CIRJE-F-524 "Selection and Performance Analysis of Asia-Pacific Hedge Funds"
Author Name Hakamada, Takeshi, Akihiko Takahashi and Kyo Yamamoto
Date November 2007
Full Paper @
Remarks Revised version of CIRJE-F-434(2006); 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 located or invested in Asia-Pacific. It investigates the characteristics of the funds' returns and recommends optimization methods to create a 'Fund-of-Funds'. The returns of the hedge funds are then decomposed into asset class factors. Finally, portfolio optimizations and performance analyses are integrated to show how these methods are utilized in practice.