Selection and Performance Analysis of Asia-Pacific Hedge Funds (Revised in November 2007, Published in "The Journal of Alternative Investments", Vol.10-3, 7-29, Winter 2007. )

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 CARF-F-073, CARF F-Series from Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo

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.

Pages: 45 pages
Date: 2006-09
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Persistent link: https://EconPapers.repec.org/RePEc:cfi:fseres:cf073

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