Hedge Fund Performance in Japan

Srinidhi Kanuri ()
Additional contact information
Srinidhi Kanuri: Department of Finance Real Estate and Business Law, College of Business, The University of Southern Mississippi, Scianna Hall, 118 College Drive, #5076, Hattiesburg, MS 39406, USA

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2020, vol. 23, issue 03, 1-18

Abstract: The decades of 1990s and 2000s in Japan are periods of economic stagnation and price deflation or the ‘lost 20’. Stock market has been anemic while the bond market has underperformed most developed markets. Hedge Funds (HFs) have played an extremely important role over the last two decades in Japan by forcing firms to increase distributions and making changes required to increase firm value. This paper looks at the performance of HFs in Japan using survivor bias free Eurkeahedge HF Index from January 2000 to September 2018 and compares them to Japanese stocks, bonds, and real estate. We find that HFs have significantly outperformed stocks and bonds but underperformed real estate. However, risk-adjusted performance (Sharpe, Sortino, and Omega Ratios) of HFs was much better compared to all other asset classes. HFs also had the smallest maximum drawdown, the shortest recovery period and have created the most wealth. HFs also had significantly positive alpha. Overall, results indicate that HFs in Japan have created lot of value compared to Japanese stocks and bonds.

Keywords: Hedge funds; Japanese economy; risk-adjusted performance; alpha; drawdown (search for similar items in EconPapers)
Date: 2020
References: Add references at CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S021909152050023X
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:rpbfmp:v:23:y:2020:i:03:n:s021909152050023x

Ordering information: This journal article can be ordered from

DOI: 10.1142/S021909152050023X

Access Statistics for this article

Review of Pacific Basin Financial Markets and Policies (RPBFMP) is currently edited by Cheng-few Lee

More articles in Review of Pacific Basin Financial Markets and Policies (RPBFMP) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().