Strategic asset selection taxonomy : fund of hedge funds

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dc.contributor.advisorBecker, Ronalden_ZA
dc.contributor.advisorSchlebusch, Thomasen_ZA
dc.contributor.authorMokoma, Kaibeen_ZA
dc.date.accessioned2014-11-03T08:30:37Z
dc.date.available2014-11-03T08:30:37Z
dc.date.issued2010en_ZA
dc.descriptionIncludes bibliographical references (leaves 68-70).en_ZA
dc.description.abstractThis thesis develops a logical methodology to be used to assess the hedge fund managers' return time series in comparison with their peers. This enables Fund of Hedge Funds portfolio manager to identify those with required factors to be included in a portfolio. The models that had been used as the industry standard for some time are derived on the assumption of normal distribution. Hence they use only mean and standard deviation to explain all data phenomenal attributes of time series. This study project uses higher order moments and some performance measures to rank order feasible portfolios of different hedge fund strategies based on their calculated metrics. Then determine the significance of t-Statistics, thus to observe the likelihood of achieving a particular return level relative to the downside associated with that target return and also on the behavioral hypothesis that investors prefer more to less. The study proposes and examines an alternative performance measures to facilitate the investment decision making. An indication of how this may be applied across a broad range of problems in hedge funds analysis. Some performance measures capture the higher order moments of the return distributions. This method makes intuitive sense since one of the key mandates of the hedge funds is to seek to capture most upside while protecting against downside.en_ZA
dc.identifier.apacitationMokoma, K. (2010). <i>Strategic asset selection taxonomy : fund of hedge funds</i>. (Thesis). University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics. Retrieved from http://hdl.handle.net/11427/9037en_ZA
dc.identifier.chicagocitationMokoma, Kaibe. <i>"Strategic asset selection taxonomy : fund of hedge funds."</i> Thesis., University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics, 2010. http://hdl.handle.net/11427/9037en_ZA
dc.identifier.citationMokoma, K. 2010. Strategic asset selection taxonomy : fund of hedge funds. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Mokoma, Kaibe AB - This thesis develops a logical methodology to be used to assess the hedge fund managers' return time series in comparison with their peers. This enables Fund of Hedge Funds portfolio manager to identify those with required factors to be included in a portfolio. The models that had been used as the industry standard for some time are derived on the assumption of normal distribution. Hence they use only mean and standard deviation to explain all data phenomenal attributes of time series. This study project uses higher order moments and some performance measures to rank order feasible portfolios of different hedge fund strategies based on their calculated metrics. Then determine the significance of t-Statistics, thus to observe the likelihood of achieving a particular return level relative to the downside associated with that target return and also on the behavioral hypothesis that investors prefer more to less. The study proposes and examines an alternative performance measures to facilitate the investment decision making. An indication of how this may be applied across a broad range of problems in hedge funds analysis. Some performance measures capture the higher order moments of the return distributions. This method makes intuitive sense since one of the key mandates of the hedge funds is to seek to capture most upside while protecting against downside. DA - 2010 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2010 T1 - Strategic asset selection taxonomy : fund of hedge funds TI - Strategic asset selection taxonomy : fund of hedge funds UR - http://hdl.handle.net/11427/9037 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/9037
dc.identifier.vancouvercitationMokoma K. Strategic asset selection taxonomy : fund of hedge funds. [Thesis]. University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics, 2010 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/9037en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDepartment of Mathematics and Applied Mathematicsen_ZA
dc.publisher.facultyFaculty of Scienceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherMathematics of Financeen_ZA
dc.titleStrategic asset selection taxonomy : fund of hedge fundsen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMScen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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