Geographical focus in emerging markets and hedge fund performance
Emerging market hedge funds are an asset class which does not seem to outperform the market benchmarks. We hypothesize that the poor aggregate performance may be due to lack of focus of these funds. Our results suggest that a portfolio of emerging market hedge funds, which have geographical focuses, outperform their underlying stock markets. Hedge funds which focus on Eastern Europe appear to have the best outperformance. However, we also find that the performance of all emerging market hedge funds has reduced after the start of the 2008 Crisis.
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- Marcin Kacperczyk & Clemens Sialm & Lu Zheng, 2005.
"On the Industry Concentration of Actively Managed Equity Mutual Funds,"
Journal of Finance,
American Finance Association, vol. 60(4), pages 1983-2011, 08.
- Marcin Kacperczyk & Clemens Sialm & Lu Zheng, 2004. "On the Industry Concentration of Actively Managed Equity Mutual Funds," NBER Working Papers 10770, National Bureau of Economic Research, Inc.
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- Huij, Joop & Post, Thierry, 2011. "On the performance of emerging market equity mutual funds," Emerging Markets Review, Elsevier, vol. 12(3), pages 238-249, September.
- Melvyn Teo, 2009. "The Geography of Hedge Funds," Review of Financial Studies, Society for Financial Studies, vol. 22(9), pages 3531-3561, September.
- Abugri, Benjamin A. & Dutta, Sandip, 2009. "Emerging market hedge funds: Do they perform like regular hedge funds?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(5), pages 834-849, December.
- Kosowski, Robert & Naik, Narayan Y. & Teo, Melvyn, 2007. "Do hedge funds deliver alpha? A Bayesian and bootstrap analysis," Journal of Financial Economics, Elsevier, vol. 84(1), pages 229-264, April.
- Aragon, George O., 2007. "Share restrictions and asset pricing: Evidence from the hedge fund industry," Journal of Financial Economics, Elsevier, vol. 83(1), pages 33-58, January.
- Naranjo, Andy & Porter, Burt, 2007. "Including emerging markets in international momentum investment strategies," Emerging Markets Review, Elsevier, vol. 8(2), pages 147-166, May.
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