Hedge funds performance vis-à-vis other asset classes and portfolio optimization

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Irfaan, Jehangur
Issue Date
MSc International Accounting and Finance
Dublin Business School
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In the last few years, there has been a growing level of dissatisfaction among investors with hedge funds whilst the financial markets have witnessed a shift toward more passive investing, that is, from actively managed Exchange Traded Funds (ETFs) to low cost passive ETFs. This thesis aimed at analyzing the performance of hedge funds and ETFs over the last five years using several risk performance measures. Other asset classes were added to enable an in-depth analysis and comparison. Finally, using the mean-variance technique, a portfolio was created and optimized.