The impact of investment strategies in the financial market: empirical evidence on hedge funds.

Berthet, Victor
(2023)

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Details

Supervisors
Iania, Leonardo
Faculty
Louvain School of Management
Degree label
Master [120] en sciences de gestion, à finalité spécialisée
Abstract
This master thesis examines the level of dependency of hedge fund strategies on the S&P500. It also determines which type of relationship hedge fund strategies, and the S&P500 have. Lastly, it analyzes the correlations during 3 different crisis periods between the respective monthly return of hedge fund indices and the returns of the market. Based on the observations it can therefore be concluded that 10 hedge fund indices out of 13 are significantly dependent on the S&P500, all 10 coefficients are positive, indicating a positive relationship. Lastly, correlations strongly differ from one crisis period to another.