Selection and Performance Analysis of Asia-Pacific Hedge Funds

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

No CARF-J-028, CARF J-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 whose locations or investment targets are Asian-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: 51 pages
Date: 2006-08
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Persistent link: https://EconPapers.repec.org/RePEc:cfi:jseres:cj028

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