December 1st, 2022, Mykolas Romeris University (MRU) doctoral student Danielius Kolisovas successfully defended his PhD dissertation, "Determinants of the Regional Hedge Fund Performance: Evidence from Nordic Countries."

Research supervisors were: MRU Prof. Gintarė Giriūnienė (2018-2022) and MRU Prof. Eduardas Freitakas (2014-2017).

Chairman of the Defense Committee was: MRU Prof. Asta Vasiliauskaitė.

The doctoral dissertation develops the methodology of building the regional hedge funds' performance measurement models, which underline the importance of the region-specific risk factors, embedding the investment environment crisis and regulation factors, and reflecting the hedge fund managers' contribution – alpha. Due to their unique strategies focused on absolute return and high diversification, hedge funds' performance is often analyzed by non-linear connections with market risk factors. However, the author seeks robust performance measurement models based on the Fung-Hsieh 8-factor model with linear dependencies. The research uses panel data models, allowing fund-specific national risk factors and investment environment periods. The models revealed equity and fixed-income strategy hedge funds' significant dependence on the national stock and bond risk factors, while CTA funds' performance - was on commodity and other financial asset prices. The longevity of the Nordic hedge funds analyzed in the research resulted in a positive crisis alpha premium indicating Nordic region hedge fund managers' abilities to overcome the crisis. The applied fixed effect allows rating hedge funds by alpha in a predefined coherent pool of hedge funds. The developed methodology reflects the region specifics and can be transformed to other regions with their hedge fund investment peculiarities.

More info about the dissertation here.