HEDGE FUNDS IN ASIA PACIFIC

This paper looks at the performance of Hedge Funds (HFs) in Asia Pacific using survivorship bias free Eurkahedge HF Index from January 2000 to October 2018 and compares them to Asian Pacific stocks, bonds, and a portfolio of 65% stocks/35% bonds. We find that HFs have significantly outperformed stocks in Asia Pacific and had better absolute- and risk-adjusted (Sharpe, Sortino, and Omega Ratios) performance. However, HFs underperformed bonds and had inferior risk-adjusted performance. HFs also had lower risk and provided superior downside protection compared to both stocks and bonds. HFs also have significantly positive alpha and have created much more wealth. During the 2007 global financial crisis, HFs lost less value compared to Asian stocks but more than Asian bonds. Overall, results indicate that HFs in Asia Pacific have added lot of value for their investors.

關鍵字

Hedge Funds ； Asia Pacific Markets ； Risk-Adjusted Performance ； Alpha

參考文獻

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HEDGE FUNDS IN ASIA PACIFIC

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