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Optimal composition of hedge fund replicators in South Africa
Mini Dissertation (MBA)--University of Pretoria, 2017.
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| Other Authors: | |
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| Format: | Thesis |
| Language: | English |
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University of Pretoria
2017
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| _version_ | 1867613492842856448 |
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| access_status_str | Open Access |
| author2 | Muller, Chris |
| author_browse | Muller, Chris |
| author_facet | Muller, Chris |
| collection | Thesis |
| dc_rights_str_mv | © 2017 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. |
| description | Mini Dissertation (MBA)--University of Pretoria, 2017. |
| format | Thesis |
| id | oai:repository.up.ac.za:2263/59809 |
| institution | University of Pretoria (South Africa) |
| language | English |
| last_indexed | 2026-06-10T12:37:01.063Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UPSpace — University of Pretoria Institutional Repository |
| publishDate | 2017 |
| publishDateRange | 2017 |
| publishDateSort | 2017 |
| publisher | University of Pretoria |
| publisherStr | University of Pretoria |
| record_format | dspace |
| source_str | UPSpace — University of Pretoria Institutional Repository |
| spelling | oai:repository.up.ac.za:2263/59809 Optimal composition of hedge fund replicators in South Africa Muller, Chris ichelp@gibs.co.za Boers, David Winson UCTD Mini Dissertation (MBA)--University of Pretoria, 2017. 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. zk2017 Gordon Institute of Business Science (GIBS) MBA Unrestricted 2017-04-07T13:05:46Z 2017-04-07T13:05:46Z 2017-03-30 2017 Mini Dissertation 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> http://hdl.handle.net/2263/59809 en © 2017 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. application/pdf University of Pretoria |
| spellingShingle | UCTD Optimal composition of hedge fund replicators in South Africa |
| title | Optimal composition of hedge fund replicators in South Africa |
| title_full | Optimal composition of hedge fund replicators in South Africa |
| title_fullStr | Optimal composition of hedge fund replicators in South Africa |
| title_full_unstemmed | Optimal composition of hedge fund replicators in South Africa |
| title_short | Optimal composition of hedge fund replicators in South Africa |
| title_sort | optimal composition of hedge fund replicators in south africa |
| topic | UCTD |
| url | http://hdl.handle.net/2263/59809 |