Svenska hedgefonders investeringsstrategier och deras riskexponering

In this paper Swedish hedge funds and strategies are discussed and analysed. These new financial forms seem to draw recently a huge attention both in media, press and the academic world. The fact is that hedge funds have existed already for a long time but it is still known too little about them. After the introduction of hedge funds, different asset pricing models are discussed including the most basic of all – CAPM and further Fama and French three factor model as well as the expanding model with conditioning approach. The latter is used to measure the hedge fund strategies performance over the eight-year period 1998/01 – 2005/10. It has been chosen to perform some statistical tests before doing the final inference which is important in order to see whether the used model is right specified or not, and also because hedge funds prove to have non-normal distributed residuals as well as show autocorrelation and heteroskedasticity. However the purpose is to investigate risk exposure of the Swedish hedge fund strategies. It is known that many factors can influence funds returns. Evidently only some of the risk factors have shown significance in this study of the hedge funds for example parameters like SMB and HML. However time varying parameters show little or no significance at all. Hence, it has been rejected that risk exposures of Swedish hedge fund strategies vary over time. The main conclusion that has been made, concerning risk exposure of the Swedish hedge fund strategies, is that managers have preferred to invest mostly in the big companies than in the little. Another important conclusion is that managers have preferred to invest in the diversified portfolios with low book – to – market value over the studied period