The Bulletin of the Institute of Economics of the Russian Academy of Sciences № 3/2024.  Finance.

Alexander A. Lomonosov

PhD student of the Faculty of Economics at Lomonosov Moscow State University, Moscow, Russia

PROSPECTS FOR AN ACTIVE INVESTMENT STRATEGY USING THE EXAMPLE OF HEDGE FUNDS

104-135

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Abstract

The article describes the current status of the hedge fund segment and their investment strategies using the analysis of financial statements, business models and the index method, when a group of hedge funds adhering to the same strategy are combined into an index. CAPM modeling, OLS and calculation of efficiency coefficients (including the Sharpe coefficient) were used. The results of the assessment allowed us to conclude that the most impactful in modern conditions is the global macro strategy of hedge funds investment. To evaluate future profitability within the framework of a given strategy, a model of dependence on market indices was developed.

Keywords: hedge funds, investment strategies, econometric modeling.

JEL: G15, G23

EDN: ZCXFCA

DOI: https://doi.org/10.52180/2073-6487_ 2024_3_104_135

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Manuscript submission date: 17.05.2024 

For citation:

Lomonosov A.A. Prospects for an Active Investment Strategy Using the Example of Hedge Fund // Vestnik Instituta Ekonomiki Rossiyskoy Akademii Nauk. 2024. № 3. Pp. 104-135. (In Russ.). https://doi.org/10.52180/2073-6487_ 2024_3_104_135  EDN: ZCXFCA

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