Performance evaluation and management of Asia Pacific hedge funds

Nguyen, Thi Phuong Lan (2011) Performance evaluation and management of Asia Pacific hedge funds. PhD thesis, Multimedia University.

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Abstract

As the economies in the Asia Pacific region become more developed, there is an increasing need for sophisticated investment vehicles like hedge funds to be introduced in this region. Since the early 1990s, the hedge fund industry has been growing rapidly in the Asia Pacific region at an estimated annual growing rate of 34%. Research interest has also grown in recent decades to address many issues concerning hedge fund investment. However, fewer studies have been done for Asian hedge funds (AHFs), particularly on the issues of survivorship bias, performance persistence, fund characteristics, and portfolio construction. Therefore, the objectives of this study are: (1) to investigate the “winners repeat winners” phenomenon in the AHF industry for a period of up to 4 months, (2) to explore fund characteristics that have significant impacts on the performance of AHFs, and (3) to construct optimal portfolios of AHFs by taking into account the number of funds, fund characteristics, and investors’ preferences over the four moments of a return distribution, to see if they lead to efficient portfolio construction and different efficient frontiers.

Item Type: Thesis (PhD)
Additional Information: Call No.: HG4521 N48 2011
Subjects: H Social Sciences > HG Finance
Divisions: Faculty of Management (FOM)
Depositing User: Ms Nurul Iqtiani Ahmad
Date Deposited: 14 Oct 2014 07:12
Last Modified: 14 Oct 2014 07:12
URI: http://shdl.mmu.edu.my/id/eprint/5779

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