Hedge Fund: Bias Analysis (2009-2013)
Bhatta, Pukar (2014)
Bhatta, Pukar
Arcada - Nylands svenska yrkeshögskola
2014
All rights reserved
Julkaisun pysyvä osoite on
https://urn.fi/URN:NBN:fi:amk-201405055920
https://urn.fi/URN:NBN:fi:amk-201405055920
Tiivistelmä
Hedge fund has been developed as a complex but, profitable investment area. Financial crisis of (2007-2009) had a negative impact on the overall hedge fund industry. ‘Hedge funds, as a group lost about 20 percent, which was double the loss of 1998, their prior worst year on record’ (Kaiser and Haberfelner, 2011). Financial crisis of 2009, hit back many investors expectations as-well. Although, movement of money was slow, most of the hedge funds were steady in its return and growth. These aspects added numerous doubt and concerns regarding hedge fund return. Past researchers have already expressed concern regarding hedge fund return, which are affected by bias.
This research paper shall produce bias figures prevailing in the hedge fund industry. It shall research two prime bias: survivorship and backfill bias and calculate them to inspect, Is bias in hedge fund a crucial factor, while looking for real hedge fund growth? Barclay hedge fund database is used to conduct this research. Overall, 2411 hedge funds operating from (2009-2013) return figures are reviewed, individually.
Survivorship and backfill bias of 0.27 percentage and 0.78 percentage in average annually, are reported in this research paper. This research paper conclusion towards survivorship bias is in line with the conclusion drawn by Ackermann et al. (1991) and Brown et al. (2000) in their research paper of bias calculation. However, backfill bias in this paper is lower, compared with the past research done by several researchers on hedge fund bias analysis. Possible reasons can be, several funds who are performing well seeks anonymity rather than publicity, funds operating between (2009-2013) shows some unique returns compared to past researchers research data on different time frame.
It shall also report on the alternative to hedge fund as fund of fund (FoF). This research shall end with researcher own comprehensive observation, drawbacks in the methods used to calculate bias and government efforts in the United States and European Union, in the form of new rules and regulation towards hedge fund.
This research paper shall produce bias figures prevailing in the hedge fund industry. It shall research two prime bias: survivorship and backfill bias and calculate them to inspect, Is bias in hedge fund a crucial factor, while looking for real hedge fund growth? Barclay hedge fund database is used to conduct this research. Overall, 2411 hedge funds operating from (2009-2013) return figures are reviewed, individually.
Survivorship and backfill bias of 0.27 percentage and 0.78 percentage in average annually, are reported in this research paper. This research paper conclusion towards survivorship bias is in line with the conclusion drawn by Ackermann et al. (1991) and Brown et al. (2000) in their research paper of bias calculation. However, backfill bias in this paper is lower, compared with the past research done by several researchers on hedge fund bias analysis. Possible reasons can be, several funds who are performing well seeks anonymity rather than publicity, funds operating between (2009-2013) shows some unique returns compared to past researchers research data on different time frame.
It shall also report on the alternative to hedge fund as fund of fund (FoF). This research shall end with researcher own comprehensive observation, drawbacks in the methods used to calculate bias and government efforts in the United States and European Union, in the form of new rules and regulation towards hedge fund.