:07Z (GMT). No. of bitstreams: 1 li_taowei_mrp_2013.pdf: 3672735 bytes, checksum: 863b2ef11ff1ef78e15417c3fa9e3a8c (MD5)	en
dc.language.iso	en	en_CA
dc.publisher	Halifax, N.S. : Saint Mary's University
dc.title	An identification [of] the sources of risk in hedge funds	en_CA
dc.type	Text	en_CA
thesis.degree.name	Master of Finance
thesis.degree.level	Masters
thesis.degree.discipline	Finance, Information Systems, & Management Science
thesis.degree.grantor	Saint Mary's University (Halifax, N.S.)