| Popis: |
This study investigates the riskadjusted performance and portfolio optimization capabilities of closed, for new investors open and UCITS hedge funds and compares them with a classic equity portfolio, represented by the MSCI World. For this purpose, various performance indicators were determined and analysed. A correlation analysis and various portfolio optimizations were also carried out. The investigation period extends from 30.9.2004 to 30.4.2020. The results show that UCITS hedge funds can be considered as an adequate (regulated) substitute for hedge fund investments. Furthermore, a traditional equity portfolio can be optimized by adding UCITS hedge funds. |
