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

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  • Weng, Haijie
  • Trück, Stefan

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.

Suggested Citation

  • Weng, Haijie & Trück, Stefan, 2011. "Style analysis and Value-at-Risk of Asia-focused hedge funds," Pacific-Basin Finance Journal, Elsevier, vol. 19(5), pages 491-510, November.
    • Handle: RePEc:eee:pacfin:v:19:y:2011:i:5:p:491-510
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    2. Wei Rong Ang & Greg N Gregoriou & Hooi Hooi Lean, 2014. "Market-timing skills of socially responsible investment fund managers: The case of North America versus Europe," Journal of Asset Management, Palgrave Macmillan, vol. 15(6), pages 366-377, December.
    3. Katherine Uylangco & Siqiwen Li, 2016. "An evaluation of the effectiveness of Value-at-Risk (VaR) models for Australian banks under Basel III," Australian Journal of Management, Australian School of Business, vol. 41(4), pages 699-718, November.
    4. Syed Kumail Abbas Rizvi & Nawazish Mirza & Bushra Naqvi & Birjees Rahat, 2020. "Covid-19 and asset management in EU: a preliminary assessment of performance and investment styles," Journal of Asset Management, Palgrave Macmillan, vol. 21(4), pages 281-291, July.
    5. Stephanos Papadamou & Nikolaos A. Kyriazis & Lydia Mermigka, 2017. "Japanese Mutual Funds before and after the Crisis Outburst: A Style- and Performance-Analysis," IJFS, MDPI, vol. 5(1), pages 1-20, March.
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    7. Syed Kumail Abbas Rizvi & Nawazish Mirza & Bushra Naqvi & Birjees Rahat, 0. "Covid-19 and asset management in EU: a preliminary assessment of performance and investment styles," Journal of Asset Management, Palgrave Macmillan, vol. 0, pages 1-11.

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