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.