Style analysis and Value-at-Risk of Asia-focused hedge funds

Haijie Weng and Stefan Trück
Authors registered in the RePEc Author Service: Stefan Trueck ()

Pacific-Basin Finance Journal, 2011, vol. 19, issue 5, 491-510

Abstract: In this paper we identify risk factors for Asia-focused hedge funds through a modified style analysis technique. Using an Asian hedge fund index, we find that Asian hedge funds show significant positive exposures to emerging equity markets. For both a static and rolling period style analysis, our model provides a high explanatory power for returns of the considered hedge fund index. We further conduct a Value-at-Risk analysis using the results of a rolling window style analysis as inputs. Our findings suggest that the considered parametric models outperform a simple historical simulation that is purely based on past return observations.

Keywords: Hedge; fund; Style; analysis; Value-at-Risk; Emerging; markets (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:19:y:2011:i:5:p:491-510

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