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Selection and Performance Analysis of Asia-Pacific Hedge Funds

Author

Listed:
  • Takeshi Hakamada

    (GCI Asset Management, Inc.)

  • Akihiko Takahashi

    (Faculty of Economics, University of Tokyo)

  • Kyo Yamamoto

    (Graduate School of Economics, University of Tokyo)

Abstract

This paper studies portfolio selection and performance analysis of hedge funds whose locations or investment targets are Asia-Pacific region. Utilizing Eurekahedge database, we investigate the characteristics of the funds' returns and optimization methods to create a fund of funds. Moreover, we decompose the returns of the hedge funds into risk factors which are observable in financial markets such as stock indices. Then, we attempt to manage a fund of funds by applicating those analyses.

Suggested Citation

  • Takeshi Hakamada & Akihiko Takahashi & Kyo Yamamoto, 2006. "Selection and Performance Analysis of Asia-Pacific Hedge Funds," CIRJE F-Series CIRJE-F-434, CIRJE, Faculty of Economics, University of Tokyo.
    • Handle: RePEc:tky:fseres:2006cf434
    as

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