CIRJE-F-434. Hakamada, Takeshi, Akihiko Takahashi and Kyo Yamamoto, "Selection and Performance Analysis of Asia-Pacific Hedge Funds", September 2006.

This paper studies portfolio selection and performance analysis of hedge funds whose locations or investment targets are Asia-Paci?c region. Utilizing Eurekahedge database, we investigate the characteristics of the funds' returns and optimization methods to create a fund of funds. Moreover, we decompose the returns of the hedge funds into risk factors which are observable in ?nancial markets such as stock indices. Then, we attempt to manage a fund of funds by applicating those analyses.