Hedge fund of funds investment process : a South African perspective

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dc.contributor.advisorLubbe, Sugneten_ZA
dc.contributor.authorHossain, Mahzabeen Natashaen_ZA
dc.date.accessioned2014-10-17T10:09:56Z
dc.date.available2014-10-17T10:09:56Z
dc.date.issued2014en_ZA
dc.descriptionIncludes bibliographical references.en_ZA
dc.description.abstractThe objective of this dissertation is to develop and test an investment process for hedge fund of funds (HFoFs) in South Africa. The dissertation proposes a three tiered process, adapted from the works of Lo (2008). Step one of the proccess involves the categorisation of hedge funds into broadly defined groups based on predefined factors. Two classification methodologies are examined herein to determine optimal category definitions. These are 1) an adaption of the classification developed by Schneeweis and Spurgin (2000), based on the correlation of hedge funds to an appropriate benchmark and the returns offered by these hedge funds, and 2) classification by cluster analysis. Once a finite set of classification is defined, step two of the process uses a minimum variance optimisation, based on forward-looking parameter estimates of return and co-variance to compute the optimal capital allocation to these categories. The final stage of the process employs a mixture of quantitative and qualitative analysis to allocate capital within categories to individual hedge funds.en_ZA
dc.identifier.apacitationHossain, M. N. (2014). <i>Hedge fund of funds investment process : a South African perspective</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science. Retrieved from http://hdl.handle.net/11427/8528en_ZA
dc.identifier.chicagocitationHossain, Mahzabeen Natasha. <i>"Hedge fund of funds investment process : a South African perspective."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2014. http://hdl.handle.net/11427/8528en_ZA
dc.identifier.citationHossain, M. 2014. Hedge fund of funds investment process : a South African perspective. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Hossain, Mahzabeen Natasha AB - The objective of this dissertation is to develop and test an investment process for hedge fund of funds (HFoFs) in South Africa. The dissertation proposes a three tiered process, adapted from the works of Lo (2008). Step one of the proccess involves the categorisation of hedge funds into broadly defined groups based on predefined factors. Two classification methodologies are examined herein to determine optimal category definitions. These are 1) an adaption of the classification developed by Schneeweis and Spurgin (2000), based on the correlation of hedge funds to an appropriate benchmark and the returns offered by these hedge funds, and 2) classification by cluster analysis. Once a finite set of classification is defined, step two of the process uses a minimum variance optimisation, based on forward-looking parameter estimates of return and co-variance to compute the optimal capital allocation to these categories. The final stage of the process employs a mixture of quantitative and qualitative analysis to allocate capital within categories to individual hedge funds. DA - 2014 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2014 T1 - Hedge fund of funds investment process : a South African perspective TI - Hedge fund of funds investment process : a South African perspective UR - http://hdl.handle.net/11427/8528 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/8528
dc.identifier.vancouvercitationHossain MN. Hedge fund of funds investment process : a South African perspective. [Thesis]. University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2014 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/8528en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDivision of Actuarial Scienceen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherMathematical Financeen_ZA
dc.titleHedge fund of funds investment process : a South African perspectiveen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMPhilen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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