Proceedings of the 2022 International Conference on mathematical statistics and economic analysis (MSEA 2022)

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The Performances of Different Strategies Based on Time Series Analysis

Authors
Lechen Li1, Ruohang Li2, *, Ruihan Wang3
1School of Social Science, University of California Irvine, Irvine, USA
2Department of Economic, University of California Irvine, Irvine, USA
3Department of Math, University of California Santa Barbara, Santa Barbra, USA
*Corresponding author. Email: ruohanl5@uci.edu
Corresponding Author
Ruohang Li
Available Online 29 December 2022.
DOI
10.2991/978-94-6463-042-8_93How to use a DOI?
Keywords
Hedge fund strategies; Merger arbitrage; PEG ratio; Momentum strategy
Abstract

The markets and investors had faced severe challenges during the COVID-19 Pandemic. It is important for inventors to learn the way to spread their risk from their portfolio. This paper indicates the performance of different Hedge fund strategies during the Pandemic. Hedge funds use different risk management methods to improve the performance of portfolio. We examined three different hedge fund strategies (Merger Arbitrage, Momentum Strategy and PEG ratio) in a time series to analyze the way that hedge funds help investors to improve their performance in the COVID-19 pandemic. The characteristics of different strategies are demonstrated by giving strategy models and gave results on our time series analysis. Specifically, the Microsoft and ATVI are chosen for our Merger Arbitrage; Occidental Petroleum Corporation and Netflix, INC. are selected for momentum strategy; and Macy and FedEx are selected for PEG ratio. According to the analysis, most strategies enable investors to survive under the market depression. Moreover, limitations and future prospect were also discussed. These results shed light on guiding investors to use different hedge fund strategies to lower their risks in different global circumstances.

Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 2022 International Conference on mathematical statistics and economic analysis (MSEA 2022)
Series
Advances in Computer Science Research
Publication Date
29 December 2022
ISBN
978-94-6463-042-8
ISSN
2352-538X
DOI
10.2991/978-94-6463-042-8_93How to use a DOI?
Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Lechen Li
AU  - Ruohang Li
AU  - Ruihan Wang
PY  - 2022
DA  - 2022/12/29
TI  - The Performances of Different Strategies Based on Time Series Analysis
BT  - Proceedings of the 2022 International Conference on mathematical statistics and economic analysis (MSEA 2022)
PB  - Atlantis Press
SP  - 647
EP  - 652
SN  - 2352-538X
UR  - https://doi.org/10.2991/978-94-6463-042-8_93
DO  - 10.2991/978-94-6463-042-8_93
ID  - Li2022
ER  -