Selection and Performance Analysis of Asia-Pacific Hedge Funds

Takeshi Hakamada, Akihiko Takahashi and Kyo Yamamoto
Additional contact information
Takeshi Hakamada: GCI Asset Management, Inc.
Akihiko Takahashi: Faculty of Economics, University of Tokyo
Kyo Yamamoto: Graduate School of Economics, University of Tokyo

No CIRJE-F-434, CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo

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.

Pages: 45pages
Date: 2006-09
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Persistent link: https://EconPapers.repec.org/RePEc:tky:fseres:2006cf434

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