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Georgia State University

Mathematics Theses

Theses/Dissertations

2006

Jensen's alpha

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Evaluation Of Hedge Funds Performance, Jing Qian Aug 2006

Evaluation Of Hedge Funds Performance, Jing Qian

Mathematics Theses

Hedge funds are private investment funds characterized by unconventional strategies. This thesis employed multi-factor CAPM to evaluate the performance, or manager skill of hedge funds investment segments by using CSFB/Tremont Hedge Fund Indices from January 1994 to September 2005. The performance evaluation is based on the concept of ¡°Jansen¡¯s alpha¡±, which is estimated by applying Generalized Method of Moment. The finding is that hedge funds industry in general displayed the ability to outperform market proxy. Global Macro shows the strongest manager skill, followed by Event Driven, Equity Market Neutral and Long/Short Equity. This thesis also investigates the consistency of hedge …