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Emerging market hedge funds: Do they perform like regular hedge funds?


  • Abugri, Benjamin A.
  • Dutta, Sandip


In this study, we investigate whether the performance of emerging market hedge funds (EMHFs) follow a pattern similar to that reported for advanced market hedge funds. In contrast to the pre-2007 period, our results for the post-2006 period show that EMHFs exhibit performance patterns similar to those reported for hedge funds that focus on the developed markets. Unlike in the pre-2007 period, EMHFs in general do not exhibit significant exposure to specific asset classes in the post-2006 period. On a risk-adjusted basis, we find that EMHFs do not consistently outperform the benchmarks. The reported performance patterns may provide useful insights to both academics and portfolio managers.

Suggested Citation

  • 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.
  • Handle: RePEc:eee:intfin:v:19:y:2009:i:5:p:834-849

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    References listed on IDEAS

    1. Fung, William & Hsieh, David A., 1999. "A primer on hedge funds," Journal of Empirical Finance, Elsevier, vol. 6(3), pages 309-331, September.
    2. Amin, Gaurav S. & Kat, Harry M., 2003. "Hedge Fund Performance 1990–2000: Do the “Money Machines” Really Add Value?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 38(02), pages 251-274, June.
    3. Fung, William & Hsieh, David A., 2000. "Performance Characteristics of Hedge Funds and Commodity Funds: Natural vs. Spurious Biases," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 35(03), pages 291-307, September.
    4. Carl Ackermann & Richard McEnally & David Ravenscraft, 1999. "The Performance of Hedge Funds: Risk, Return, and Incentives," Journal of Finance, American Finance Association, vol. 54(3), pages 833-874, June.
    5. Elton, Edwin J & Gruber, Martin J & Rentzler, Joel C, 1987. "Professionally Managed, Publicly Traded Commodity Funds," The Journal of Business, University of Chicago Press, vol. 60(2), pages 175-199, April.
    6. Jobson, J D & Korkie, Bob M, 1981. "Performance Hypothesis Testing with the Sharpe and Treynor Measures," Journal of Finance, American Finance Association, vol. 36(4), pages 889-908, September.
    7. Fung, William & Hsieh, David A, 1997. "Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds," Review of Financial Studies, Society for Financial Studies, vol. 10(2), pages 275-302.
    8. Eling, Martin & Schuhmacher, Frank, 2007. "Does the choice of performance measure influence the evaluation of hedge funds?," Journal of Banking & Finance, Elsevier, vol. 31(9), pages 2632-2647, September.
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    Cited by:

    1. Basu, Anup K. & Huang-Jones, Jason, 2015. "The performance of diversified emerging market equity funds," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 35(C), pages 116-131.
    2. Eling, Martin & Faust, Roger, 2010. "The performance of hedge funds and mutual funds in emerging markets," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1993-2009, August.
    3. Khaled Guesmi & Saoussen Jebri & Abdelkarim Jabri & Frédéric Teulon, 2014. "Are hedge funds uncorrelated with financial markets? An empirical assessment," Working Papers 2014-103, Department of Research, Ipag Business School.
    4. Kotkatvuori-Örnberg, Juha & Nikkinen, Jussi & Peltomäki, Jarkko, 2011. "Geographical focus in emerging markets and hedge fund performance," Emerging Markets Review, Elsevier, vol. 12(4), pages 309-320.
    5. Cumming, Douglas & Zhang, Yelin, 2016. "Alternative investments in emerging markets: A review and new trends," Emerging Markets Review, Elsevier, vol. 29(C), pages 1-23.
    6. repec:spt:fininv:v:7:y:2018:i:1:f:7_1_1 is not listed on IDEAS


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