CIRJE-F-434 | "Selection and Performance Analysis of Asia-Pacific Hedge Funds" |
Author Name | Hakamada, Takeshi, Akihiko Takahashi and Kyo Yamamoto |
Date | September 2006 |
Full Paper | @ |
Remarks | Revised as CIRJE-F-524(2007); subsequently published in The Journal of Alternative Investments, Vol.10-3, 7-29, Winter 2007. |
Abstract |
This paper studies portfolio selection and performance analysis of hedge funds whose locations or investment targets are Asia-Pacific 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 financial markets such as stock indices. Then, we attempt to manage a fund of funds by applicating those analyses. |
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