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

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Hedge Fund Strategy Performances during Corona Virus Disease2019

Authors
Tingyu Lei1, *
1Finance Department Southwestern University of Finance and Economics, Chengdu, China
*Corresponding author. Email: 41904548@smail.swufe.edu.cn
Corresponding Author
Tingyu Lei
Available Online 29 December 2022.
DOI
10.2991/978-94-6463-042-8_43How to use a DOI?
Keywords
Merger Arbitrage Strategy; Long Short Equity Trade; Hedge Fund Strategy; Industries; COVID-19
Abstract

The COVID-19 has brought huge impact on the capital market around the global. Since hedge fund is regarded as a useful risk manage tool, investors became curious of the profitability of this financial strategy. This article presents the performance of two main strategies-merger arbitrage and long short equity trade-utilized in hedge funds from the beginning of 2020 to the end of 2021. Stocks in each strategy are chosen from fields covering consumption, luxury,medicine and real estate. The cases of merger arbitrage strategy analyzed in this paper were chosen from presented news or announcements, while the portfolios of long short equity trades were selected based on its correlation and beta. In the following analysis, historical data of all involved stock prices were analyzed through line charts. Furthermore, the performance of each hedge case was measured through excess return, Sharpe ratio and Sortino ratio. Based on comparisons, long short equity outperforms merger arbitrage in usual cases and field profitability follows luxury > medicine > consumption > real estate. These results shed light on guiding investment decision in terms of hedge fundstrategies.

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_43How 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  - Tingyu Lei
PY  - 2022
DA  - 2022/12/29
TI  - Hedge Fund Strategy Performances during Corona Virus Disease2019
BT  - Proceedings of the 2022 International Conference on mathematical statistics and economic analysis (MSEA 2022)
PB  - Atlantis Press
SP  - 292
EP  - 300
SN  - 2352-538X
UR  - https://doi.org/10.2991/978-94-6463-042-8_43
DO  - 10.2991/978-94-6463-042-8_43
ID  - Lei2022
ER  -