Emerging market hedge funds: Do they perform like regular hedge funds?

Benjamin A. Abugri and Sandip Dutta

Journal of International Financial Markets, Institutions and Money, 2009, vol. 19, issue 5, 834-849

Abstract: In this study, we investigate whether the performance of emerging market hedge funds (EMHFs) follow a pattern similar to that reported for advanced market hedge funds. In contrast to the pre-2007 period, our results for the post-2006 period show that EMHFs exhibit performance patterns similar to those reported for hedge funds that focus on the developed markets. Unlike in the pre-2007 period, EMHFs in general do not exhibit significant exposure to specific asset classes in the post-2006 period. On a risk-adjusted basis, we find that EMHFs do not consistently outperform the benchmarks. The reported performance patterns may provide useful insights to both academics and portfolio managers.

Keywords: Hegde; funds; Portfolio; performance; measures; Modified; Sharpe; Ratio; Emerging; market; hedge; funds; Risk-adjusted; returns (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:19:y:2009:i:5:p:834-849

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