Style analysis and Value-at-Risk of Asia-focused hedge funds
AbstractIn 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.
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Bibliographic InfoArticle provided by Elsevier in its journal Pacific-Basin Finance Journal.
Volume (Year): 19 (2011)
Issue (Month): 5 (November)
Contact details of provider:
Web page: http://www.elsevier.com/locate/pacfin
Hedge fund Style analysis Value-at-Risk Emerging markets;
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